我国能源市场与沪深市场间的尾部相依性

Tail Dependence Between China’s Energy Market and Shanghai-Shenzhen Markets

资源能源安全是事关国家经济社会发展的全局性、战略性问题,对国家繁荣发展、人民生活改善、社会长治久安至关重要。选取2020年1月至2021年12月范围内的国证煤炭、国证电力与沪深300指数收盘价为样本,运用R藤Copula模型分析我国能源市场和沪深市场之间的尾部相依性,研究我国煤炭市场、电力市场和沪深市场的尾部相依风险关系,且提出相关防范建议。实证结果发现:国证电力和沪深300指数均和国证煤炭指数有着较强的正向相依性,其中电力指数市场和煤炭指数市场有着强下尾相关性;煤炭指数市场作为中间市场,电力指数市场和沪深市场的间接传染结构仍呈现正相关,尾部相依关系消失。因此在监管和防范上述3个市场的风险时,要警惕煤炭市场的价格剧烈变化带来的强连锁反应,投资者应重点关注煤炭市场价格指数的剧烈下跌对电力市场及沪深市场价格指数的负面冲击。

Resource and energy security is an overarching and strategic issue bearing on the country’s economic and social development,and is crucial to national prosperity and development,the improvement of people’s lives,and long-term social stability.Selecting the closing prices of China’s coal,China’s power and Shanghai–Shenzhen 300 index from January 2020 to December 2021 were taken as samples,and the R vine Copula model was used to analyze the tail dependence relationship between China’s energy market and Shanghai–Shenzhen markets.The tail dependent risk relationship among China’s coal market,China’s electricity market,and Shanghai–Shenzhen markets was studied,and the relevant prevention suggestions were proposed.The empirical results show that there is a strong positive correlation between China’s electricity and Shanghai–Shenzhen 300 indexes and China’s coal index,and there is a strong down-tail correlation between power index and coal index.As the intermediate market,the indirect contagion structure of the coal index market and the Shanghai and Shenzhen markets still present a positive correlation,and the tail dependence relationship disappears.Therefore,in the supervision and prevention of risks in the three markets mentioned above,it is important to be wary of the strong chain reaction caused by the drastic changes in coal market price and investors should pay more attention to the negative impact on the sharp decline of price indexes of coal market,power market and Shanghai–Shenzhen market.