原油市场极端风险传染度量及其动态机理研究

Oil market extreme risks can spread to other financial market, financial system as well as real economy through the whole open economic and financial system, causing the economic or financial systemic risks. .This project aims to explore the dynamic Copula, CoVaR and VAR-NC models, and then make extensions and improvements for them particularly, to some extent promoting their theoretical and applied researches in the systemic risk and risk management area. Meanwhile, it will employ the dynamic Copula-CoVaR model, NC model and their extended models to measure the risk spillovers from oil market to other global financial markets, financial systems as well as China’s macroeconomic system, and then analyze the dynamic mechanisms of oil risk contagion, providing the economic and financial regulators of the countries, particularly China, as well as investment institutions with some guidances to monitor the oil extreme risk spillovers. .This project has some certain theoretical or methodological innovations and large numbers of empirical researches, and meanwhile the empirical results are fully comprehensive and highly comparable. The proposed considerable and comparable empirical analyses can provide theoretical supports and practical references for China to prevent and dissolve serious energy risks to keep the bottom line of no systemic risks.

原油市场极端风险能够通过整个开放的经济金融体系传导到其他金融市场、系统以及宏观实体经济，从而引发经济金融系统性风险。.本项目旨在探究动态Copula、CoVaR以及VAR-NC理论，特别是对现有动态Copula模型、CoVaR模型和NC模型的扩展与改进，在一定程度上它们在系统性风险与风险管理领域的理论和应用研究。同时，本项目拟通过动态Copula-CoVaR模型、NC模型及其扩展模型度量原油市场对全球金融市场、金融系统以及中国宏观经济系统的风险溢出效应，进而分析原油极端风险传染的动态机理，从而为世界各国尤其是中国经济金融监管部门以及投资机构监测原油市场风险溢出提供指导。.本项目不仅具有一定的理论方法创新和大量的实证研究特色，而且实证结果之间具有全面系统性和高度可比性。拟进行的大量且具有较高可比性的实证分析，可为我国防范和化解能源重大风险、坚守不发生系统性风险的底线提供理论支持和现实参考。

本项目围绕原油市场极端风险传染度量及其动态机理，从系统性风险度量模型（包括动态Copula-CoVaR模型与网络连接NC模型）到原油市场极端风险传染动态机理（包括原油市场对股票市场、外汇市场、商品市场以及中国宏观经济系统）等两个方面展开原油市场风险传染相关研究。目前，本项目已经完成相关研究内容，研究过程中基于实证结果和前沿进展适当调整研究方案，相关成果发表还在继续进行。本项目进展顺利，取得了较好的研究成果，已发表SSCI/SCI论文4篇，其中以第一（通讯）作者发表高水平期刊论文3篇，包括Energy Economics论文2篇，International Journal of Finance & Economics论文1篇。另有相关部分成果还在进行中，包括以第一作者正在整理《原油市场极端风险传染度量及其动态机理》专著1部，以通讯作者投稿Energy Economics论文1篇（二审）。参与国内外能源气候金融与低碳管理领域知名学术会议7人次。