我国大宗商品市场的风险变化及其跨市场溢出效应研究

摘要/Abstract

摘要： 近年来，在国际地缘政治冲突与全球经贸摩擦交织的背景下，大宗商品市场日益成为全球风险的核心汇集区。本文首先基于ARMA-GJR-GARCH与Copula-CoVaR模型，考察大宗商品市场与金融市场之间的风险联动关系。进而从尾部风险测度指标期望损失（ES）出发，结合动态半参数广义自回归得分（GAS）模型，更精准地度量两大市场的极端风险变化。此外，本文通过构建多层网络结构，系统分析了不同类别大宗商品与金融市场之间的风险溢出效应。研究结果表明：①大宗商品市场与金融市场之间存在显著正向风险联动，且大宗商品市场的上尾风险更易向金融市场传递；②大宗商品市场风险的持续性和风险损失变化范围均小于银行等金融市场；③大宗商品市场对银行、证券与保险市场存在着较明显的净风险输入，其中化工、有色及油脂油料等作为生产原料的大宗商品市场，对金融市场表现出较强的净风险输出效应，而农业类与贵金属商品市场则受到了金融市场的正向风险净传染。本文的研究结论不仅揭示了大宗商品与金融市场之间的风险传递情况，也能为相关决策者在风险预警与宏观审慎调控方面提供一定的参考依据。

关键词: 大宗商品市场, 金融市场, 尾部风险, 风险溢出, 网络分析

Abstract: In recent years, against the backdrop of intertwined international geopolitical conflicts and global economic and trade frictions, commodity markets have increasingly become a focal point for global risk convergence. We first examine the risk linkage between commodity and financial markets using ARMA-GJR-GARCH and Copula-CoVaR models. Subsequently, we employ the expected shortfall (ES) as a tail risk measure, combined with a dynamic semi-parametric Generalised Autoregressive Score (GAS) model, to more precisely quantify extreme risk shifts across both markets. Additionally, by constructing a multi-layered network structure, we systematically analyse risk spillover effects between different commodity categories and financial markets. Our findings indicate: ① Significant positive risk linkage exists between commodity and financial markets, with upside tail risks in commodities being more readily transmitted to financial markets; ② The persistence of commodity market risks and the range of risk loss variations are both smaller than those in financial markets such as banking; ③ Commodity markets exhibit a pronounced net risk input to banking, securities, and insurance markets. Among these, commodity markets for raw materials such as chemicals, non-ferrous metals, and oils and fats demonstrate a strong net risk output effect on financial markets, whereas agricultural and precious metals commodity markets experience positive net risk contagion from financial markets. Our findings not only illuminate risk transmission between commodities and financial markets but also provide decision-makers with reference points for risk early warning systems and macro-prudential regulation.

Key words: commodity market, financial market, systemic risk, risk spillover, network analysis

张天顶, 曾松. 我国大宗商品市场的风险变化及其跨市场溢出效应研究[J]. 管理评论, 2026, 38(4): 3-14.

Zhang Tianding, Zeng Song. Research on Systemic Risk of China’s Commodity Market and Its Cross-market Spillover Effect[J]. Management Review, 2026, 38(4): 3-14.

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