国际油价、美国经济不确定性和中国股市的波动溢出效应研究  

International Transmission of Volatility Among Crude Oil Prices,Economic Uncertainty and the Stock Market

作　　者：王奇珍 王玉东[2] WANG Qi-Zhen;WANG Yu-Dong(Businiess school, Nanjing Xiaozhuang University, Nanjing 211171, China;School of Economics and Management, Nanjing University of Science andTechnology, Nanjing 210094,China)

机构地区：[1]南京晓庄学院商学院,江苏南京211171 [2]南京理工大学经济管理学院,江苏南京210094

出　　处：《中国管理科学》2018年第11期50-61,共12页Chinese Journal of Management Science

基　　金：江苏高校哲学社会科学基金资助项目(2018SJA0423);南京市重点学科应用经济学(培育学科)学科(宁教高师(2017)7号)

摘　　要：2008年金融危机以来的全球股市震荡,油价波动剧烈和经济的不确定性使得研究不同市场间的风险传导效应具有重要的意义。在综合评价现有研究的缺陷和既有改进方法的情况后,本文借鉴Diebold and Yilmaz(2012)的研究方法探索国际原油价格、美国经济不确定性和中国股市的波动溢出效应。本文选取1986年1月到2016年12月原油价格、美国经济不确定性指数和中国股票价格的月度数据,分别研究了静态波动溢出指数,动态波动溢出指数并做出了非线性检验。实证结果表明:变量国际油价解释了大部分的波动。方向性溢出指数是双向的和非对称的。在整个样本阶段系统的波动主要来自其他变量的冲击,变量国际油价的溢出效应占比重较大。变量国际油价、美国经济不确定性和中国股价对其他变量的波动溢出都存在非线性效应,前两者的正向变量的溢出效应较大,负向变量的溢出效应较小;后者的正向变量的溢出效应较小,负向变量的溢出效应较大。Since the 2008 financial crisis, global stock market volatility, oil prices fluctuations and economic uncertainty have made it important to study risk conduction effects between different markets. After a comprehensive evaluation of shortcomings of existing researches and new improvement methods, a fresh method proposed by Diebold and Yilmaz (2012) is used in this paper to investigate the international transmissionamong crude oil prices, the US economic uncertainty and China's stock market. In this paper, we use the monthly data of crude oil prices, the US economic uncertainty index and China's stock price from January 1986 to December 2016 are used and the static volatility spillover index, dynamic volatility spillover in- dex analysis and nonlinear test are studied respectively. The empirical results show that international oil prices explain most of the fluctuations. The directional spillover index is bidirectional and asymmetric. In the whole sample stage, the fluctuation of the system mainly comes from the impact of other variables, and the spillover effect of the international oil price is the largest. There are nonlinear effects of international oil prices, the US economic uncertainty and volatility the former two variables, the spillover effect of posit For the latter variable, the result is exactly opposite, than that of positive variables. spillover of China's stock price to other variables. For ive variables is larger than i.e. the spillover effect of that of negative variables. negative variables is larger.

关 键 词：油价 经济不确定性 股票价格 波动溢出 

分 类 号：C934[经济管理—管理学]