波动溢出网络视角下的不确定性冲击与能源价格波动
Uncertainty Shocks and Energy Price Volatility in the Perspective of Volatility Spillover Networks
罗胜涛1
作者信息
- 1. 广东财经大学金融学院,广东广州 510320
- 折叠
摘要
本文基于TVP-VAR-DY模型选取国内外8种不确定性指标和3种国际能源大宗商品价格指数进行分析,得到如下结论与建议:第一,全球能源不确定性、全球经济政策不确定性和气候政策不确定性对能源市场存在显著的溢出效应;第二,原油价格波动引发了整个能源市场价格波动,并且还导致其他不确定性的上升;第三,原油价格波动在2007～2009年金融危机期间受到的影响较大,动力煤价格波动在2014～2016年中国地缘政治风险上升和巴黎协定签订期间受到的影响较大,天然气价格波动在2020～022年新冠疫情和俄乌冲突发生期间受到的影响较大;第四,不同时频下波动溢出网络特征有所不同.根据以上实证结论,本文为防范能源价格波动风险提供了有益启示.
Abstract
Based on the TVP-VAR-DY model,this paper selects eight domestic and foreign uncertainty indicators and three international energy commodity price indices to analyse,and obtains the following conclusions and recommendations:first,energy uncertainty,global economic policy uncertainty and climate policy uncertainty have obvious spillover effects on the energy market;second,the price volatility of crude oil influences the price volatility of the whole energy market,and also influences the rise of other rising uncertainties;third,crude oil price volatility was more affected by the impact of the financial crisis in 2007-2009,power coal price volatility was more affected by the rising geopolitical risks in China and the signing of the Paris Agreement in 2014-2016,and natural gas price volatility was more affected by the occurrence of the COVID-19 and the Russia-Ukraine Conflict in 2020-2022;and fourth,the frequency of the different volatility spillover network characteristics differ.Based on the above empirical findings,this paper provides useful insights for coping with energy price volatility risks.
关键词
不确定性冲击/能源价格/TVP-VAR-DY/波动溢出/连通性网络Key words
Uncertainty Shocks/Energy Prices/TVP-VAR-DY/Volatility Spillover/Connectedness Network引用本文复制引用
基金项目
广东财经大学"双百工程"项目(2023-2024)()
出版年
2024
NETL
NSTL
万方数据