关键词:

中国原油期货, 风险厌恶, 金融市场, 时变溢出效应

Abstract: The TVP-VAR-DY model is used to investigate the systematic spillover relationships among the Chinese crude oil futures market, international financial markets, and global risk aversion, with the aim of uncovering the time-varying connections between the Chinese crude oil futures market and global financial factors. The empirical results indicate that the information spillover between the Chinese crude oil futures market and global risk aversion, along with four international financial markets (stocks, exchange rates, gold, and crude oil futures), exhibits both asymmetry and time-varying characteristics. Specifically, global risk aversion and international financial markets are the primary drivers of spillovers to the Chinese crude oil futures market, with a notable increase during significant events such as the 2018 China-US trade dispute, the 2020 global COVID-19 pandemic, and the 2022 Russia-Ukraine war. Additionally, while the international crude oil futures market has a significantly stronger net spillover effect on the Chinese crude oil futures market compared to other global financial factors, within the net spillover network, global risk aversion and international stock markets emerge as the primary sources of risk.

Key words: Chinese crude oil futures, risk aversion, financial market, time-varying spillover effect