Yang Yuying, Ma Yan-Ran, Hu Min, Zhang Dayong, Ji Qiang
Business School, University of Shanghai for Science and Technology, 200093, Shanghai, China.
Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China.
Financ Res Lett. 2021 May;40:101743. doi: 10.1016/j.frl.2020.101743. Epub 2020 Aug 30.
This paper investigates the risk spillover between China's crude oil futures and international crude oil futures by constructing upside and downside VaR connectedness networks. The findings show that China's crude oil futures behave as a net risk receiver in the global crude oil system, in which Brent and WTI play the leading roles in risk transmission in the system. The dynamic results indicate that the risk spillover between Chinese and international crude oil futures presents obvious time-varying characteristics and has risen sharply since the beginning of 2020, induced by the COVID-19 pandemic.
本文通过构建上行和下行风险价值（VaR）连通性网络，研究了中国原油期货与国际原油期货之间的风险溢出效应。研究结果表明，中国原油期货在全球原油体系中扮演着净风险接受者的角色，其中布伦特原油和西德克萨斯中质原油（WTI）在该体系的风险传导中发挥着主导作用。动态结果表明，中国与国际原油期货之间的风险溢出呈现出明显的时变特征，自2020年初受新冠疫情影响以来大幅上升。
