金融化背景下国际原油市场多维信息含量研究——基于涟漪扩散双重网络结构

Under the background of global economic rebalancing and reform of energy policy, proceeding from the coexistence of energy security and financial stability issues, this project first aims to introduce and improve the ripple diffusion mechanism, and establish a dual network framework that can simulate the reality of international crude oil and stock markets. Then, this project fully explores the multi-dimensional information of the international crude oil markets under the background of commodity financialization, and elucidate its evolutionary patterns. On this basis, the information content of the crude oil market will be further explored from the perspective of information transmission, and their strength, breadth as well as dynamic transmission pathways will be emphatically analyzed. We will focus on the internal logic and the common law of the information transmission mechanism, as well as their internal correlation with the market heterogeneity. We finally try to extract the core information and provide its optimal diffusion path. This will provide theoretical and strategic support for preventing and managing the information shock in the crude oil market from the management practice of China's financial market. The project has strong theoretical and practical significance, which provides observational perspectives, theoretical basis and methodological support for systematically studying the information content of the international crude oil markets. Specifically, this project can achieve the top-level design of the system of international crude oil and stock markets and its structure from the micro level, analyze the dynamic spillover path of information transmission and its characteristics from the macro perspective, and provide experience and technical support for the top-level design of the reform and prevention system of systematic financial risk supervision in China.

在全球经济再平衡和能源政策变革背景下，从能源安全保障和金融稳定问题并存的国情出发，本项目旨在引入并改进涟漪扩散机制，建立能够仿真现实国际原油和股票市场的双重网络框架；充分挖掘商品金融化背景下国际原油市场的多维信息并阐明其演化模式；在此基础上，从信息传递角度深入探究原油市场信息含量，着重分析其强度与广度的变化及动态传递路径，并提炼作用机制的内在逻辑、共性规律及其与市场异质性特征的内在关联；提炼核心信息，并给出其最优化传递路径，据此为从中国金融市场管理实践出发防范和治理原油市场信息冲击提供理论和策略支持。本项目具有较强的理论和现实意义，为系统性地研究国际原油市场信息含量提供了观察视角、理论基础和方法支持，既可以从微观层面实现原油和股票市场体系及其结构的顶层设计，又能够从宏观角度对信息冲击的动态溢出路径及其特征进行深入分析，为我国系统性金融风险监管改革与防范体系顶层设计提供经验和技术支持。

在全球经济再平衡和能源政策变革背景下，从能源安全保障和金融稳定问题并存的国情出发，本项目首先充分挖掘商品金融化背景下国际原油市场的多维信息并阐明其演化模式。其次，基于涟漪扩散理论形成信息溢出机制，本项目建立了能够仿真现实原油和股票市场的网络模型，为研究原油市场信息含量提供一个基本的分析框架。基于该框架，本项目从信息传递角度深入探究了收益率冲击、实际波动率冲击、隐含波动率冲击、实际偏度冲击和波动风险溢价冲击五类原油市场信息的信息含量，着重分析了其强度与广度的变化及动态传递路径，并提炼了作用机制的内在逻辑、共性规律及其与市场异质性特征的内在关联。最后，本项目从整体上分析了各风险涟漪扩散过程中的关键传播中介（市场），并针对中国大陆股票市场给出了风险涟漪扩散的典型路径和关键时点，据此为从中国金融市场的管理实践出发防范和治理原油市场信息冲击提供理论和策略支持。本项目具有较强的理论和现实意义，为系统性地研究国际原油市场信息含量提供了观察视角、理论基础和方法支持，既可以从微观层面实现原油和股票市场体系及其结构的顶层设计，又能够从宏观角度对信息冲击的动态溢出路径及其特征进行深入分析，为我国系统性金融风险监管的改革与防范体系顶层设计提供经验和技术支持。