Research On The Risk Contagion Of Commodity Markets From The Perspective Of Network Spillover

The commodity market is an important part of the financial market,covering all kinds of production factors and raw materials required for economic development.The commodity price index can accurately reflect the overall operation of the future markets and is a reliable leading indicator of macroeconomic early warning.Since the outbreak of the COVID-19,the global economy has suffered a severe setback,and the global commodity prices have shown a "V" shape fluctuation and the phenomenon of skyrocketing and falling occurs from time to time,risk contagion caused by it has seriously restricted the steady recovery and sustainable development of China’s real economy.Therefore,under the background of China’s increasing external uncertainties and the conversion of old and new internal growth drivers,mastering the source and path of commodity risk contagion is the key to prevent systemic risks and and maintain stable economic operation.The paper divides the exploration of risk contagion of commodities into two parts:internal risk contagion of commodities,risk contagion between commodities and macroeconomic.The paper adopts the network topology analysis method and MF-VAR model to investigate the risk contagion relationship,dynamic evolution process and risk contagion mechanism within the domestic and foreign commodity markets and between China’s commodity market and macroeconomic sectors from the perspective of network spillover.In order to give full play to the economic warning function of the commodity market,grasp the source of risk and contagion path under the circumstance of major emergency,the paper takes the COVID-19 epidemic period as the key stage,using network chart,pulse response and other research methods to investigate the spillover effect and dynamic evolution of risks during the epidemic period.The results show that:first of all,the internal risk contagion effect witinin domestic and foreign commodity markets is significant.Among China’s commodities,energy,grain,and textiles are net recipients of risk contagion,while chemical products and metals are net risk exporters.Among international commodities,industries have positive risk spillover effects on metals and textiles.During the first phase of the pandemic,China’s commodities were the main exporters of risk contagion.However,international industries and metals became the main risk exporters and exerted risk spillover on China’s commodities in the second phase of the pandemic.Moreover,based on total spillover index of commodities,the risk contagion among the commodities follows three paths:"interest rate →commodities→money supply","China’s economic expectation→commodities→foreign economic expectation",and "commodities→consumer confidence".Moreover,in the risk contagion relationship between the domestic commodity markets and the macro-economic sectors,China’s commodity market is the net exporter of risk contagion,and all macro-economic sectors are the net recipient of risk contagion.During the period of COVID-19,the risk contagion effect between the two is significantly intensified.The fluctuation of the commodity market has a long-lasting negative impact on the investment sector and has caused changes in the macro-economic sectors such as the reduction of medium and long-term loans,the reduction of money circulation speed,and the weakening of micro individual consumption willingness.The result of causality analysis shows that there are wealth effect,interest rate effect and expectation effect in the risk contagion between the commodity market and macro-economic sectors.While being directly or indirectly impacted by the commodity market,each macro-economic sector will also generate adverse macro impact feedback to the commodity market.The complete description of the risk contagion relationship of commodity in this paper has guiding significance for the regulatory authorities to improve the risk prevention and control policies and improve the macro regulatory system.