中国商品期货尾部风险及其决定性因素  

Tail Risk and Determinant Factors of China's Commodity Futures

作　　者：叶五一[1] 刘巍巍 郭冉冉 YE Wuyi;LIU Weiwei;GUO Ranran(School of Management,University of Science and Technology of China,Hefei 230026,Anhui,China;School of Economics,Hefei University of Technology,Hefei 230009,Anhui,China)

机构地区：[1]中国科学技术大学管理学院,安徽合肥230026 [2]合肥工业大学经济学院,安徽合肥230009

出　　处：《华南理工大学学报（社会科学版）》2024年第2期46-61,共16页Journal of South China University of Technology(Social Science Edition)

基　　金：国家自然科学基金青年项目“政策约束背景下的中国商品期货市场风险度量与组合配置研究”(71903154);安徽省杰出青年基金项目“系统性风险的动态建模及应用研究”(2208085J41)。

摘　　要：近年来,中国商品期货市场快速发展,识别和化解商品期货市场的金融风险成为防范系统性金融风险的重要内容。采用2012年1月至2022年3月间活跃交易的20种商品期货数据,基于可判定系统性风险决定因素的尾部事件驱动的网络模型方法构建中国商品期货市场的尾部风险溢出网络,分析了商品期货市场中尾部风险的决定因素。研究发现:商品期货市场的整体风险水平在危机期间呈现上升趋势;所有商品类别中,农产品是影响中国商品期货市场稳定最重要的品种;商品期货间明显存在同一类别聚集效应,跨商品类别间的溢出则主要出现在危机期间;资金流动性和过度投机是中国商品期货市场尾部风险变动的关键性因素。因此,要高度重视并持续监测商品期货的风险溢出效应,提高对投机性期货交易的监控能力,提升商品市场稳定性和应对风险冲击的抵御能力,坚决防止系统性金融风险的发生。In recent years,China's commodity futures market has developed rapidly,and identifying and resolving the financial risks in the commodity futures market has become an important part of preventing systemic financial risks.Using the data of 20 commodity futures that were actively traded from January 2012 to March 2022,this study constructed a tail risk spillover network of China's commodity futures market based on the tail event driven network model method that can determine the determinants of systemic risk,and analyzed determinants of tail risk in commodity futures markets.The study finds that the overall risk level of the commodity futures market shows an upward trend during the crisis;among all commodity categories,agricultural products are the most important varieties that affect the stability of China's commodity futures market;there is an obvious aggregation effect of the same category between commodity futures,while the spillover across commodity categories mainly occurs during the crisis;capital liquidity and overspeculation are the key factors of tail risk changes in China's commodity futures market.Therefore,it is suggested to attach great importance to and continuously monitor the risk spillover effects of commodity futures,to improve the ability to monitor speculative futures transactions,to improve the stability of the commodity market and the ability to resist risk shocks,and to resolutely prevent the occurrence of systemic financial risks.

关 键 词：商品期货 溢出网络 极端风险事件 TENET-DSR模型 

分 类 号：F832.5[经济管理—金融学]