Study Of Financial Risk Contagion Mechanism And Path From The Perspective Of The COVID-19

As one of the crucial commodities worldwide,crude oil occupies an important position in the global economic system.Affected by geopolitical factors and the imbalance between energy supply and demand,the global energy landscape is constantly being reshaped.Since 2016,China has become the world’s largest oil importer,meanwhile the relationship between international oil prices and Chinese macroeconomic variables has strengthened.In addition,China has launched crude oil futures in March 2018,allowing its futures contracts to be priced and settled in RMB,further promoting the RMB as a settlement currency in the international crude oil market.The 2020 Covid-19 pandemic was characterized by a rapid outbreak,wide coverage and deep impact on global financial markets,with this "black swan" having a direct impact on all sectors worldwide.Based on the nature of financial integration,national economic,trade ties and financial assets are highly interlinked,the impact of national outbreaks is superimposed on the risk transmission of global financial networks,with significant cross-market,cross-industry and cross-border contagion characteristics.The risk of regional financial extremes spreads to other countries and regions through real economy and financial market correlations,and even triggers financial crises in other countries.Financial regulation and risk management have been the focus of academic research and financial practice control since the birth of the financial crisis.In addition,exploring financial cross-market risk transmission pathways makes it possible to monitor risk transmission pathways in a targeted manner,which is conducive to directly guiding financial regulatory practices and timely preventing the expansion of risks.With the dynamic development of the global epidemic situation,financial regulation has shifted from focusing on external exports to simultaneously focusing on systemic risk generation and preventing shock inputs.This paper uses Mixed Copula-AR(1)-GARCH(2,2)and complex network Minimum Spanning Tree models,mainly focuses on the analysis of risk contagion networks among exchange rate markets,stock markets,commodity markets and currency markets with dynamic dependence characteristics.And it based on the background of the COVID-19 outbreak and the current epidemic global pandemic,especially the background that the U.S.WTI futures contract created the first contract settlement at negative oil prices in the history of oil trading,and studies the risk contagion influence mechanism and contagion path between the crude oil futures market and other financial markets under extreme conditions.Through empirical research,this paper finds the following findings after the outbreak of COVID-19: cross-market risk contagion exists for crude oil futures,with significant changes in the tail dependency structure.INE crude oil futures are insufficiently linked to other financial markets.The outbreak simultaneously causes extreme shock effects on different markets,and crude oil futures markets and other markets exhibit extreme downside risks,but none of the extreme downside risk contagion is found.Financial network risk contagion paths exhibit time-varying characteristics,with aggregation effects mainly divided by market,but also cross-market risk contagion through location.The impact of the COVID-19 epidemic on cross-market financial networks has significant characteristics.Based on the above theoretical and empirical analysis,this paper draws the following policy recommendations: promote the sound development of China’s crude oil futures market in an orderly manner by expanding the types of futures options trading,etc.,and improve the international influence and international linkage of crude oil futures and spot.Construct a regulatory framework for extreme risk contagion in financial markets,strengthen the regulation of extreme risks in financial markets,and establish a response system for extreme risk contagion.Continuously focus on core markets and extreme risk markets,prevent systemic risks from being imported abroad and strengthen the protection of overseas interests.