Energy Market Uncertainty and the Tail Dependency Structure and Spillover Effects of Financial Market Risk in China
Based on the QVAR-DY model,this paper explores the volatility spillover effect of China's international energy uncer-tainty and China's financial market,and finds that:first,there is a significant spillover effect between energy uncertainty and the financial market,and the spillover effect is stronger and the magnitude of the shock is more intense in the extreme state;second,there is a significant time-varying characteristic of the risk spillover effect between energy uncertainty and the financial market,which generates greater volatility in the event of the escalation of geo Second,the risk spillover effect between energy uncertainty and financial markets has significant time-varying characteristics,with larger fluctuations in geopolitical conflict escalation,trade friction events and major economic policy events;third,the international energy uncertainty has a higher level of spillover index to China's financial markets,and there is a certain degree of variability in the spillover effects on the stock,bond,foreign ex-change and commodity markets.The findings of the study provide a certain reference basis for preventing systemic financial risks in China,maintaining the stability of the financial market and promoting the healthy and orderly development of the economy.
Energy market uncertaintyFinancial market riskAil dependenceQVAR-DY model
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