国际原油期货极端风险溢出及其防范研究——基于DCC-TGARCH-CoVaR模型的分析

Research on Risk Spillover of International Crude Oil Futures under Extreme Events——Analysis based on DCC-TGARCH-CoVaR model

当前世界正面临百年未有之大变局,特别是全球原油市场受到地缘政治、大国博弈、新冠疫情等多维影响。研究国际原油市场对我国金融市场的冲击,对于防范化解系统性风险具有重要意义。2020年国际原油市场出现了极端特殊事件(WTI的5月期货合约结算价为负),给观测原油期货风险溢出提供了绝佳的机会。对此,本文将研究样本划分为前后两个阶段,运用DCC-TGARCH模型刻画国际原油期货价格指数与我国汇率、期货及股市间的动态条件相关关系,进而度量国际原油期货价格波动对三大市场的CoVaR。实证结果表明:国际原油期货价格波动与我国股市、期市、汇市指数间在两样本阶段均存在显著的动态条件相关性;对比CoVaR和△CoVaR值发现:国际原油价格短期冲击对三大市场的风险溢出程度存在异质性。特别是在后阶段,原油期货价格异常波动对期货市场的风险溢出贡献最大,其次为股市和汇市。

The current world situation is facing major changes, especially the global crude oil market, which is affected by geopolitics, the game of major powers, and the COVID-19 epidemic. Studying the impact of the international crude oil market on China’s financial market is of great significance for preventing and deflating systemic risks. Based on the background of 2020, a special year in the crude oil market, this article divides the research sample into two phases before and after. The DCC-TGARCH model is used to characterize the dynamic relationship between the international crude oil futures price index and China’s exchange rate, futures, and securities markets, and then to measure the CoVaR of the international crude oil futures price fluctuations on the three major markets. The empirical results show that there is a significant dynamic conditional correlation between the international crude oil futures price fluctuations and China’s three major financial market indexes in both sample stages, and the risk spillover will increase significantly in the first half of 2020;Comparing the values of CoVaR and △CoVaR,it is found that the short-term shocks of international crude oil prices have heterogeneity in the degree of risk spillover of the three major markets. Especially in the later stage, abnormal fluctuations in crude oil futures prices contribute the most to the risk spillover of the futures market, followed by the stock market and the foreign exchange market.