波动分解视角下中国能源业系统性风险溢出

Systemic risk spillover of China's energy industry based on the perspective of volatility decomposition

【目的】能源行业与国家安全和经济发展息息相关,其系统性风险不容忽视。本文旨在研究常态和极端情形下能源行业间系统性风险溢出方向及特点,为能源行业系统性风险管理提供新的思路与方法。【方法】本文基于波动分解视角,将能源行业的波动风险分解为连续性和跳跃性成分,并通过向量自回归模型的广义误差方差分解思想,构建系统分析下各能源子行业及各波动成分间的溢出矩阵及溢出指标,并据此从静态和动态两个角度,研究了中国能源行业系统性波动风险溢出效应。【结果】实证结果表明:(1)能源行业有明显的跳跃性波动,行业内极端跳跃风险的积累会导致行业间系统性风险增加。(2)能源行业之间的系统风险溢出具有显著的时变性,在股市动荡期风险易向行业外扩散,系统性风险水平相对较高,但在稳定期则易转向行业内传染,系统性风险水平相对较低。(3)能源行业波动风险易在同种风险类型中传导,交叉风险传染有限,其中,能源系统性波动风险在行业间的溢出主要通过连续对连续路径实现,而行业内主要为跳跃对跳跃路径。(4)煤炭行业是连续性风险的最大发出者,电力行业是跳跃性波动风险的唯一发出者,新能源行业是以跳跃性波动形式接收外部风险的最大接收者。【结论】应密切关注能源行业系统性风险,并根据其传染特点进行灵活动态监管,稳定时期需重点关注行业内同类型风险间的溢出,在波动较大时期,应重点关注风险在跨行业和跨成分间的传染,坚决守住不发生系统性风险的底线。

[Objective] The energy industry is closely related to national security and economic development,and its systemic risks cannot be ignored.This study explored the industry-level volatility interconnections and examined the direction and characteristics of systemic risk spillover from the normal and extreme energy market states.It provides a new perspective and technical support for systemic risk management in the energy industry.[Methods] Based on the volatility decomposition approach,we decomposed the volatility risk of each energy industry into continuity and jump components,and then constructed the connection matrix and spillover indicators between these components through the generalized variance decomposition method of the vector autoregressive model.Subsequently,the systemic risk spillover effects in China's energy industries were analyzed from static and dynamic perspectives.[Results] The empirical results suggest that:(1) There are obvious jump fluctuations in the energy industry,and the accumulation of jump risk in the energy industry will lead to an increasing systemic risk;(2) The systemic risk spillover in the energy industry is significantly time variant.The risk tends to spread outside the industry during fluctuation periods and shifts to the intra-industry contagion during the stable periods;(3) Either within or between industries,volatility risks tend to be transferred within the same type of volatility components,and the net spillover direction between two components is along the continuity-to-jump path;(4) The coal industry is the largest sender of the continuity risk,the electricity industry is the only sender of the jump risk,and the new energy industry is the largest receiver of external risk in the form of volatility jumps.[Conclusion] The government should pay more attention to both cross-industry and cross-component spillovers during turbulent periods while paying attention to the self-feedback spillover within industries during stable periods,so as to prevent local risk from accumulating and spreading to the whole energy system.