能源、金属和农产品市场的风险溢出：网络视角

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-05-31 DOI:10.1016/j.frl.2025.107502

Zixin Liu , Renhao Zou , Shuguang Zhang , Cheng Zhang

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引用次数: 0

摘要

本研究利用尾部风险网络考察了尾部风险的传染和商品市场的多样化。对邻接矩阵的分析显示，同类别商品之间的传染效应比不同类别商品之间的传染效应更为明显，工业金属推动了跨类别风险的传播。在俄乌战争期间，贵金属的对冲效果比新冠肺炎更强。此外，商品市场的主要风险因素表现出时变特征。最后，研究发现了网络因素对商品市场影响的市场异质性和不对称性。这些发现对监管机构维护商品市场的稳定具有重要意义。

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Risk spillovers among energy, metals, and agriculture commodity markets: A network perspective

This study examines tail risk contagion and diversification in commodity markets using tail risk networks. The analysis of adjacency matrices reveals a more pronounced contagion effect among commodities within the same category compared to those across different categories, with industrial metals driving cross-category risk transmission. Precious metals showed greater hedging effectiveness during the Russia–Ukraine war than COVID-19. Moreover, the principal risk contributors in commodity markets exhibit time-varying characteristics. Finally, the study identifies market heterogeneity and asymmetry in the influence of network factors on commodity markets. These findings hold significance for regulatory agencies to maintain stability in commodity markets.

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来源期刊

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