Research Of Risk Transmission And Early Warning Mechanism Of Energy Finance Market Under Multi-time Scale

Traditional economic growth theories always focus on two types of production factors:labors and capitals,but ignore the importance of energy in the economic development.As the blood of the modern economy,energy is a driving source for promoting the economic development and further accelerate the financial development;simultaneously,energy enterprises belong to the capital-intensive industry,and its development has close relationship with the support of financial tools and policies.The finance can also help the energy capitals avoid potential risks.Therefore,energy and finance gradually achieve mutual integration directly or indirectly,and the conception of energy finance begins to emerge.As the economic globalization and financial liberalization continuously deepen,the relation relationship is closer between different markets.During the process of complicated market operation,the price volatility risk of energy finance market is large,and the risk transmission between different markets and between different regions becomes stronger.It both increases the investment risks and affects the steady development of social economy.Thus,it is of great importance to study risk transmission mechanism of spillover effect of different energy markets,and it can provide valuable referential significance for preventing and controlling risks and conducting macro-prudential regulation.The research of this paper has both great theoretical and practical significance.In the theoretical aspect,different from the research on traditional financial risk transmission,this paper focuses on the energy finance market and extends the research scope into the energy finance field.Up to date,there are few studies that concentrate on the risk transmission of energy finance market,and relevant research is still at an initial state.This paper summarizes the theories and literature relevant to the risk transmission of energy finance,which enriches the studies on that field and lays a solid theoretical foundation for the research in the future.From the practical perspective,under the background of international energy finance integration,the energy finance market of China needs to develop faster.The development of energy finance accords with the national industrial policies and energy strategies,which is beneficial to the deep integration of energy and finance,and guide and allocation the social resources.Additionally,it can also support the establishment of national energy safety system and healthy development of energy enterprises.It also offers new cooperation opportunities for the support of finance for energy production and consumption revolution and serves the financial and energy strategies better.This paper applies many methods,such as the theoretical deduction,model construction,statistical analysis,comparative analysis and empirical analysis,and also combines relevant theories in the field of finance,economy,machine learning and energy science.E VIEWS,STATA,SPSS and MATLAB are used in data processing and analyzing.The specific methods applied in this paper are:first the maximum overlapping discrete wavelet transform is used to decompose the time series of energy finance market and other markets into multiple time spans.Then the asymmetric DCC-GARCH model based on the maximum overlapping discrete wavelet transform is constructed to test the dynamic conditional correlation between different markets by calculating the dynamic correlation coefficients.Finally,the modified BEKK-GARCH model based on the maximum overlapping discrete wavelet transform is established to explore the risk transmission effect between energy finance market and other markets.This paper includes seven chapters:Chapter one introduces the background,research significance,research strategies,research contents and research innovation and deficiencies.Chapter two reviews the studies on the risk transmission and early-warning of energy finance market of China and other countries.Chapter three conducts the theoretical analysis on the energy finance market risks and the risk transmission mechanism between different markets.Chapter four mainly studies the dynamic correlation between international oil market,stock market and currency market.Chapter five further studies the volatility spillover effect of energy finance market and stock and currency market based on the research of Chapter four.Chapter six builds the energy finance market risk early-warning system,which is based on the multiple factors combined forecasting model.Chapter seven is the conclusions and policies,which summarizes the whole paper and proposes policies for risk transmission and early-warning of energy finance market.This chapter also forecasts the future direction of research.Main ideas and conclusions based on theoretical and empirical analyses include the following three aspects:First,this paper discusses the dynamic conditional correlation between energy finance market and financial market.Based on the maximum overlapping discrete wavelet transform,the time series of oil market,stock market and currency market are decomposed into many time spans.The asymmetric DCC-GARCH model based on the maximum overlapping discrete wavelet transform is established to study the dynamic relationships between the oil market,stock market and currency market.Empirical results demonstrate that for the stock market,the dynamic correlation coefficients are all significant at all time spans and the correlation at the long-term time span is larger than that at the short-term time span.For the currency market,since the RMB exchange rate reform,the dynamic correlation between oil market and currency market becomes stronger,but it is weaker than that of the American currency market.Additionally,for both the stock market and currency market of China and America,the international oil market risk exists obvious asymmetric features.Second,this paper studies the risk volatility spillover mechanism of energy finance market and stock market and currency market.By estimating the mean and conditional variance of rate of return of oil,stock and currency market,the binary BEKK-GARCH(1,1)model is built.The evolutionary process of mean spillover and volatility spillover at different wavelet time spans between WTI oil market,stock market and current market from the perspectives of time,frequency and asymmetry.The samples are divided into three sub-sections,including pre-crisis,during-crisis and after-crisis.According to the empirical results,this paper concludes the spillover relationships between WTI oil market,stock market and currency market of China and America.That is,at different wavelet time spans,the risk spillover between WTI oil market and two markets are all dynamic and asymmetric at the stages of pre-crisis,during-crisis and after-crisis.On the one hand,the risk transmission between the international oil market and American stock market and currency market is stronger than that of China.That is,the influences of energy finance market on the American financial markets are greater than that on the Chinese financial markets.The bidirectional transmission between oil market and American stock market is strong.In comparison,the impact of international oil market on the Chinese stock market is relatively weak.However,with the improvement of Chinese economy strength,the impact of Chinese stock market on the international oil market gradually becomes stronger.On the other hand,for the currency market,since the RMB exchange rate reform,the risk transmission effect between RMB currency and oil market also becomes larger.Features of risk transmission between international oil market and American currency market is similar to that of the stock market,and the risk transmission effect of currency market is larger.Finally,this paper constructs the energy finance risk early-warning model based on the support vector machine forecasting model,multiple grey forecasting model and the firefly algorithm.Empirical results show that the forecasting performance of the proposed model in this paper outperforms single forecasting.models,models based on time series or models optimized by other optimization algorithms.The results prove the effectiveness of the energy finance market risk early-warning system.Innovations of this paper are listed as follows:First,studies on the energy finance risk theories are still at an initial stage,and this paper summarizes theories in two aspects:the features,mechanism and reasons of energy finance market risks and connotation,paths and characteristics of risk transmission of energy finance market.Second,existing studies on the risk transmission of energy finance market ignore that the short and long term also include more time spans,which needs to be divided in more details so that the features of international energy finance market risks can be fully reflected.This paper applies the maximum overlapping discrete wavelet transform to decompose the time series into different time spans,and this paper analyzes the risk transmission features at different time spans and further discusses the asymmetric features of the risk transmission.Next,most of current studies analyze the impact of financial factors on the energy finance market,such as currency market,futures market and speculation.This paper comprehensively analyzes the risk transmission of energy finance market from the perspectives of stock market and currency market by building the binary BEKK-GARCH and DCC-GARCH model.There may be following deficiencies:First,owing to the limitation of paper length,this paper only focuses on risk transmission of the international oil market,stock market and currency market,but does not consider other energy finance markets,such as gold market and gas market.Second,this paper studies the risk transmission based on GARCH group models.In the future study,multi-Copula model and more complicated network model can be used to reveal the complex features and relationships between different energy finance markets.