Study on the Extreme Risk Spillover Mechanism among
China's Crude Oil, Commodity and Financial Markets
Ma Yanran, Hu Min, Zhang Dayong and Ji Qiang
摘要：上海原油期货是我国金融系统的重要组成部分，深入探究其与国内其他金融市场之间的互动与影响，不仅有利于我国原油期货市场制定风险防控策略，而且有利于我国金融系统的风险防控和稳定。本文采用关联网络方法，首次对我国新上市的原油期货与国内其他金融资产之间的极端风险溢出网络进行综合识别与分析，并且对我国原油期货在国内金融体系中的地位和影响力进行了动态分析。研究发现，我国原油期货市场已经成为国内金融系统内重要的极端风险关联方，相比于其他市场，外汇市场表现出原油期货的“避险资产”属性。此外，应用滚动窗口方法发现，国内原油期货市场与其他金融资产之间极端风险关联性具有明显的时变特征，易受到突发事件的影响大幅波动，并且上、下行风险溢出呈现出明显的非对称性，下行风险溢出水平高于上行风险溢出水平。本文的研究结论为监管国内原油期货与其他金融资产之间的极端风险联动提供了初步的实证依据。
关键词：上海原油期货市场；金融资产；关联网络；风险溢出
Abstract: Shanghai crude oil futures is an important part of China's financial system. To explore the interaction and influence between Shanghai crude oil futures market and other domestic financial markets will not only help China's crude oil futures market formulate risk prevention and control strategies, but also be conducive to the risk prevention and control and stability of China's financial system. This paper tries to investigate the extreme risk spillover mechanism between China's crude oil market and finance markets by employing a connectedness network approach, and then identify the dynamic position and influence of China's newly launched crude oil futures in the domestic financial system. Our findings indicate that China's crude oil futures market has become an important participant in the extreme risk connectedness network of the domestic financial system. And compared with other markets, the foreign exchange market exhibits the hedging asset properties of crude oil futures. In addition, by applying the rolling window method, this paper also find that the extreme risk spillover between domestic crude oil futures and other financial assets has obvious time-varying characteristics, and the spillover level is susceptible to extreme events and fluctuates significantly. Moreover, the upward and downward risk spillovers present obvious asymmetry, and the downward risk spillover level is higher than the upward risk spillover level. The findings in this paper also provide preliminary evidence for the risk rules across markets for China's crude oil futures.
Keywords: Shanghai Crude Oil Futures Market; Finance Market; Connectedness Network; Risk Spillover
基金资助：本文系上海期货交易所课题合作研究计划“原油期货风险传导机制和功能发挥指标评价体系研究”；国家自然科学基金面上项目“全球能源市场系统性风险测度与传染机制研究”（71974181）和“能源市场金融化及其对我国能源风险管理的影响机制研究”（71974159）；中国科学院青促会项目“大数据与能源金融”的阶段性成果。
