Stochastic Sequencing of Systemic Risk in Commodity Markets: Based on Geopolitical Risk Events Assessment
结合DCC-GARCH-CQR模型与NIG分布，利用CoVaR一致性排序的随机性，量化21种主要商品期货在系统性风险中的贡献，发现俄乌和巴以冲突加剧了商品系统性风险，其中能源类商品风险尤为关键，而黄金可作为较好的对冲工具。
ABSTRACT This paper proposes a model that combines the DCC‐GARCH‐CQR model with NIG distributions. Relying on the stochastic nature of CoVaR consistency rankings, we assess the risk contribution rankings of 21 major commodity futures to quantify the contribution of the commodity markets to systemic risk from the perspective of geopolitical tensions. The empirical findings suggest that geopolitical risks such as the Russian‐Ukrainian and Palestinian‐Israeli conflicts exacerbate systemic risk in commodities. It is worth noting that the impact of net spillovers differs across commodity sectors, especially for energy sector commodities such as WTI and gasoline, whose risk manifests as a critical factor in systemic risk. Conversely, gold is relatively less volatile in terms of sequencing and can serve as a better hedge. In addition, we find that downside losses in commodities have a greater impact on the stability of the financial system than upside gains.