用VaR度量石油市场的极端风险  

Using Value at Risk to Measure Extreme Risk in Oil Market

作　　者：潘慧峰[1] 张金水[2] 

机构地区：[1]对外经济贸易大学金融学院,北京100029 [2]清华大学经济管理学院,北京100084

出　　处：《运筹与管理》2006年第5期94-98,共5页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(70571047);清华大学中国和世界经济研究中心项目资助

摘　　要：本文采用2001年11月到2005年6月国内原油价格的调度数据,运用基于GED分布的GARCH模型度量了国内油市的极端上涨和极端下跌时的VaR,得到如下两点结论:第一,国内油市存在ARCH in Mean效应,表明收益与风险是正相关的,同时也意味着国内油市违背了有效市场假说,进一步的分析表明国内原油的定价机制和流通体制是造成市场非有效的主要原因;第二,上涨风险的平均水平要高于下跌风险的平均水平,这是石油市场供需双方的非对称市场地位决定的,石油生产者可以利用市场势力和上下游一体化的组织形式,将部分下跌风险转嫁给石油需求者,而石油需求者则缺少有效的措施来应对油价上涨。The value at risk based on GARCH with GED distribution are applied on the weekly data of crude oil return from November 2001 to June 2003 to measure the extreme risk of domestic oil market in both upside and downside direction. We draw two conclusions. First, the existence of ARCH in mean effect on oil market implies that the return is positively correlated with risk. This effect also signifies the violation of efficient market hypothesis, mainly resulting from the oil pricing and circulation mechanism. Secondly, that of upside risk exceeds that of downside risk. This is due to the distinct positions of oil suppliers and consumers in oil market. Oil suppliers can utilize the market power and take advantage of the vertical integration of upstream and downstream to impute the partial downside risk to oil consumers, and in contrast, oil consumers have no effective measure to deal with the upside risk of oil price.

关 键 词：运筹学 极端风险 VAR 石油市场 

分 类 号：F224.32[经济管理—国民经济]