基于GAS模型的大宗商品市场系统性风险测度及其应用研究

大宗商品作为国家经济建设的战略物资和基础原料，对经济发展起着举足轻重的作用。随着商品衍生品市场的迅猛发展，大宗商品市场与其他市场间的关系日趋多样化和复杂化，已成为经济体系中不容忽视的风险源。本项目拟对我国大宗商品市场系统性风险进行研究，首先对单一商品的风险进行识别，并使用基于GAS模型的时变因子Copula对不同商品间的风险相依结构进行建模，再通过对单个品种的风险进行有效加总，结合蒙特卡洛模拟计算得到价格联合异动概率JPAC (Joint Probability of Abnormal Changes)，作为度量大宗商品市场系统性风险的新指标；然后基于期货定价研究，构建该指标的期限结构，对未来风险进行预判；最后考察该指标对宏观经济和金融市场的预测能力。本项目将有助于建立和完善我国大宗商品风险的监测、预测、预警体系，为监管部门制定前瞻性的政策和风控措施提供参考和决策依据，具有重要的现实意义。

As strategic and basic raw materials, commodities play an important role in the national economy. With the rapid development of the commodity derivatives market, the relationship between the commodity market and other markets is becoming rather diversified and complicated. It makes the commodity market a significant risk source that cannot be ignored in the economic system. This project intends to study the systemic risk of commodity market in China. To do so, a pioneering measure of the systemic risk of the commodity market is developed first. We calculate the risk of each commodity and then construct a time-varying factor copula based on the GAS model to depict the risk dependence structure among different commodities. After that, we calculate the Joint Probability of Abnormal Changes (JPAC) of commodity prices via the Monte Carlo simulation, as a new measure of the systemic risk of the commodity market. Secondly, based on the analysis of commodity futures pricing, we construct the term structure of the JPAC, which can be used to reflect the expectation of future risk. Finally, we examine the prediction ability of this new measure by considering several macroeconomic and financial variables. This project will help to improve the risk management system in China and provide strong support for the financial authority to formulate policies and risk management plans.