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

摘要： 利用TVP-VAR-DY模型，研究了中国原油期货市场、国际金融市场以及全球风险厌恶之间的系统性溢出关系，旨在揭示中国原油期货市场与全球金融因素的时变联系。实证结果表明：中国原油期货市场与全球风险厌恶以及股票、汇率、黄金和原油期货4类国际金融市场的信息溢出具有非对称性和时变性。具体地，全球风险厌恶和国际金融市场主导对中国原油期货市场的溢出，并在2018年中美贸易争端、2020年全球新冠疫情以及2022年俄乌战争期间显著和增强。此外，研究发现，尽管国际原油期货市场对中国原油期货市场的净溢出效应明显强于其他全球金融因素，但在净溢出连通网络中，全球风险厌恶和国际股票市场是主要的风险来源。

关键词:

中国原油期货, 风险厌恶, 金融市场, 时变溢出效应