基地研究员张传海副教授合作论文"Asymmetric multi-scale systemic risk spillovers across international commodity futures markets: The role of infectious disease uncertainty"在Journal of Commodity Markets公开发表。JCM是同行评审期刊，主要发表与商品市场相关的所有经济和金融领域的研究，强调原创性、质量和清晰的呈现。

摘要：This paper investigates the role of infectious disease uncertainty on multi-scale risk spillovers and portfolio implications across 12 international commodity futures markets from January 2006 to August 2022. We use wavelet packet decomposition and a novel risk spillover network topology approach based on a smooth transition vector autoregression model. The main findings are summarized as follows. First, there is an obvious asymmetry in spillover effects, i.e., the intensity of risk spillovers increases significantly during periods of high infectious disease uncertainty, and clear evidence of time-varying total spillovers across various regimes and frequencies. Second, cross-category risk spillovers are more pronounced in high-uncertainty regimes, while risk networks tend to cluster within the same category during low-uncertainty regimes. Third, the role of commodity futures in the risk spillover networks varies across different time scales and regimes, with gold consistently acting as a stable net risk transmitter. We also develop optimal portfolio strategies across commodity futures markets at different time scales and regimes based on the risk spillover analysis.

关键词：Infectious disease uncertainty; Commodity futures; Wavelet packet decomposition; Asymmetric risk spillover effects; Network topology

论文链接：https://doi.org/10.1016/j.jcomm.2024.100443

教师简介

张传海，数量经济学博士，中南财经政法大学金融学院副教授。主要研究领域为金融市场、金融计量和金融风险以及金融科技与大数据，研究论文发表于：经济研究、系统工程理论与实践、管理工程学报、数理统计与管理、Journal of Econometrics、Quantitative Finance、Pacific-Basin Finance Journal、Finance Research Letters、International Review of Financial Analysis和Economic Modelling等国内外期刊。