航运与大宗商品市场的多尺度极端风险溢出：基于GARCH-Copula-CoVaR的分析

IF 14.2 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2025-06-23 DOI:10.1016/j.eneco.2025.108564

Honghan Bei , Qian Wang , Xiaoxiao Yan , Xinpeng Geng

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引用次数: 0

摘要

全球贸易的加速发展加强了航运和商品市场之间的信息交流。本研究采用GARCH-Copula-CoVaR框架，采用多尺度分析方法，严格分析了主要航运市场与总商品市场及其子行业之间的依赖关系和极端风险溢出动态。我们的实证分析发现，航运和大宗商品行业之间存在显著的双向风险溢出，尤其是在市场低迷时期。能源部门对风险表现出更高的敏感性，而贵金属市场则因其降低风险的能力而脱颖而出。该研究还整合了地缘政治风险的影响，提供了对市场间相关性的多尺度理解。它量化了风险溢出效应，并探讨了潜在的传导机制，从而增强了对航运和商品市场之间复杂溢出现象的理解。

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Multiscale extreme risk spillover between shipping and commodity markets: An analysis based on GARCH-Copula-CoVaR

The acceleration of global trade has intensified the exchange of information across shipping and commodity markets. This study employs a GARCH-Copula-CoVaR framework to rigorously analyse the dependence and extreme risk spillover dynamics between key shipping market and both the aggregate commodity market as well as its sub-sectors, adopting a multi-scale analytical approach. Our empirical analysis identifies notable bidirectional risk spillovers between the shipping and commodity sectors, particularly during periods of market downturns. The energy sector exhibits heightened sensitivities to risk, while the precious metals market stands out for its capacity for risk mitigation. The study also integrates the impact of geopolitical risks, offering a multi-scale understanding of inter-market correlations. It quantifies the risk spillover effects and explores the underlying transmission mechanisms, thereby enhancing comprehension of the complex spillover phenomena linking shipping and commodity markets.

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.