基地研究员任晓航副教授合作论文“Extreme risk spillovers between SC, WTI and Brent crude oil futures-Evidence from time-varying Granger causality test”在重要学术期刊Energy发表。

摘要：This research delves into the dynamics of extreme risks within the global crude oil futures market, with a particular focus on the Shanghai Crude Oil futures (SC). By employing Value-at-Risk and Expected Shortfall metrics, the study evaluates extreme risk across SC, West Texas Intermediate (WTI), and Brent markets. Our analysis incorporates a time-varying Granger causality framework to examine the directional influence among these markets, with significant intensifications observed during the COVID-19 pandemic and the Russia-Ukraine conflict. This underscores SC's evolving role from a risk receiver to a risk transmitter within the global oil complex. Additionally, this study observes a stronger causal effect of WTI's extreme risks on Brent compared to the reverse, and a notable increase in the bidirectional causality between WTI and Brent during stressful market conditions. These findings enhance the understanding of risk transmission mechanisms in the oil market and have practical implications for risk management, policy formulation, and investment strategies in the context of escalating global uncertainties.

论文链接：https://doi.org/10.1016/j.energy.2025.135495

教师简介

任晓航，中南大学商学院特聘副教授，Elsevier中国高被引学者，全球前2%顶尖科学家，主要从事能源金融、金融风险、金融计量等方面的研究，在Journal of the American Statistical Association、Transportation Research Part A、Energy Economics、Quantitative Finance、Review of Quantitative Finance and Accounting、International Review of Financial Analysis、Technological Forecasting and Social Change、Business Strategy and the Environment、Pacific-Basin Finance Journal、Applied Energy、Resources Policy、Renewable & Sustainable Energy Review、Energy、管理科学学报（英文版）、系统工程理论与实践、中国管理科学等国内外权威期刊上发表论文一百余篇，其中ESI热点文章/高被引论文三十余篇。担任Sustainable Communities(Taylor & Francis)领域主编，Humanities & Social Sciences Communications（Nature旗下唯一面向人文社会科学的子刊）等期刊副主编，Climate Change Economics, Economic Change and Restructuring等SSCI期刊客座主编。