摘要
在极端风险事件冲击下,国际大宗商品市场与中国金融市场间的风险传染效应愈发显著。文章运用DCC-GARCH模型,刻画国际大宗商品市场与中国金融市场间的联动效应,基于Granger-Geweke因果关系检验方法构建动态因果网络,在极端风险事件冲击下测度国际大宗商品市场与中国金融市场间的风险传染效应,并追溯中国金融市场的外部风险来源。结果表明:(1)在极端风险事件时期,国际大宗商品市场与中国金融市场间的联动效应显著提升。在新冠肺炎疫情时期,国际大宗商品市场与中国金融市场间动态条件相关系数的概率分布曲线,呈现分布区间扩张、分布中心右移以及峰度迅速下降的态势。(2)在极端风险事件的冲击下,国际大宗商品市场与中国金融市场间的风险传染效应增强,在新冠肺炎疫情时期,国际大宗商品市场与中国金融市场的交互冲击具有非对称性,中国金融市场对国际大宗商品市场的影响力十分有限。(3)追溯中国金融市场的外部风险来源可知,能源、贵金属以及工业金属对中国金融市场的冲击强度高于其他商品,中国股票市场与汇率市场承受的外部冲击较强。文章为中国防范国际金融风险传染提供了理论支持与政策参考。
Extreme risk events such as the financial crisis,trade frictions,and public health security have posed huge challenges to the stable development of global financial markets. With the proliferation and spread of the COVID-19 epidemic,international commodity prices fluctuate sharply,and the Chinese financial market is facing great risk shocks. However,previous literatures on risk contagion in financial markets ignore the perspective of extreme risk events. Few scholars measure the risk contagion effect between the international commodity market and the Chinese financial market. At the same time,they cannot trace the source of external risks.This paper uses the DCC-GARCH model and the Granger-Geweke causality test to measure the risk contagion effect between the international commodity market and the Chinese financial market,and traces the external risk sources. It is found that:First,during the period of extreme risk events,the co-movement effect between the international commodity market and the Chinese financial market fluctuates sharply. During the period of the COVID-19 epidemic,the linkage between the international commodity market and the Chinese financial market has increased significantly. Second,under the shock of extreme risk events,the risk contagion effect between the international commodity market and the Chinese financial market has increased. During the period of the COVID-19 epidemic,the interactive shock between the international commodity market and the Chinese financial market is asymmetrical. The impact of Chinese financial market on the international commodity market is very limited. Third,tracing the source of external risks in the Chinese financial market shows that energy,precious metals,and industrial metals have a higher impact on the Chinese financial market than other commodities,and the Chinese stock market and the exchange rate market bear stronger external shocks. This paper provides theoretical support and policy reference for China to prevent international financial risk contagion.The academic value of this paper could be concluded in three aspects:First,during the period of extreme risk events,we measure the general probability distribution of the dynamic condition correlation coefficient between the international commodity market and the Chinese financial market,and identify the general volatility trend of the linkage between the international commodity market and the Chinese financial market.Second,we build the dynamic causal network to measure the general and time-varying characteristics of risk contagion between the international commodity market and the Chinese financial market during the period of extreme risk events. Third,we decompose the external shock of the Chinese financial market,and trace the external risks of the Chinese financial market accurately.
作者
隋建利
杨庆伟
Sui Jianli;Yang Qingwei(Business School,Jilin University,Changchun 130012,China;Center for Quantitative Economics,Jilin University,Changchun 130012,China)
出处
《财经研究》
CSSCI
北大核心
2021年第8期139-154,共16页
Journal of Finance and Economics
基金
国家自然科学基金面上项目(71573104)。
关键词
国际大宗商品市场
中国金融市场
风险传染测度
风险来源追溯
极端风险事件
international commodity market
Chinese financial market
risk contagion measurement
risk source tracing
extreme risk events
