原油市场与金融市场间风险溢出效应:基于原油的金融属性  

The Risk Spillover Between Crude Oil and Financial Markets: Based on the Oil Financial Attribute

作　　者：王真真 黄哲豪 董浩 WANG Zhenzhen;HUANG Zhehao;DONG Hao(School of Mathematics and Statistics,Guangdong University of Foreign Studies,Guangzhou 510006;Guangzhou Institute of International Finance,Guangzhou 510405;School of Economics&Management,Wuyi University,Jiangmen 529020)

机构地区：[1]广东外语外贸大学数学与统计学院,广州510006 [2]广州国际金融研究院,广州510405 [3]五邑大学经济管理学院,江门529020

出　　处：《系统科学与数学》2025年第2期530-553,共24页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金(12101622);博士后基金面上项目(2022M723680);广东省基础与应用基础研究基金(2022A1515110551)资助课题。

摘　　要：原油的金融属性在测度原油市场风险及其与金融市场的风险溢出效应中具有重要作用.文章首先使用VMD-LZ的方法,分解并重构得到原油市场价格和风险中的金融属性成分.进一步,文章使用MVMQ-CAViaR方法度量原油市场与金融市场在不同收益趋势和是否考虑原油金融属性等情况下的静态风险溢出.最后,文章采用DY溢出指数测算原油市场与金融市场及其不同行业之间的动态溢出指数,并分析其网络特征.研究表明,考虑原油的金融属性后可以更好地把握原油市场风险在高低频的演化特征.进一步研究原油市场与金融市场的风险溢出效应,发现金融市场风险降低原油市场价格的波动,而原油市场风险起到促进金融市场风险的作用.此外,收益趋势、风险趋势和金融属性对原油市场的风险溢出效应具有显著影响.The financial attribute of crude oil plays an important role in the measurement of crude oil market risk and its spillover effect with financial market risk.In this paper,the VMD-LZ method is used to decompose and reconstruct the financial attribute components of oil market price and risk.Furthermore,we employ the MVMQ-CAViaR method to measure static risk spillovers in the crude oil market and financial market under different income trends and whether the financial attributes of crude oil are considered.Finally,this paper uses DY-spillover index to measure the dynamic spillover index between crude oil market and financial market or different industries,and analyzes its heterogeneity.Empirical results show that considering the financial attributes of crude oil,we can better grasp the evolution characteristics of crude oil market risk in high and low frequency.Further research on risk spillover effects between the crude oil market and the financial market shows that the financial market risk reduces the volatility of the crude oil market price,while the crude oil market risk plays a role in promoting the financial market risk.What's more,return trend,risk trend and oil financial attributes have a significant impact on the risk spillover effect between the crude oil market and financial market.

关 键 词：原油金融属性 MVMQ-CAViaR 网络结构 DY溢出指数 分解与重构 

分 类 号：F83[经济管理—金融学]