金融资产与运输能源之间的波动性溢出
1School of Management, China Institute for Studies in Energy Policy, Collaborative Innovation Center for Energy Economics and Energy Policy, Xiamen University, Fujian, 361005, China.
Journal of environmental management
|September 2, 2025
概括
金融资产对运输能源波动有重大影响,长期影响至关重要. 像COVID-19疫情这样的重大全球事件造成了这种波动性溢出的急剧增长.
科学领域:
- 金融经济学
- 能源经济学
- 经济计量学
背景情况:
- 了解金融市场和能源之间的波动溢出对于风险管理和政策至关重要.
- 全球金融和能源系统的相互联系需要对资产和运输能源动态进行分析.
- 除了化石燃料和生物燃料,绿色和非绿色金融资产也是该综合体系的关键组成部分.
研究的目的:
- 调查各种金融资产和运输能源之间的波动溢出动态.
- 确定波动的方向影响和传播机制.
- 分析极端市场条件和全球事件对波动溢出的影响.
主要方法:
- 使用的时间变量向量自回归 (TVP-VAR) 模型.
- 分析了2018年至2023年的数据.
- 对金融资产 (非绿色和绿色) 和运输能源 (化石燃料和生物燃料) 的波动性溢出效应进行了审查.
主要成果:
- 大多数金融资产对运输能源的波动有积极影响,而生物柴油则是例外.
- 长期波动是整体溢出的一个重要驱动因素;化石燃料表现出更长期的传播,而乙醇则表现出短期的传播.
- 在COVID-19大流行和俄乌战争期间,波动性连接性显著增加,在大流行期间更明显增加.
- 在极端市场条件下,波动性溢出效应会加剧 (第5个和第95个百分点).
结论:
- 金融资产对运输能源波动有很大影响,尤其是在长期内.
- 像COVID-19疫情和地缘政治冲突这样的全球危机极大地增加了市场波动.
- 这些发现为制定金融和能源市场风险减缓策略提供了关键的见解.
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