Research on the risk spillover effect of international energy price volatility on China's financial market
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.
international energy price volatilityTVP-VAR modelvolatility spillover network modelfinancial market
万方数据
维普
