摘要
本文比较研究国内外金属期货市场"风险传染",并提出了波动溢出项。我们发现国内市场存在特有的期铜向期铝的单向波动溢出,不可预期的随机行为导致铜市场风险在铝市场被放大。而且,宏观经济因素不是波动溢出的主要内因。另外,国内金属期货市场对宏观经济冲击反应具有非对称性,国内金属期货价格变动对宏观经济作用具有非对称性。我们建议关注期铜风险;应避免在期铜价格波动较大时,推出新金属期货品种;进一步培育期铝市场。
This paper investigates ＂Risk Contagion＂ in domestic and foreign metal futures markets, and the authors give a definition of Volatility Spillover Term. Firstly it can be found that domestic market has a special directional volatility spillover from copper （Cu） to aluminum （Al）, and the unpredictable behavior leads to Cu market risks being magnified in Al market. Moreover, the main reason of volatility spillover is not the macro-economical factors. The paper also finds that there exists dissymmetry between domestic metal futures market and macro-economy shocks, as well as between the change of domestic metal futures price and macro-economy. Finally, the authors suggest to manage the risk of Cu future and avoid launching new metal futures while there is a big volatility of Cu future price, and further improve Al future market.
出处
《金融研究》
CSSCI
北大核心
2007年第05A期133-146,共14页
Journal of Financial Research
基金
国家软科学研究计划资助(2005DZS3D069)。
关键词
风险传染
波动溢出
方差分解
risk contagion, volatility spillover, variance decomposition
作者简介
方毅（1976-），男，经济学博士生，就读于吉林大学商学院。
张屹山（1949-），男，教授，博士生导师，任职于吉林大学商学院。
