自“十四五”规划提出以来，我国就已经将能源安全与金融安全问题列入经济面临的三大安全问题之中。2024年的《政府工作报告》中进一步强调了推动“双碳”目标和能源转型的重要性，目的是维护能源安全。此外，《报告》还提出加强金融稳定的保护机制，并坚守避免出现全局性系统风险的原则。随着近年来能源金融化的高速发展，金融安全与能源安全已成全球关注的核心主题之一。能源市场日益融合于复杂多元的金融系统中，如货币市场、汇率巿场、期货市场及衍生产品市场。能源的金融属性也在逐步加深。迅速发展的能源金融化究竟给能源安全带来多大的挑战？这是目前需要深度探讨的一个研究主题。从全球视角来看，中国，作为一个拥有庞大规模且占据重要位置的世界第二大经济强国，以及首屈一指的世界能源供应大国，我国的金融与能源市场都具备着重要的国际影响力。因国内油气进口依赖程度逐渐增加，能源的安全问题愈发明显，由此也引发了学术界一系列有关保障中国能源安全的广泛讨论。

在此背景下，本文克服了传统研究方法在极端事件描述上的不足，基于条件分位数溢出指数法，以我国能源市场价格与各金融子市场压力指数为研究变量，分别构建煤炭-金融系统与新能源-金融系统的分位数向量自回归（QVAR）模型，聚焦于中国新能源市场、传统能源市场与金融市场压力之间的相互影响，研究我国能源-金融系统中风险传染的时变关系，并对比分析不同市场状态下风险溢出效应的异质性。研究结果表明，第一，我国能源市场是能源-金融系统风险溢出的主要来源，且表现出产业政策引导和市场需求驱动的双重特征，而资本市场与外汇市场是能源-金融系统的主要风险接收者。第二，供需失衡、政策变动与国内外局势的变化等不稳定因素是造成我国能源金融系统波动的主要原因。其中，煤炭市场的波动主要由供需基本面的失衡主导，而新能源市场的波动则主要在于能源政策调整带来的一系列连锁反应。第三，我国的能源-金融系统的风险溢出在不同市场状态下表现出显著的尾部溢出特征与非对称特性。其中，煤炭市场对市场压力极端上升状态下的风险波动更为敏感，而新能源市场对市场压力极端下降状态下的风险波动更为敏感。在此基础上，本文结合研究所得提出了有益于三个独立市场的完善、预防及缓解能源金融系统的潜在风险的扩散，以及识别和处理系统性金融风险及其可能引发的能源危机的相关对策与建议。

Since the “14th Five-Year Plan” was proposed, China has included energy security and financial security among the three major security issues facing the economy. The 2024 Government Work Report further emphasized the importance of promoting the “dual carbon” goal and energy transition, intending to maintain energy security. At the same time, it also proposed to strengthen the protection mechanism for financial stability and adhered to the principle of avoiding the emergence of global systemic risks. With the rapid development of energy financialization in recent years, financial security and energy security have become one of the core themes of global concern. The energy market is increasingly integrated into a complex and diversified financial system, such as the money market, the exchange rate market, the futures market, and the derivatives market. The financial nature of energy is also gradually deepening. How much of a challenge does the rapid development of energy financialization bring to energy security?  It will be a topic worthy of in-depth study by scholars at the moment. From a global perspective, China, as the world's second-largest economic power with a huge scale and an important position, is also the world's largest energy supplier, the financial market and energy market of China hold a crucial international standing. The issue of energy security is becoming more noticeable due to the rising reliance on foreign countries for oil and gas. Therefore, this has triggered a series of extensive discussions in the academic community on ensuring China's energy security.

In this context, this paper overcomes the shortcomings of traditional research methods in the description of extreme events and constructs quantile vector autoregressive (QVAR) models of the coal-financial system and new energy-financial system based on the conditional quantile spillover index method. Research variables include China's energy market price and the stress index of each financial sub-market, focusing on the interaction between China's new energy market, traditional energy market, and financial market pressure, and studying the time-varying relationship of risk contagion in China's energy-financial system. The heterogeneity of risk spillover effects under different market conditions is also compared and analyzed. The results show that, firstly, the energy market is the main source of risk spillovers in the energy-financial system of China, which shows the dual characteristics of industrial policy guidance and market demand-driven, while the stock market and the exchange market are the main risk recipients of the energy-financial system. Second, unstable factors such as imbalances between supply and demand, policy shifts, and changes in domestic and foreign situations are the main reasons for the fluctuation of China's energy financial system. Specifically, the fluctuation of the coal market is mainly dominated by the imbalance between supply and demand fundamentals, while the fluctuation of the new energy market is mainly due to a series of chain reactions brought about by the adjustment of energy policies. Third, the risk spillover effect of China's energy-financial system expresses significant characteristics of tail spillover and asymmetric in different market conditions. Among them, the coal market is more sensitive to fluctuations in the state of extreme rising market pressure, while the new energy market is more sensitive to fluctuations under the state of extreme market pressure. On this basis, this paper puts forward relevant countermeasures and suggestions that are beneficial to the improvement of the three independent markets, prevent and mitigate the diffusion of potential risks in the energy financial system, and identify and deal with systemic financial risks and the energy crises that may be triggered.

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