传统能源与新能源市场间风险传导机制研究——基于vine copula的分析

A Study on Risk Transmission Mechanism between Traditional and New Energy Market Based on vine copula Model

能源是经济增长与社会发展的重要物质保障,能源市场的价格波动及市场间的风险联动将对经济的发展产生深远影响。在近期国际原油价格剧烈波动的背景下,本文选取原油、煤炭、天然气和燃料乙醇市场作为传统化石能源及新能源市场的代表,运用格兰杰因果关系检验与vine copula模型,对国际多能源市场间风险传导机制的变化状况进行了研究。实证结果表明,在国际原油市场的快速下跌阶段,除天然气与原油、煤炭市场,其他能源市场间不仅呈现出显著的风险传导状态,且风险相依程度也有所增强,其中原油与煤炭市场间表现出更高的风险相依程度,新能源市场则更容易受到其他市场的冲击。

Energy is the important material guarantee of economic growth and social development. Fluctuations in energy prices and volatility spillover between different markets will have a profound impact on the development of economy. Under the hackground of wild fluctuation in international crude oil price, this study selects crude oil, coal, natural gas and fuel ethanol market as the representatives of traditional and new energy markets and takes advantage of granger causality test and vine copula model to study the changes of risk transmission mechanism in international energy markets. The empirical results show that in the falling period of international crude oil price, in addition to natural gas with crude oil and coal market, the distinct risk transmission relationship comes into existence in the other international energy markets and the dependent relationship has been enhanced. In further discussion, the degree of risk dependence between international crude oil market and coal market is higher and the new energy market can be more easily shocked by other energy markets.