Volume 1,Issue 9
波动溢出网络视角下的金融风险管理研究
在全球经济高度金融化与不确定性上升的背景下，跨市场风险传染已成为影响金融稳定的关键因素。本文构建国际大宗商品市场与中国金融市场的波动溢出网络，从系统视角研究不同市场间的风险联动格局与传导机制。实证样本覆盖2007—2025年，包含中国货币、资本、商品、外汇、房地产及黄金市场共十个子市场，以及国际能源、贵金属、工业金属、农产品、软性商品与家畜市场。研究结果表明，系统总体溢出指数为31.97%，约三分之一的波动可由跨市场风险传递解释，显示出显著的系统性风险关联。风险在系统中呈现“国际输入— 国内传导— 防御吸收”的层级扩散结构：国际贵金属、能源与工业金属市场是主要外部风险源，中国金属与能源市场处于风险传导核心位置，而股票与回购利率市场构成风险再分配通道；黄金与债券市场则作为最终吸收端发挥稳定作用。本文进一步提出，应构建跨市场风险监测体系，完善宏观审慎监管框架，并优化避险资产配置结构，以提升我国金融体系的抗冲击能力与稳健性。
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