分位数视角下地缘政治风险与中国大宗商品市场溢出研究

Geopolitical Risks and China's Commodity Market Spillovers from the Quartile Perspective

近年来,地缘政治事件频发,地缘政治风险与大宗商品市场损失、收益间风险溢出问题不容忽视。本文基于中国大宗商品期货数据,利用分位数溢出网络模型及其频域分解技术,研究了相较于常规状态,极端右尾地缘政治风险与大宗商品市场损失、收益间的风险溢出效应。研究表明:常规状态下,地缘政治风险与大宗商品期货形成的交叉溢出网络具有稀疏性,以自反馈溢出为主导,而极端状态下,转为紧密网络,交叉溢出显著上升,自反馈溢出显著下降,形成风险从内部向外部传播的扩散效应。多数时候地缘政治风险在常规状态下表现为风险接受者,右尾状态下表现为强烈的风险发出者,尤其是在2020年和2022年两个关键时期,地缘政治风险对我国大宗商品市场产生了全面的强烈冲击。频域溢出层面,常规状态下,地缘政治风险以短期净溢出为主,长期溢出不显著;极端状态下,短期、长期溢出效应均显著。具体行业而言,原油处于交叉溢出的关键位置,且在极端时期对外溢出显著,豆粕易从常规时期的风险发出转变为极端时期的风险接受。本文的研究结论对于理解地缘政治风险与大宗商品市场的复杂关系、实现大宗商品市场风险管理具有重要意义。

In recent years,geopolitical events have increased,highlighting the spillover between geopolitical risks and bulk commodities.Based on China's commodity futures data,the study employs the quantile spillover network model and the frequency domain decomposition to investigate the risk spillover effects between the geopolitical risk of the extreme right tail and the risk spillover effect of the extreme state(left tail and right tail)commodities compared with the conventional state.The findings indicate that under normal circumstances,the spillover network formed by geopolitical risks and commodity futures is sparse and dominated by self-feedback spillovers.However,during extreme conditions,the network becomes tightly connected,with a notable increase in cross spillovers and a decrease in self-feedback spillovers,indicating a diffusion effect where risks spread externally.Geopolitical risks typically act as risk receivers in normal states but become strong risk emitters during right-tail conditions,particularly evident during critical periods like 2020 and 2022,which had a profound impact on China's commodity market.In terms of frequency domain spillovers,while short-term spillovers are prominent in normal conditions,both short-term and long-term spillover effects are significant during extreme situations.Notably,crude oil plays a key role in cross spillovers,showing significant outward spillovers in extreme periods,while soybean meal shifts from a risk emitter to a receiver.These findings are crucial for understanding the complex relationship between geopolitical risks and commodity markets.