摘要
本文基于后金融危机时代至俄乌战争爆发五百天这段时间申万一级行业指数中的高耗能行业部分和申万二级行业指数中的银行业、证券业、保险业和多元金融业指数,通过DCC-GARCH拟合,探究高耗能行业与金融行业间的双向风险溢出效应。研究结果表明:第一,高耗能行业与金融风险间的双向风险溢出效应在各重大突发事件中总体上趋势相近,具有相似的风险敏感性;第二,在重大突发事件中,非银金融业更易成为高耗能行业风险溢出的对象;第三,高耗能行业与金融风险间的双向风险溢出效应在不同重大突发事件中存在一定的差异性。研究高耗能行业与金融行业间的双向风险溢出效应对于我国迎接能源安全挑战,化解全球能源危机的风险冲击有着重要意义。
Based on the high-energy-consuming industries in the SHENYIN&WANGUO Primary Industry Index and the banking,securities,insurance and diversified financial indices in the SHENYIN&WANGUO Secondary Industry Index during the period from the post-financial crisis era to the outbreak of the Russia-Ukraine War for 500 days,this paper explores the two-way risk spillover effect between the high-energy-consuming industries and the financial industry through DCC-GARCH fitting.The results show that:first,the two-way risk spillover effect between energy-intensive industries and financial risks is generally similar in major emergencies and has similar risk sensitivity.Second,in major emergencies,the non-bank financial industry is more likely to become the target of risk spillovers in high-energy-consuming industries.Third,there are certain differences in the two-way risk spillover effect between energy-intensive industries and financial risks in different major emergencies.It is of great significance to study the two-way risk spillover effect between high-energy-consuming industries and financial industries to meet the challenges of energy security and resolve the risk impact of the global energy crisis.
作者
谢婉莹
汪许健
赖登凌
Wanying Xie;Xujian Wang;Dengling Lai(School of Management Science and Engineering,Nanjing University of Information Science and Technology,Nanjing Jiangsu;Department of Purchasing,PLA Army Logistics Academy,Chongqing)
出处
《运筹与模糊学》
2024年第3期1194-1208,共15页
Operations Research and Fuzziology
基金
国家自然科学基金青年科学基金项目“信息过载背景下消费决策行为影响因素分析及建模”(基金号:72201134)的资助。
关键词
风险溢出效应
金融行业
重大突发事件
高耗能行业
Risk Spillovers Effects
Financial Industry
Major Emergencies
High-Energy-Consuming Industries