我国粮食与能源的跨市场风险传染及外部冲击

doi:10.16381/j.cnki.issn1003-207x.2022.0454

Abstract

Abstract:

In order to investigate the issue of food and energy security in China， a cross-market “food-energy-finance” three-sector system is constructed to study the risk contagion within the system and outside the system， by using DAG， CoVaR， network topology and other methods. Research shows that the risk sources of domestic food and energy have changed from the original international dominance to a “Dual Circulation” dual-wheel drive since the end of 2019. And the risk contagion center within the food-energy-financial system has changed from the international crude oil market to the international agricultural product market and the domestic financial market with the development of the epidemic， so does the intensity and direction. Among many external shocks， the monetary policy of quantitative easing in the United States and the fluctuation of international commodities are the main external factors affecting the security of China’s food-energy-financial system. In accordance with the conclusions， this paper obtained provides a new basis for index selection in risk warning to forecast China’s food and energy security.

Key words: food and energy security, cross-market risk contagion, external risk shocks, conditional value-at-risk, network topology

CLC Number:

F830

Yinglin Liu, Yan Fang, Jinqiang Yang. Cross-Market Risk Contagion and External Shocks of China's Food Energy[J]. Chinese Journal of Management Science, 2024, 32(11): 103-114.

Figures/Tables 12

疫情前风险传导系数 $β$							疫情后风险传导系数 $β$
市场	B.IPE	USAG	SPX.GI	SC.INE	CICSF	SH300	市场	B.IPE	USAG	SPX.GI	SC.INE	CICSF	SH300
B.IPE	1.0000	0.4633	0.6997	0.6512	0.0954	0.8487	B.IPE	1.0000	0.8923	0.7760	0.5541	1.3164	1.0633
USAG	0.0585	1.0000	0.0777	0.0960	0.0660	0.2076	USAG	0.0675	1.0000	0.0826	0.1133	0.2332	0.1475
SPX.GI	0.3336	0.2738	1.0000	0.2454	0.0163	0.4089	SPX.GI	0.3719	0.4086	1.0000	0.3128	0.7573	0.8795
SC.INE	0.1686	0.3848	0.2822	1.0000	-0.0182	0.4585	SC.INE	0.1709	0.1213	0.2124	1.0000	1.0313	0.7134
CICSF	0.0022	0.0053	0.0092	0.0127	1.0000	0.0022	CICSF	0.0370	-0.0059	0.0729	0.1922	1.0000	0.2514
SH300	0.1253	0.2333	0.2220	0.2203	0.1489	1.0000	SH300	0.0998	0.1645	0.1596	0.2435	0.5365	1.0000

市场	$β$	$V a R q i j$	$C o V a R q i j$	$∆ C o V a R q i j$	排序
CICSF	1.6653	1.6070	15.2858	20.4015	1
SC.INE	0.2481	4.5738	12.8930	17.8545	2
SH300	0.1542	2.2914	12.1121	17.1604	3
B.IPE	-0.2034	4.5165	10.5401	15.4117	4
USAG	-0.7087	1.9663	10.2298	15.1396	5
SPX	-0.5466	2.5958	9.6021	14.5457	6

	常数	SPGSCRITR.SPI	FRB.Return	Iusa	COVID
系数	0.1561	-0.1390	0.1988	0.0279	0.0613
p值	0.0000^***	0.0147^*	0.0000^***	0.0000^***	0.0000^***
Adjusted- $R 2 = 0.381$ ，F统计量87.54（0.0000）

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疫情前∆CoVaR矩阵							疫情后∆CoVaR矩阵
市场	B.IPE	USAG	SPX.GI	SC.INE	CICSF	SH300	市场	B.IPE	USAG	SPX.GI	SC.INE	CICSF	SH300
B.IPE	-0.0206	4.9477	5.3468	6.7386	4.3349	5.8362	B.IPE	-0.0206	6.3792	6.2706	7.3209	7.4037	7.3152
USAG	1.9622	-0.0927	1.9058	2.1624	1.8245	2.1552	USAG	2.1265	-0.0927	2.0765	2.4178	2.3259	2.3583
SPX.GI	3.2925	2.7312	-0.0548	3.2945	2.3663	3.1069	SPX.GI	3.8503	3.5475	-0.0548	4.1457	3.8699	5.0511
SC.INE	4.4873	4.5143	4.3052	-0.0323	3.7329	4.3442	SC.INE	5.2503	4.7992	5.1991	-0.0323	5.6242	5.7184
CICSF	1.6446	1.6638	1.6475	1.6839	-0.0889	1.6257	CICSF	1.8229	1.6020	1.7844	2.3590	-0.0889	2.0965
SH300	2.5334	2.4319	2.5594	2.7713	2.3795	-0.0231	SH300	2.6171	2.6134	2.8302	3.1506	2.8479	-0.0231

样本	市场	国际			国内
样本	市场	原油	粮食	金融	原油	粮食	金融
疫情前	NET	71.598	8.133	-10.385	-49.161	-8.079	-12.107
	IN	1.207	1.027	17.737	54.438	9.871	14.390
	OUT	72.806	9.160	7.352	5.276	1.793	2.283
	GROSS	74.013	10.186	25.089	59.714	11.664	16.674
疫情后	NET	54.569	17.144	-10.920	-18.978	-23.869	-17.947
	IN	3.629	3.380	21.627	30.745	30.574	18.622
	OUT	58.198	20.525	10.707	11.767	6.705	0.675
	GROSS	61.827	23.905	32.334	42.512	37.279	19.298
全样本	NET	58.955	12.372	-12.270	-25.916	-20.953	-12.189
	IN	1.442	2.143	20.405	34.945	22.825	13.210
	OUT	60.397	14.515	8.135	9.029	1.873	1.021
	GROSS	61.839	16.658	28.540	43.975	24.698	14.231

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Cross-Market Risk Contagion and External Shocks of China's Food Energy

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Figures/Tables 12

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	常数	SPGSCRITR.SPI	FRB.Return	Iusa
系数	-4.7767	-21.2041	54.9808	2.0598
p值	0.0000^***	0.0194^*	0.0000^***	0.0000^***