Research On The Risk Transmission Of Commodity Price Fluctuations From The Perspective Of The Industrial Chai

Bulk commodities are the basis of numerous production,closely related to economic growth and social development,and as a key link in the global industrial chain,their increased price volatility will lead to increased systemic risk,which can have an important impact on the real economy and inflation levels.Studying the risk transmission of commodity price volatility from an industrial chain perspective can provide a more comprehensive grasp of the interactions and dependencies among the links,identify potential weak links and risk sources,and also help policy makers and market participants to formulate risk management strategies more effectively to cope with uncertainties and fluctuations within the industrial chain.Therefore,research on the risk transmission of commodity price volatility from an industry chain perspective is important for revealing the price correlation mechanism,analyzing the root causes and transmission paths of volatility,optimizing the layout of industry chains,and reducing economic system risk.This paper takes the industrial chain perspective as an entry point,and selects an integrated industrial chain consisting of energy and chemical commodities based on production relations.The main research contents and findings are as follows:First,the GAS time-varying Copula method and minimum spanning tree are combined to explore the evolutionary characteristics of the price dependence structure of the commodity industry chain.The price volatility correlation is portrayed by ARMA(m,n)-GARCH(1,1)-t model and GAS time-varying Copula function,based on which the minimum spanning tree is used to construct the commodity price volatility dependence network in the industry chain and its structure is analyzed by various topological indicators.The evolution of the dependence network and the individual behavior characteristics of commodities in the industry chain after different extreme events are verified to be significantly different.Second,the TVP-VAR-DY model is applied to analyze the transmission mechanism of commodity price volatility risk in the industry chain from static and dynamic perspectives.It is found that the price volatility spillover index is highly sensitive to extreme risk events.The direction of risk transmission is generally from petrochemical industry to coal industry and upstream to downstream.In addition,methanol-polyethylene serves as the main channel connecting the coal industry and the petrochemical industry,and the link between these two industries has been strengthened through this channel since the occurrence of extreme events in recent years.Finally,a comparative analysis of the risk spillover effects of price volatility during the three periods of Sino-US trade friction,the new crown infection,and the Russia-Ukraine conflict.In contrast,the petrochemical industry is more vulnerable to extreme events,which leads to an asymmetric role reversal,with crude oil consistently playing the role of the main risk transmitter in the chain during extreme events,most notably during the Russian-Ukrainian conflict.Due to its intermediary role between the petrochemical and coal industries,methanol’s importance in the chain increases significantly when risks occur.In times of extreme events,commodities are more sensitive to external shocks and investors need to be aware that risk spillovers may affect diversification returns;when formulating policies,regulators should consider the interactions between commodities in the chain.This study can provide a reference for market participants and regulators in their investment and risk management decisions.