Systematic Risk Measurement And Cross-Product Risk Contagion In Chinese Commodity Futures Market

The most important battle proposed in the “The Annual Government Work Report of 2018” is to prevent and defuse major risks,among which the top priority is financial risks.Futures market is an important part of modern financial market.In 1972,Milton Friedman published the book "currency needs futures market",which became the cornerstone and banner of futures trading.In the more than 30 years since the publication of this book,futures trading volume and frequency of futures trading have been greatly improved,and futures market has become more and more important in the financial system.Along with the rapid development of the global futures market is the risk lurking in the internal.Europe and the United States and other developed economies in the development of the futures market at the same time,the prevention and control is one of the most main work they risk,while in China,the world's largest developing country,with economic growth over the past decade,becoming one of the world's second largest economy,successful participation in world commodity trading in futures price makers,and how to effectively control risk is currently facing the most urgent issue in China,it's sound and rapid development of the futures market in China.Before the outbreak of the financial crisis in 2008,people did not have an accurate understanding of systemic risk,but still had a conceptual understanding of it.With the outbreak of the crisis,people gradually deepened their understanding of systemic risk.There are many ways to measure the risk.This paper adopts the conditional value at risk(CoVaR)method to measure the risk of Chinese commodity futures market.At the same time,a risk contagion matrix is constructed to study the risk contagion relationship among products in China's commodity futures market.On the basis of full sample analysis,three different event Windows are constructed to study the changes of risk contagion of commodity futures when different events occur.This paper examines the risks of Chinese commodity futures from four major commodity futures indexes,upstream and downstream commodity futures and international iron ore futures.The research results show that,on the whole,CoVaR can effectively identify the events of the "financial crisis" in 2008 and the "turbulence in China's stock market" in 2016.At the same time,the corresponding iconic events can be found when the risk peak falls back,which indicates the immediate positive effect of China's risk prevention policies and measures.In terms of products,metal futures contributed the most to the systemic risk of the futures market in 2010 and before,while energy futures became the largest risk contributor in the futures market after 2010.From the perspective of cross-product risk contagion,metal futures have the highest total risk spillover,energy futures have the lowest total risk spillover,while chemical futures have the highest total external spillover and agricultural futures have the lowest total external spillover.The reason behind this is that metal is at the upstream position in the industrial chain,and its demand comes from the downstream.The changes in the production and price of the underlying commodity futures of other commodities will have an impact on the demand for metal,which in turn will have an impact on metal futures.Energy is also in the upstream of the industrial chain,but its demand is relatively stable,so the change of its income is less related to the change of other commodities,and the yield of related energy futures is also less related to other kinds of futures.In the whole industrial chain,the value of agricultural products in providing by-products is low,and the supply is sufficient,so the change rate of income is not too high,and the impact on other commodities is low,which is also reflected in the fluctuation of agricultural products futures has a small impact on other commodities.Then,the concept of financialization of commodity futures is introduced.By constructing the earnings spillover matrix of Chinese commodity futures and Chinese and American stock markets,it is found that there is financialization,but the degree of financialization is still low.At the same time,the influence of American stock market on it is greater than that of Chinese stock market.At the same time,specific commodity futures such as egg,corn and soybean meal were taken into consideration.It was found that egg futures had the greatest risk impact while corn futures had the least risk impact.The latter is because corn is used for chicken feed and many other purposes,so the demand for eggs from its downstream products and soybean meal as a substitute to some extent is not great.Combined with the recent international iron ore futures,found that iron ore futures after the introduction of foreign investors,the risk has not increased dramatically,shows that the introduction of foreign investors will not increase the uncertainty of the futures market,it promotes the development of the market,can strengthen the completeness of the market,reduce the possibility of systemic risk contagion.This paper defines the period from 2008 to 2011 as the period of global turbulence,and compares the risk contagion relationship between this period and the period of the whole sample.It is found that during the two sample periods,agricultural products and metal futures are the net recipients of risk spillovers,and the net risk acceptance degree of the two during the period of global turbulence is lower than that during the period of the whole sample.During the whole sample period,chemical futures were the net exporter of risk spillovers,while during the period of global turbulence,they became the net receiver of risk spillovers,which indicated that the source and degree of risks would change in different periods.The 2014-2017 period was defined as China's stock market disaster period,and the net risk output of China's commodity futures during the three sample periods was compared and analyzed.During the Chinese stock market crash,compared with the whole sample period,the average risk spillover degree of the Chinese commodity futures market increased slightly,the direction of the net risk spillover among commodity futures remained unchanged,and the net spillover degree decreased.Compared with the global volatility period,the risk net spillover value during the Chinese stock market crash is closer to that during the full sample period,which indicates that the global economic environment will have a greater impact on the risk spillover of Chinese commodity futures.The period from march to December 2018 is defined as the period of sino-us trade war,and the results show that the net risk spillover between products is close to 0,which reflects that the sino-us trade war has the same impact on all kinds of commodity futures and makes the fluctuation of commodity futures prices tend to be consistent.