地缘政治风险是否推动了散装能源和化学商品的极端溢出效应?
Zhang Tao1, Tianzhuang Li2, Yadi Chen3
1Guangxi Colleges and Universities Key laboratory of Intelligent Logistics Technology, Nanning Normal University, Nanning, Guangxi, China.
PloS one
|June 18, 2025
概括
地缘政治风险 (GPR) 显著影响自然资源价格,高频溢出影响导致传染. 散装能源市场传递风险,而化学商品则接收风险,特别是原油影响青.
科学领域:
- 经济学 经济学 经济学
- 环境科学 环境科学
- 金融 金融 金融 金融 金融
背景情况:
- 地缘政治风险 (GPR) 显著影响自然资源价格,对经济至关重要.
- 了解风险传染对于市场稳定和经济可持续性至关重要.
研究的目的:
- 分析地缘政治风险,散装能源和化学大宗商品市场之间的不对称风险传染.
- 调查时间频率动态和风险溢出驱动因素.
主要方法:
- 随时间变化的参数向量自回归与贝叶斯收缩 (TVP-VAR-BK) 模型.
- 时间频率分析以捕捉动态和周期性风险传染.
主要成果:
- 风险传染表现出时间变化的不对称性,周期性和对极端事件的易感性.
- 高频溢出是主要的驱动因素,显示短期脆弱性.
- 散装能源市场是主要的风险传播者,原油至青是最重要的;化学商品是主要的接收者.
结论:
- 地缘政治风险的传播是动态和不对称的,具有显著的短期影响.
- 能源和化学品市场的相互联系需要有针对性的监管干预.
- 了解这些传输道是减轻地缘政治事件带来的系统风险的关键.
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