金融压力对新能源市场的时变风险溢出效应研究  

Study on time-varying risk spillover effect of financial stress on new energy market

作　　者：吕靖烨[1] 李娜[1] 李冲 孙红湘 LYU Jingye;LI Na;LI Chong;SUN Hongxiang(School of Management,Xi'an University of Science and Technology,Xi'an 710054,China;School of Marxism,Xi'an University of Science and Technology,Xi'an 710054,China)

机构地区：[1]西安科技大学管理学院,陕西西安710054 [2]西安科技大学马克思主义学院,陕西西安710054

出　　处：《煤炭经济研究》2025年第3期36-46,共11页Coal Economic Research

基　　金：教育部人文社会科学研究规划基金资助项目(24YJA790041);陕西省社会科学基金资助项目(2021A002);教育部2020年度高校思想政治理论课教师研究专项一般项目(20JDSZK079)。

摘　　要：采用条件分位数溢出指数法,以中国新能源市场与各金融子市场压力指数作为研究变量,构建了新能源-金融系统的分位数向量自回归(QVAR)模型,克服了传统研究方法在极端事件描述上的不足,实证分析新能源-金融系统之间的时变风险溢出效应。研究结果显示:①新能源-金融系统存在显著的风险溢出效应,新能源市场是主要的风险来源,呈现出产业政策引导与市场需求驱动的双重特征,而资本市场与外汇市场是主要的风险接收者。②我国新能源-金融系统的风险溢出表现出显著的尾部溢出特征与非对称性。具体而言,新能源市场则对市场压力极端下降状态下的风险波动更为敏感。③供需失衡、政策变动、国际国内形势变动等多种不确定性因素是导致我国新能源-金融系统波动的主要驱动因素。其中,新能源市场的波动则主要源于能源政策调整引发的连锁反应。This paper employs the Conditional Quantile Spillover Index(CQSI)method,using China's renewable energy market and various financial sub-market stress indices as research variables,to construct a Quantile Vector Autoregressive(QVAR)model of the renewable energy-financial system.This model overcomes the limitations of traditional research methods in describing extreme events and empirically analyzes the time-varying risk spillover effects between the renewable energy-financial system.The research findings are as follows:①There is a significant risk spillover effect within the renewable energy-financial system,with the renewable energy market serving as the primary source of risk,exhibiting dual characteristics of industrial policy guidance and market demand driving.The capital market and foreign exchange market are the primary recipients of this risk.②The risk spillover in China′s renewable energy-financial system exhibits significant tail spillover characteristics and asymmetry.Specifically,the renewable energy market is more sensitive to risk fluctuations under extreme downward market stress conditions.③Various uncertainty factors,such as supply-demand imbalances,policy changes,and changes in international and domestic situations,are the main drivers of fluctuations in China′s renewable energy-financial system.Among these,fluctuations in the renewable energy market primarily stem from the chain reactions triggered by adjustments to energy policies.

关 键 词：新能源市场 金融压力 分位数向量自回归(QVAR) 极端市场状态 时变风险溢出效应 

分 类 号：F832[经济管理—金融学]