我国粮食与能源的跨市场风险传染及外部冲击  

Cross-Market Risk Contagion and External Shocks of China's Food Energy

作　　者：刘映琳 方艳 杨金强[3] Liu Yinglin;Fang Yan;Yang Jinqiang(School of Financial Technology,Shanghai Lixin University of Accounting and Finance,Shanghai 201209,China;School of Statistic and Information,Shanghai University of International Business and Economics,Shanghai 201620,China;School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China)

机构地区：[1]上海立信会计金融学院金融科技学院,上海201209 [2]上海对外经贸大学统计与信息学院,上海201620 [3]上海财经大学金融学院,上海200433

出　　处：《中国管理科学》2024年第11期103-114,共12页Chinese Journal of Management Science

基　　金：国家社会科学基金重大项目(22&ZD160);国家社会科学基金项目(21BTJ047);国家自然科学基金项目(72072108,72101151,72301176,72342021,72425012)。

摘　　要：为了考察我国粮食与能源安全问题,本文构建了跨市场的“粮食-能源-金融”三部门系统,采用DAG、CoVaR、网络拓扑等方法,研究了系统内的风险传染和系统外的风险冲击。研究结果表明,我国粮食和能源的风险来源在新冠疫情的作用下由原先的国际主导转变为“双循环”的双轮驱动。粮食-能源-金融系统内部的风险传染中心随疫情的发展由国际原油市场转变为国际农产品市场和中国金融市场,其强度和方向均发生改变。而在诸多外部冲击中,美国量化宽松的货币政策与国际大宗商品波动是影响我国粮食-能源-金融系统安全的主要外因,所获结论为我国粮食与能源安全的风险预警以及指标选择提供了新的依据。In order to investigate the issue of food and energy security in China,a cross-market“food-energy-finance”three-sector system is constructed to study the risk contagion within the system and outside the system,by using DAG,CoVaR,network topology and other methods.Research shows that the risk sources of domestic food and energy have changed from the original international dominance to a“Dual Circulation”dual-wheel drive since the end of 2019.And the risk contagion center within the food-energy-financial system has changed from the international crude oil market to the international agricultural product market and the domestic financial market with the development of the epidemic,so does the intensity and direction.Among many external shocks,the monetary policy of quantitative easing in the United States and the fluctuation of international commodities are the main external factors affecting the security of China’s food-energy-financial system.In accordance with the conclusions,this paper obtained provides a new basis for index selection in risk warning to forecast China’s food and energy security.

关 键 词：粮食能源安全 跨市场风险传染 外部风险冲击 条件风险价值 网络拓扑 

分 类 号：F830[经济管理—金融学]