国际原油市场的阶段性价格风险评估  

Evaluation of the Periodic Price Risk in International Crude Oil Market

作　　者：何小明[1,2] 康海琴[2] 何慎远[1,2] 汪寿阳[2,3] 

机构地区：[1]中国科学院虚拟经济与数据科学研究中心,北京100190 [2]中国科学院研究生院管理学院,北京100190 [3]中国科学院数学与系统科学研究院,北京100190

出　　处：《管理评论》2010年第12期3-10,共8页Management Review

基　　金：国家自然科学基金项目(70840010)

摘　　要：国际原油价格的频繁大幅波动不仅影响到微观层面的消费信心、投资决策,而且还会影响到各国的经济发展。本文根据国际原油市场的长周期波动规律将1986-2009年的原油期货价格波动分为四个阶段,对每个阶段内的价格风险水平、变化趋势及其成因进行了实证分析。通过对比分析和回测检验历史模拟法(HS)、基于t分布的GARCH模型法(t-GARCH)和基于移动平均的蒙特卡罗模拟方法(SMA-MC)计算出的风险值VaR,发现t-GARCH对国际原油期货市场不同阶段及同一阶段内不同时刻的风险都能够做出较好的评估,SMA-MC在第一阶段和第四阶段对风险度量具有相对优势,而HS对阶段内特定时期的风险度量具有相对优势。整体来看,国际原油市场的价格风险呈现出逐步增加的趋势,因此利用原油期货市场进行套期保值和风险管理对原油相关企业而言非常必要。Turbulence of international crude oil price has an impact not only on consumer confidence and investment decision-making,but also on the economy of a country.Based on the long term trend of volatility in international crude oil market,this paper divides the period from Jan 3,1986 to Mar 17,2009 into four phases and empirically analyzes the level of price risk,changing trend and causes for each phase.By back-testing and comparing the HS（Historic Simulation） model,GARCH model based on t distribution and SMA-MC（Simple Mont Carlo Simulation） model based on Gauss distribution,this paper concludes that the GARCH model based on t distribution proves good in evaluating VaR（Value at Risk） over all phases and in different moments of a phase.The SMA-MC model has a relative advantage in phases I and IV,while the HS model has a relative advantage in given time slots of a phase.On the whole,the price risks in international crude oil markets are on the rise,so it is essential for crude oil related enterprises to hedge and manage risks through the international futures market of crude oil.

关 键 词：长周期波动 价格风险评估 历史模拟 GARCH模型 蒙特卡罗模拟 

分 类 号：F764.1[经济管理—产业经济] F713.35F224