Preventing volatility spillovers between energy markets is essential for maintaining financial stability. Macroprudential policies play an invaluable tool in financial risk monitoring and help to reduce the incidence of systemic risk. However, the effectiveness of macroprudential policies on risk spreads in the energy system is still unclear. This article applies the TVP-VAR (time-varying parameter vector autoregression) spillover methods to capture the risk connectedness between energy markets in the time and frequency domains, and constructs an asymmetric GARCH-MIDAS-MPP model to investigate the influence of macroprudential policies on volatility overflows of the energy system. The results suggest that there are strong risk links between global energy markets and long-term risk resonances play a dominant role. Time-varying risk overflows occur throughout the energy sector, and market turbulence amplifies these risk communications. Whether on a time or frequency horizon, the oil market represents the largest emitter of fluctuation transmissions, while the fuel oil market stands out as the biggest recipient of risk diffusion. We do not observe that macroprudential policies can significantly reduce the average and long-run risk premiums of the energy system. Conversely, our results reveal that macroprudential policies intensify short- and medium-term risk spreads between global energy markets. This paper provides some insight into energy market risk contagion, which is conducive to the improvement of macroprudential policies for energy market risk management.

中文翻译：

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宏观审慎政策能否减少能源市场之间的风险溢出？：来自时频域和混合频率方法的证据

防止能源市场之间的波动溢出对于维持金融稳定至关重要。宏观审慎政策在金融风险监测中发挥着宝贵的工具，有助于降低系统性风险的发生。然而，宏观审慎政策对能源系统风险扩散的有效性仍不明朗。本文应用TVP-VAR（时变参数向量自回归）溢出方法来捕捉时域和频域上能源市场之间的风险关联性，并构建非对称GARCH-MIDAS-MPP模型来研究宏观审慎政策对能源市场的影响。能源系统的波动性溢出。结果表明，全球能源市场之间存在很强的风险联系，长期风险共振发挥主导作用。整个能源行业都存在随时间变化的风险溢出，而市场动荡则放大了这些风险沟通。无论从时间还是频率上看，石油市场都是波动传导的最大发射者，而燃料油市场则是风险扩散的最大接收者。我们没有观察到宏观审慎政策可以显着降低能源系统的平均和长期风险溢价。相反，我们的结果显示，宏观审慎政策加剧了全球能源市场之间的短期和中期风险利差。本文对能源市场风险传染提供了一些见解，有利于完善能源市场风险管理的宏观审慎政策。