清洁能源与金属市场间时变溢出效应及投资组合策略研究  

Time-varying Spillover Effects and Portfolio Strategies between Clean Energy and Metal Markets

作　　者：朱学红[1,2] 丁倩[1] 谌金宇 ZHU Xuehong;DING Qian;CHEN Jinyu(Business School,Central South University,Changsha 410083,China;Institute of Metal Resources Strategy,Central South University,Changsha 410083,China)

机构地区：[1]中南大学商学院,湖南长沙410083 [2]中南大学金属资源战略研究院,湖南长沙410083

出　　处：《运筹与管理》2024年第6期165-170,共6页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(72074228,72104253);国家社会科学基金资助项目(21&ZD103);湖南省自然科学优秀青年基金项目(2024JJ4074)。

摘　　要：为深入剖析清洁能源与金属的金融联系及投资策略,集成时变参数向量自回归(TVP-VAR)模型与DY溢出指数方法,本文考察11个清洁能源子行业市场与金属市场间的动态溢出效应,在此基础上构建边际净溢出网络刻画风险溢出的传染特征和路径,最后计算这些资产间的最优投资组合权重和对冲策略。研究结果表明,清洁能源和金属市场间的溢出效应具有时变性,并且对金融和经济不确定事件较为敏感。清洁能源子行业市场与金属市场间的溢出效应存在异质性,能源管理和储能股票与金属市场间的溢出效应较强,基本金属处于溢出传导者地位,而稀土金属则是溢出的主要接收者。边际净溢出网络结果表明,新冠肺炎疫情冲击导致清洁能源与金属市场间的风险溢出效应显著增强。大多数清洁能源投资组合中加入金属资产可以获得多元化收益,其对冲成本和有效性取决于清洁能源股票的类型。As the world pays more and more attention to climate change,clean energy,as an important resource for addressing climate change challenges and achieving energy transformation,has shown strong development momentum.However,compared with traditional energy systems,clean energy systems are more metal-intensive and require the consumption of more critical metals in terms of both types and quantities.With the vigorous development of the clean energy industry,the consumption of metals in the clean energy system has gradually increased.Changes in supply and demand have led to a reshaping of the relationship between clean energy and the metal markets.The increased connectedness between clean energy and metals has intensified the cross-market spillover effect between the clean energy and metal markets.The risk spillover between the clean energy and metal markets will undoubtedly have an adverse impact on the long-term stable development of the green financial market.Therefore,accurately measuring the risk spillover level between the clean energy and metal markets and deeply analysing the risk spillover transmission characteristics and paths are crucial to preventing cross-market risk contagion and making investment and risk management decisions.To provide insight into the financial connectedness and investment strategies between clean energy and metals,integrating the time-varying parametric vector autoregressive(TVP-VAR)model with the DY spillover index method,this paper examines the dynamic spillover effects between 11 clean energy sub-sector markets and metal markets.It uses complex network methods to construct directional risk spillover networks between clean energy and metal markets to analyse the risk contagion characteristics and paths of risk spillovers.Finally,based on the risk spillover analysis,a comprehensive sub-industry analysis of hedging and portfolio optimization between clean energy and metal markets is conducted to provide a reference for investors to mitigate risks and choose the optimal asset allocatio

关 键 词：清洁能源 金属 溢出效应 投资组合 

分 类 号：F830[经济管理—金融学]