This paper investigates the heterogeneous risk spillovers from crude oil to regional natural gas markets against the background of the North American shale gas revolution. The market risks are measured by the upside and downside VaR. We first confirm the existence of risk spillovers between oil and gas markets by using Granger causality in risk. Then, we employ the MVMQ-CAViaR model to reveal the tail-dependence patterns and propose the performance test to highlight the accuracy of the model for the construction of VaR. Furthermore, we construct quantile impulse-response functions and identify asymmetric features in the magnitude, duration, and direction of response by gas markets to extreme negative and positive oil price shocks. Our results show that the revolution actually affects the risk spillovers from oil to gas markets and exhibits the time-varying property. And the heterogeneous risk-transmission mechanisms depend on the regional characteristics and specific market scenarios. Finally, policy implications are discussed.

本文研究了北美页岩气革命背景下从原油到区域天然气市场的异构风险溢出。市场风险通过上行和下行风险价值来衡量。我们首先通过使用风险的格兰杰因果关系来确认油气市场之间存在风险溢出。然后，我们使用MVMQ-CAViaR模型揭示尾巴依赖模式，并提出性能测试以突出该模型对VaR构建的准确性。此外，我们构造了分位数脉冲响应函数，并确定了天然气市场对极端负面和正面油价冲击的响应幅度，持续时间和方向的不对称特征。我们的结果表明，革命实际上影响了从石油到天然气市场的风险溢出，并表现出随时间变化的特性。异构风险转移机制取决于区域特征和特定市场情况。最后，讨论了政策含义。