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本文使用极值理论确定能源期货标准化收益率的尾部阈值,基于投机行为和市场联动效应视角考察了金融化对我国能源期货市场极端风险的影响。结果表明,国际原油价格的正(负)向冲击会导致国内能源期货价格极端上涨(下跌)的概率增加;在市场剧烈波动时期,国内金融市场会对能源期货市场左尾极端风险产生影响,而国际黄金价格冲击则会导致其右尾出现极端变动;投机行为会增加能源期货市场价格极端上涨的概率,但对价格极端下跌的影响却不显著。我国应进一步完善能源期货品种结构,加强对过度投机行为的监管,切实维护市场的稳定。
This paper uses the extreme value theory to determine the tail threshold of standardized yield of energy futures and examines the impact of financialization on the extreme risk of China’s energy futures market based on speculation and market linkage effects. The results show that the positive (negative) impact of international crude oil prices will lead to an increase in the probability of extreme upward (declining) domestic energy futures prices. During periods of volatile market, the domestic financial markets will have an impact on the left tail extreme risks of the energy futures market. However, The impact of the international gold price will lead to extreme changes in the right tail. Speculation will increase the probability of extreme price increases in the energy futures market, but the impact on extreme price declines will be insignificant. China should further perfect the structure of energy and futures products, strengthen the supervision over over-speculation and effectively safeguard the stability of the market.