| This century has seen frequent outbreaks of extreme global risk events,and the stable development of the global economy has been greatly threatened by financial crises,trade frictions,public health emergencies and geopolitical factors.In recent years,China has continued to promote the two-way opening of its capital market,which has injected strong vitality into domestic economic development while making external risks import and spread more rapidly.The facts show that the threat to the global economy posed by the spread of the new crown pneumonia epidemic and the deteriorating situation in Russia and Ukraine has caused strong volatility in the international commodity market,and with the deepening of economic globalization and financial integration,China,as the largest emerging market country,has become increasingly dependent on international commodities,and the contagion and diffusion of extreme risks between the international commodity market and the Chinese capital market In such an environment,it is necessary to study in depth the risk spillover between international commodity markets and Chinese capital markets.Based on the above background,this paper attempts to empirically study the risk spillover effects between international commodity markets and Chinese capital markets from the perspective of extreme events in order to provide a policy basis for the prevention of imported risks in Chinese capital markets.In this thesis,the international commodity market,Chinese stock market and bond market are selected as representative objects of research,and selects November 5,2009 to September 29,2022 as the full sample interval for empirical study,and selects four extreme events,namely,European debt crisis,Sino-US trade friction,new crown epidemic and Russia-Ukraine conflict,as the sample interval,based on the DCC-GARCH model to portray the dependence structure between different markets,and analyzes the linkage effects between international commodity market and Chinese capital market in the context of extreme events.We analyze the risk spillover relationship and the dynamic change process between markets based on the spillover index method constructed by Diebold and Yilmaz(2012),and compare and analyze the information spillover characteristics under the effect of different extreme risk events.Through the empirical analysis,the main conclusions obtained in this paper are as follows: Firstly,the overall correlation between the international commodity market and the Chinese capital market is strong,the correlation coefficient is highly volatile,and there is a two-way spillover effect,with both the commodity market and the capital market playing the dual role of risk exporters and receivers.Secondly,price fluctuations in energy commodities and metals are an important source of risk input to China’s capital markets.Extreme changes in crude oil prices can trigger violent fluctuations in the capital market,and various assets such as stock and bond markets will be continuously threatened;the industrial properties of silver and copper determine that their price fluctuations will affect the Chinese capital market through real economic effects,with the level of risk output significantly higher than the level of risk input.Thirdly,the occurrence of extreme risk events significantly affects the intensity,volatility and direction of risk spillovers between international commodity markets and Chinese capital markets.From the static level,the total spillover in the extreme event interval is significantly larger compared to the no extreme event interval,with the US-China trade friction and the new crown epidemic having the largest impact on the overall level of linkage between commodity markets and capital markets,and the Russian-Ukrainian conflict having the largest force on the risk spillover between energy and metal-based markets and capital markets.In terms of dynamic level,the volatility of information spillover between commodity markets and Chinese capital markets is more intense under the influence of extreme risk events.The European debt crisis has the longest duration of action,which also stems from the aftershocks of the financial crisis adding to it,suggesting that shocks from extreme events of a financial nature can trigger a chain reaction with a long recovery period.The outbreak of the new crown epidemic pushes the intensity of risk spillover to the peak,but as the epidemic is controlled,the risk spillover decreases and the direction of spillover between two markets changes.Finally,based on the results of the empirical study,this paper puts forward relevant policy recommendations to cope with the export risk prevention in the international commodity market and the sound development of the domestic capital market. |
