能源市场不确定性与中国金融市场风险的尾部相依结构及溢出效应——基于QVAR-DY模型的实证研究  

Energy Market Uncertainty and the Tail Dependency Structure and Spillover Effects of Financial Market Risk in China——An Empirical Study Based on QVAR-DY Modeling

作　　者：黄波涛 胡瀚文 Huang Batao;Hu Hanwen

机构地区：[1]北京国家会计学院 [2]北京国家会计学院金融研究所 [3]北京国家会计学院金融系

出　　处：《投资研究》2024年第8期139-159,共21页Review of Investment Studies

基　　金：佛山市社科基金“高质量发展要求下科技金融提升佛山制造业全要素生产率的机制和对策研究”(2010-KH2030);财政部2024重点课题项目“关于构建中国特色国有金融资本管理”(KYKT2024-03-721)。

摘　　要：本文基于QVAR-DY模型探究了中国和国际能源不确定性和中国金融市场的波动溢出效应,研究发现:第一,能源不确定性与金融市场之间存在显著的溢出效应,在极端状态下溢出效应更强、震荡幅度更为剧烈;第二,能源不确定性与金融市场间风险溢出效应存在显著的时变特征,在地缘冲突升级、贸易摩擦事件和经济政策重大事件冲击时产生较大波动;第三,国际能源不确定性对中国金融市场溢出指数水平更高,且对股票、债券、外汇与商品市场溢出效应存在一定的差异性。研究结论为防范我国系统性金融风险,维护金融市场的稳定,推动经济健康有序发展提供了一定的参考依据。Based on the QVAR-DY model,this paper explores the volatility spillover effect of China's international energy uncertainty and China's financial market,and finds that:first,there is a significant spillover effect between energy uncertainty and the financial market,and the spillover effect is stronger and the magnitude of the shock is more intense in the extreme state;second,there is a significant time-varying characteristic of the risk spillover effect between energy uncertainty and the financial market,which generates greater volatility in the event of the escalation of geo Second,the risk spillover effect between energy uncertainty and financial markets has significant time-varying characteristics,with larger fluctuations in geopolitical conflict escalation,trade friction events and major economic policy events;third,the international energy uncertainty has a higher level of spillover index to China's financial markets,and there is a certain degree of variability in the spillover effects on the stock,bond,foreign exchange and commodity markets.The findings of the study provide a certain reference basis for preventing systemic financial risks in China,maintaining the stability of the financial market and promoting the healthy and orderly development of the economy.

关 键 词：能源市场不确定性 金融市场风险 尾部相依性 QVAR-DY模型 

分 类 号：F832.5[经济管理—金融学] F416.2