重大突发事件冲击下的高耗能行业与金融行业双向风险溢出效应分析

Analysis of Bidirectional Risk Spillover Effects between High-Energy-Consuming Industries and the Financial Industry under the Impact of Major Emergencies

摘要: 本文基于后金融危机时代至俄乌战争爆发五百天这段时间申万一级行业指数中的高耗能行业部分和申万二级行业指数中的银行业、证券业、保险业和多元金融业指数，通过DCC-GARCH拟合，探究高耗能行业与金融行业间的双向风险溢出效应。研究结果表明：第一，高耗能行业与金融风险间的双向风险溢出效应在各重大突发事件中总体上趋势相近，具有相似的风险敏感性；第二，在重大突发事件中，非银金融业更易成为高耗能行业风险溢出的对象；第三，高耗能行业与金融风险间的双向风险溢出效应在不同重大突发事件中存在一定的差异性。研究高耗能行业与金融行业间的双向风险溢出效应对于我国迎接能源安全挑战，化解全球能源危机的风险冲击有着重要意义。

Abstract: Based on the high-energy-consuming industries in the SHENYIN & WANGUO Primary Industry Index and the banking, securities, insurance and diversified financial indices in the SHENYIN & WANGUO Secondary Industry Index during the period from the post-financial crisis era to the outbreak of the Russia-Ukraine War for 500 days, this paper explores the two-way risk spillover effect between the high-energy-consuming industries and the financial industry through DCC-GARCH fitting. The results show that: first, the two-way risk spillover effect between energy-intensive industries and financial risks is generally similar in major emergencies and has similar risk sensitivity. Second, in major emergencies, the non-bank financial industry is more likely to become the target of risk spillovers in high-energy-consuming industries. Third, there are certain differences in the two-way risk spillover effect between energy-intensive industries and financial risks in different major emergencies. It is of great significance to study the two-way risk spillover effect between high-energy-consuming industries and financial industries to meet the challenges of energy security and resolve the risk impact of the global energy crisis.