Research on Risk Spillover Effect of International Bulk Commodity Market on China's Financial Market:Asymmetry Analysis Based on the Size of Shocks and Good and Bad Volatility
In recent years,the linkage and risk contagion between domestic and foreign financial markets have become in-creasingly strong,especially under the impact of extreme risk events,and the risk spillover effect and its asymmetry have be-come more significant.In this paper,four representative international commodity markets are selected,their volatility is de-composed into good volatility and bad volatility by calculating the realized semi-variance,and the spillover index method based on conditional quantiles is used to study the risk spillover effect of international commodity price fluctuations on Chi-na's financial market and its asymmetric characteristics.The results show that:first,international commodity price fluctua-tions have significant risk spillover effects on China's financial market,and show obvious asymmetry under different shock di-rections and shock scales.Second,the risk spillover level in extreme conditions is much higher than normal;Third,direction-al spillover is closely related to extreme economic and financial events such as international financial crises and public health emergencies.The research conclusion has certain policy enlightenment for China to prevent risk spillover in the international commodity market and maintain the smooth operation of the financial market.
International Commodity MarketRisk SpilloversGood and Bad FluctuationsTail Dependency
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NSTL
万方数据
