基于复杂网络的加密货币和能源市场尾部风险溢出效应的研究
Xiao-Li Gong1,2, Xue-Ting Wang1
1School of Economics, Qingdao University, Qingdao 266061, China.
Entropy (Basel, Switzerland)
|July 29, 2025
概括
加密货币和中国能源市场之间的风险传染是显著的,特别是在极端事件期间. 长期影响和公司特定因素推动了这种尾部风险溢出,影响了市场稳定.
科学领域:
- 经济学 经济学 经济学
- 金融市场 金融市场
- 网络分析 网络分析
背景情况:
- 越来越多的加密货币采矿引发了人们对电力消耗和市场风险的担忧.
- 了解能源和加密货币市场之间的风险传播至关重要.
研究的目的:
- 在加密货币和中国能源市场之间建立一个风险传染网络.
- 分析尾部风险溢出效应及其驱动因素.
主要方法:
- 复杂的网络方法来构建风险传染网络.
- 莱普托库尔特量子质向量自回归 (QVAR) 模型来评估溢出指数.
- 空间德宾模型探索冲击机制.
主要成果:
- 该研究准确地反映了尾部风险溢出,极端状态显示出更高的影响.
- 尾部风险传染表现出动态变化,周期性特征和显著的长期影响.
- 公司规模不是唯一的决定因素; 位置和业务组成是重要的.
结论:
- 开发的框架有效地捕捉了市场之间的尾部风险溢出.
- 能源公司之间存在空间溢出效应,受市场网络连接的影响.
- 调查结果有助于防止加密货币和能源市场之间的交叉传染风险.
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