基于转移网的商品市场系统性风险的早期预警:来自中国的证据
Yiran Zhao1, Xiangyun Gao1,2, Hongyu Wei1
1School of Economics and Management, China University of Geosciences, Beijing 100083, China.
Entropy (Basel, Switzerland)
|July 26, 2024
概括
本研究使用因果网络模型来检测商品市场系统风险的早期警告. 它发现,工业和贵金属市场显著影响其他市场,帮助投资者和政策制定者进行风险管理.
科学领域:
- 经济学 经济学 经济学
- 金融市场 金融市场
- 网络科学 网络科学
背景情况:
- 商品市场的系统性风险对金融稳定构成重大威胁.
- 了解动态因果关系对于预警系统至关重要.
- 中国的商品市场是全球价格发现和风险传播的核心.
研究的目的:
- 开发和验证使用转移的因果网络模型,用于系统风险的早期预警.
- 确定影响系统风险的关键商品和市场细分市场.
- 分析外部冲击对商品市场网络结构和系统风险的影响.
主要方法:
- 基于转移的因果网络建模.
- 分析了25个中国商品价格 (期货和现货) 的动态因果关系.
- 检查不同危机事件下的网络结构变化.
主要成果:
- 工业和贵金属市场表现出强大的信息传输能力.
- 这些市场的价格波动对其他商品的影响更广泛,更强烈.
- 在经济危机和俄罗斯-乌克兰冲突期间观察到不同的网络结构.
结论:
- 来自因果分析的网络结构指标可以有效地警告系统性风险.
- 该研究为投资者和政策制定者提供了洞察力,以减轻意外损失.
- 识别有影响力的商品市场可以增强系统性风险管理策略.
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