商品期货价格波动风险传染研究——基于MVMQ-CAViaR模型的实证分析  

Research on the risk contagion of commodity futures price volatility——Empirical analysis based on MVMQ-CAViaR model

作　　者：彭志文[1] 徐姝雨 PENG Zhi-wen;XU Shu-yu(School of Economics and Management,Beijing University of Posts and Telecommunications,Beijing 100876)

机构地区：[1]北京邮电大学经济管理学院,北京100876

出　　处：《价格月刊》2025年第1期17-29,共13页

基　　金：教育部人文社会科学重大研究项目“高校马克思主义学院治理体系和治理能力现代化研究”(编号:23JDSZKZ11);北京市社会科学基金决策咨询重点项目“《北京市生活垃圾管理条例》实施研究”(编号:20JCB015)。

摘　　要：基于2004—2024年中国商品期货市场的南华商品综合指数及一级分类指数构建MVMQCAViaR模型,旨在考察市场间尾部风险相关性。通过计算联合分布假设下的Wald统计量,构建中国商品期货市场价格波动尾部风险传染网络,系统性分析尾部风险跨市场传染现象。研究发现,商品期货市场尾部风险存在聚集效应,且市场间存在显著尾部风险传染。商品期货市场尾部风险传染包含波动溢出与直接传染两条路径,基本形成“金属—农产品/工业品—能化品”尾部风险传染网络。从尾部风险与系统性风险的关联性看,金属期货价格对外部风险冲击较为敏感,因其风险吸收和传导作用而成为系统性风险聚集中心;长期低波动的农产品期货市场则扮演中国商品期货市场稳定角色。因此,监管部门需系统性监测与控制商品期货系统性风险,除关注高波动、高风险市场外,还要重视低波动市场异常波动及尾部风险溢出效应,掌握期货市场风险传染内部网络结构,提高日常风险监控与极端风险预警能力。Based on the Nanhua Commodity Comprehensive Index and the first level classification index of China’s commodity futures market from 2004 to 2024,the MVMQ-CAViaR model is constructed to investigate the tail risk correlation between markets.By calculating Wald statistics under the joint distribution assumptions,this paper constructs the tail risk contagion network of China’s commodity futures market price volatility,and systematically analyzes the cross-market contagion phenomenon of tail risks.Research has found that the tail risk of commodity futures market has aggregation effect,and there is significant tail risk contagion between markets.The tail risk con-tagion in commodity futures markets includes two paths:Volatility spillover and direct contagion,forming a tail risk contagion network of“metal-agricultural/industrial products-energy chemicals”.In terms of the correlation between different sub-markets and systemic risks,metal futures,as a risk-sensitive market,have become the cen-ter of systemic risk aggregation due to the function of risk absorption and transmission.The long-term low volatility of agricultural futures market plays a stabilizing role in China’s commodity futures market.Therefore,regulatory authorities need to systematically monitor and control the systemic risks of commodity futures.In addition to pay-ing attention to high-volatility and high-risk markets,they should also pay attention to abnormal volatility and tail risk spillover effects in low volatility markets,grasp the internal network structure of futures market risk contagion,and improve the ability of daily risk monitoring and extreme risk warning capabilities.

关 键 词：商品期货 尾部风险 风险传染 MVMQ-CAViaR 

分 类 号：F726[经济管理—产业经济]