基于时变SJC-Copula对商品期货市场间风险传染的探究

Research on the Risk Contagion of Commodity Futures Markets Based on Time-varying SJC-Copula

分别选取WIND商品指数和CRB指数作为衡量我国商品期货市场及国际商品期货市场综合价格的指标,利用时变SJC-Copula模型构建两者之间的动态相依结构,通过动态的尾部相关系数来探究我国商品期货市场与国际市场间的尾部相关性.实证结果表明,我国商品期货市场与国际市场间的上尾相关性要强于下尾相关性,即当商品期货价格上涨时,两个市场间更易发生风险传染.

The WIND commodity index and the CRB index are selected as a measure of Chinese commodity futures market and international commodity futures market price index.Apply time-varying SJC-Copula model to construct dynamic dependence structure between Chinese commodity futures market and international market,and explore the tail correlation between them through the dynamic tail correlation coefficient.The empirical results show that the upper tail dependence between Chinese commodity futures market and international market is stronger than the lower tail dependence,namely when the commodity futures price rise,the two markets are more prone to risk contagion.