An Empirical Study On Risk Transmission In Crude Oil Futures Market

In recent years,the China-US trade war and the COVID-19 outbreak have brought many uncertainties to the global economy and increased financial market volatility.Therefore,it is necessary to deeply study the characteristics of financial risk transmission in order to optimize risk management.The research object of this paper is the main international crude oil futures contracts,including Shanghai INE crude oil futures,London IPE Brent crude oil futures,New York NYMEX light crude oil futures,Tokyo TCE crude oil futures and Dubai Oman crude oil futures.This paper explores the characteristics of risk transmission between international crude oil futures markets,including risk transmission structure,risk transmission intensity and risk transmission path.Based on the settlement prices of crude oil futures contracts in 5 markets,this paper constructs the logarithmic rate series of 5 markets to measure the price fluctuation risk.Next,an ARMA-GARCH model is used to construct marginal distributions,fit log-return data,and extract standardized residual seri es.For the standardized residual series,the R vine copula function model is used,the appropriate copula function is selected to fit,and the tail correlation coefficient and the Kendall rank correlation coefficient are calculated to measure the nonlinea r correlation between the markets.At the same time,the R vine structure diagram is used to describe the risk transmission structure of the five markets.Studies have shown that the London IPE crude oil futures market is at the center of risk transmission,which is prone to greater risk transmission to other crude oil futures contract markets,and is an important source of risk.The London market has a high degree of risk comovement with the US and Dubai markets,and a low degree of risk comovement with ot her markets.In terms of tail risk,the tail correlation coefficient between the London market and the US and Dubai markets is relatively high,and the tail risk transmission characteristics are significant.However,the London market and other markets do not have significant tail risk transmission characteristics.In terms of risk transmission intensity,based on the London market as the center of the risk transmission structure,the risk transmission intensity of the London market to other markets is calculated.This paper uses the CoVaR model,combined with the quantile regression method,to calculate the risk spillover from the London market to the other four markets to measure the strength of risk transmission.The calculation results show that the risk transmission intensity of the London market to the US market and the Dubai market is significantly higher,and the risk transmission intensity to the Chinese market and the Japanese market is significantly lower.For the risk transmission path,combined w ith the exchange rate systems of various countries,this paper uses the Granger causality test method to explore whether the foreign exchange market can be used as the risk transmission path of the crude oil futures market.The empirical results show that for countries with less foreign exchange control,the Granger causality is more significant,and the crude oil futures market risk can be transmitted through the foreign exchange market.For countries with more foreign exchange controls,the Granger causal ity is not significant,the crude oil futures market risk cannot be transmitted through the foreign exchange market,and the foreign exchange market has the effect of hindering risk transmission.The conclusion of the study supports the controversial view of the "dilemma" school in the field of international finance to a certain extent,that foreign exchange control can weaken the impact of external shocks on the economy.Based on the above research,this paper puts forward corresponding policy recommendations from the perspectives of market managers and investors.