原油价格波动性及国内外传染效应  

On the Fluctuation of Crude Oil Prices and Its Volatility Dependence and Contagion

作　　者：林伯强[1,2] 李江龙[2] 

机构地区：[1]闽江学院新华都商学院,福建厦门350108 [2]厦门大学经济学院中国能源经济研究中心,福建厦门361005

出　　处：《金融研究》2012年第11期1-15,共15页Journal of Financial Research

基　　金：新华都商学院能源经济与低碳发展研究院的低碳项目;教育部重大项目(10JZD0018);中央高校基本科研业务费专项资金的资助(G20化石燃料补贴研究)的支持

摘　　要：石油作为现代工业的血液,无论从短期还是长期来看,其价格的波动都会对经济运行产生很大的影响。我们的分析表明,已有研究对原油价格波动性的模拟存在预测性差和波动持续性过长两个不相容的缺陷。考虑到外生冲击可能会造成世界原油市场发生结构性的变化,同时考虑到原油市场的波动性聚集现象,我们建立了区制转换的原油价格波动性模型,即在不同的时期,原油价格的波动可能处于不同的状态之下,状态之间的转换满足一定的概率分布。我们的结果很好的改善了已有研究的上述缺陷,并且非常理想地拟合了突发政治事件和世界经济动荡对原油市场的影响。在检验表明原油价格波动确实存在区制转换的前提下,我们进一步又将模型扩展到多维情形,分析国际原油市场作为"波动源"对国内原油市场波动的传染。结果表明,国内外原油价格的波动性传染取决于国内原油价格的国际接轨以及国内定价机制是否造成原油市场投机。Oil is an important input of modem industry. The fluctuation of oil prices would exert great influence on the economic system form either a short - term or a long - term perspective. Our analysis demonstrates that most of existing researches on oil price volatility have two incompatible defects： poor forecasting performance and high degree of volatility persistence. Considering that oil market might have structure changes due to large shocks, we explore this possibility with weekly prude oil prices, allowing the parameters of volatility clustering process to come from different regimes, and the transition between regimes controlled by an unobserved Markov Chain. The results ameliorate the two incompatible defects of existing researches to a certain degree, and almost perfectly fit the regime - switching influence of large shocks, such as sudden political events and world econom- ic turbulences, to crude oil market. With the LR test explicitly showing that regime - switching effects do exist, we extend the regime - switching mechanism further into multidimensional situations to analysis the volatility de- pendence and contagion in the world and domestic crude oil markets. We find strong evidence of ＂originator＂ hypotheses of the world crude oil market, and the results demonstrate that volatility contagion depends on wheth- er domestic crude oil price is geared to international prices, and whether domestic pricing mechanism would in- duce oil market speculation.

关 键 词：原油价格 波动性聚集 区制转换 传染效应 

分 类 号：F764.1[经济管理—产业经济] F224