国际农产品尾部风险溢出与中国金融市场:基于分位数时频视角

IF 6.9 2区 经济学 Q1 BUSINESS, FINANCE
Xianming Huang , Luying Liu , Heng Jiang , Yuqi Pu
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引用次数: 0

摘要

本文将QVAR模型与各种溢出指数相结合,研究了全球农产品尾部风险与中国金融市场之间的传导。研究结果表明,国际农产品市场是重要的风险来源,而中国金融市场主要是风险接受者。值得注意的是,短期溢出效应主导了尾部风险传染,其特征是跨分位数的不对称u型结构。随着这些市场尾部依赖性的增加,我们的研究强调了政策制定者及时采取措施应对极端市场条件的重要性,倡导加强监管和多元化投资组合策略。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Tail risk spillovers between international agricultural commodity and China's financial markets: based on quantile time-frequency perspective
This paper integrates the QVAR model with various spillover indices to investigate tail risk transmissions between global agricultural commodities and China's financial markets. The findings reveal that international agricultural commodity markets serve as significant risk sources, while China's financial markets primarily act as risk recipients. Notably, short-term spillovers dominate tail risk contagion, characterized by asymmetric U-shaped structure across quantiles. As the increased tail dependence of these markets, our study underscores the importance for policymakers to adopt timely measures in response to extreme market conditions, advocating for strengthened regulations and diversified portfolio strategies.
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来源期刊
Finance Research Letters
Finance Research Letters BUSINESS, FINANCE-
CiteScore
11.10
自引率
14.40%
发文量
863
期刊介绍: Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance
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