商品金融化背景下我国商品期货市场的溢出效应研究

本研究系统探究了商品金融化背景下中国商品期货市场与传统金融市场间收益率及波动性层面的溢出效应。首先，采用TVP-VAR模型构建溢出指数，全面展现了期货市场与其他金融市场间的静态和动态溢出特征。随后，对溢出指数进行分解，分析了溢出效应的来源。研究结果表明，中国商品期货市场的整体溢出指数较高，且在2008年金融危机、2015年股市异常波动和2020年新冠疫情期间明显上升。溢出指数的上升主要源于期货市场与代表性金融市场间的双向溢出。本研究的边际贡献在于更深入地探讨了商品金融化背景下中国期货市场与金融市场间的溢出效应，描绘了金融市场微观结构的变化趋势，为理解大宗商品市场金融化提供了新的视角。研究结果有助于更全面地了解金融市场间的风险传染机制，协助政策制定者识别潜在的风险隐患，提高监管效能，有效地防范系统性金融风险。同时，本研究还有助于优化金融机构的资产配置决策。

Research on the Spillover Effect of Price Fluctuation in Chinese Commodity Futures Market under Financialization of Commodities

This study presents systematic research on the spillover effects of returns and volatility between Chinese commodity futures market and traditional financial markets under the background of commodity financialization. Firstly, we construct the spillover index by TVP-VAR model, which comprehensively demonstrates the static and dynamic spillover characteristics between the futures market and other financial markets. Subsequently, we decompose the spillover index to analyze the sources of spillover effects. The research results show that the overall spillover index of Chinese commodity futures market is relatively high, and it significantly increases during the 2008 financial crisis, the 2015 abnormal stock market volatility, and the 2020 COVID-19 pandemic. The increase in the spillover index is mainly due to the two-way spillover between the futures market and representative financial markets. The marginal contribution of this paper lies in its thorough exploration of the spillover effects between China''s commodity futures market and financial market under the backdrop of financialization. It also depicts the changing microstructure trend in the financial market, providing a new perspective for understanding the financialization of the commodity market. The research findings contribute to a more comprehensive understanding of the risk transmission mechanism between financial markets, assisting policy makers in identifying potential risks and enhancing regulatory efficiency to effectively prevent systemic financial risks. Additionally, this research can help optimize asset allocation decisions for financial institutions.