群体分析视角下能源业系统性风险——基于网络动态分位数回归模型

Systemic Risk in the Energy Industry from a Group Perspective——Basedon Ntwork De ynamic Quantile Regression Model

能源行业作为我国经济的支柱性行业,其稳定健康发展事关国计民生和国家安全。本文以能源行业系统性风险为研究对象,利用DY溢出指数法,从风险溢出角度构建了能源行业间的关联网络,并将其与传统分位数模型相结合,提出了网络动态分位数回归模型,在此基础上,结合多条件CoVaR风险指标,构建了多条件动态CoVaR模型,实现群体视角下系统性风险的度量。以2014年12月30日—2021年7月2日数据为样本,实证分析了中国煤炭、电力、新能源、油气四个主要能源行业对整个能源系统风险的溢出贡献。结果显示:(1)在多个比较指标下,网络动态分位数模型的预测效果显著优于传统无网络的分位数模型;(2)能源行业的系统性风险溢出存在较强的时变特征,平均而言,煤炭和电力行业的风险溢出绝对值(ΔCoVaR)最大,电力和油气行业的风险溢出相对值(%ΔCoVaR)最大;(3)风险规模因素(VaR)对于系统性风险的影响程度大于风险溢出强度;(4)随着处于危机的能源行业数目增多,其对于能源系统的风险溢出绝对值和相对值都呈现上升趋势;(5)不同能源形式间可替代性和可补充性的存在,使得组合风险溢出绝对值明显小于组合内部单个行业风险溢出绝对值的简单求和。本文为防范能源系统性风险和保证国家能源安全提供了一定的参考。

As a pillar industry of China's economy,the stable and healthy development of the energy industry is related to the people's livelihood and national security.In this paper,we take the systemic risk of energy industry as the research object,construct the correlation network among energy industries from the perspective of risk spillover by using DY spillover index method,and combine it with the traditional quantile model to propose the network dynamic quantile regression model,based on which,we combine the multi-conditional CoVaR risk index to construct the multi-conditional dynamic CoVaR model to realize the systemic risk measuring in group perspective.Using data from December 30,2014-July 2,2021 as a sample,we empirically analyze the spillover contribution of China's four major energy sectors-coal,electricity,new energy,and oil and gas-to the overall energy system risk.The results show that:(1)The predictive effect of the network dynamic quantile model is significantly better than that of the traditional quantile model without network under several comparative indicators;(2)There are strong time-varying characteristics of the systemic risk spillover in the energy industry,and on average,the absolute value of risk spillover(ΔCoVaR)is the largest in the coal and power industries,and the relative value of risk spillover(%ΔCoVaR)is the largest in the power and oil and gas industries;(3)The risk scale factor(VaR)for systemic risk is greater than the intensity of risk spillover;(4)As the number of energy industries in crisis increases,the absolute and relative values of their risk spillover to the energy system show an increasing trend;(5)The existence of substitutability and complementarity among different energy forms makes the absolute value of portfolio risk spillover significantly smaller than the simple sum of the absolute value of risk spillover of a single industry within the portfolio.This paper provides some reference for preventing energy systemic risks and ensuring national energy security.