国际能源价格波动对中国金融市场的风险溢出效应研究

Research on the risk spillover effect of international energy price volatility on China’s financial market

基于TVP-VAR模型和波动溢出网络模型,测度了以原油、天然气和动力煤为代表的国际能源价格波动对中国金融市场的风险溢出效应,此外还通过波动溢出网络刻画了风险溢出的方向和路径。研究表明:国际原油价格波动对中国金融市场的风险溢出效应最强,然后依次是天然气和动力煤,三者对债券市场的风险溢出效应是最强的;原油和天然气与金融市场的时变净溢出指数变化比较剧烈,而动力煤的这一指数变化则明显平缓了很多,在极端风险事件发生后,国际能源价格波动对中国金融市场的风险输出水平显著增加;波动溢出网络在不同时期下存在明显的结构变化,具有事件驱动特征,国际能源价格波动与中国金融市场的波动溢出强度排序为新冠疫情时期、中美贸易摩擦时期和俄乌冲突时期。

Based on the TVP-VAR model and the volatility spillover network model,this paper measures the risk spillover effects of international energy price volatility represented by crude oil,natural gas and thermal coal on the China’s financial market,and describes the direction and path of risk spillover through the volatility spillover network.The results show that the international crude oil price volatility has the strongest spillover effect on China’s financial market,followed by natural gas and thermal coal,with the three having the strongest spillover effect on the bond market.The time-varying net spillover index of crude oil and natural gas and the financial market changes sharply,while the index of thermal coal changes noticeably more smoothly.After the occurrence of extreme risk events,the risk output level of international energy price volatility on China’s financial market increases significantly.The volatility spillover network has obvious structural changes in different periods and has event-driven characteristics.The spillover intensity of international energy price volatility and China’s financial market is ranked as the period of COVID-19,the period of Sino-US trade friction and the period of Russia-Ukraine conflict.