国际原油与黄金价格的风险传染关系研究  

Study on the Risk Contagion Relationship between the International Crude Oil Price and Gold Price

作　　者：张清朵 杨坤[1] 熊学文[2] 

机构地区：[1]成都理工大学商学院,四川成都610059 [2]重庆文理学院经济管理学院,重庆永川402160

出　　处：《西南交通大学学报（社会科学版）》2016年第2期103-110,共8页Journal of Southwest Jiaotong University(Social Sciences)

基　　金：教育部人文社会科学基金项目(15YJA630076);四川省教育厅人文社会科学重点项目(14SA0039);四川省科技青年基金项目(2015JQO010);四川省科技创新苗子工程资助项目(2014-018);四川省大学生创新创业训练计划项目(201510616061);成都理工大学中青年骨干教师培养计划资助项目(JXGG201420)

摘　　要：以WTI原油期货价格和伦敦黄金定盘价作为研究对象,通过构建Copula模型明确市场间的风险相依强度,并结合使用向量自回归(VAR)模型对其风险传染方向进行研究。研究结果表明:国际原油价格和国际黄金价格之间存在着明显的动态风险相依关系与双向风险溢出效应。相对而言,国际原油价格波动传染到黄金市场的用时较短,对黄金价格变化影响较大;而国际黄金价格的变动传染到原油市场则用时稍长,且对原油价格波动的影响相对较小。We took WTI and London gold price as the research objects, constructed copula model to get the risk-dependent intensity between them, and used the VAR model to discuss direction of the risk contagion. The results show that there exists obvious dynamic dependency relationship and bidirectional risk spillover effects between international crude oil and gold prices. The influence of the change of international crude oil price on the gold market is relatively shorter and the fluctuation of gold price is greater, while effects of international gold price changes on the oil market are slightly longer, and the fluctuation of crude oil prices is relatively small.

关 键 词：国际原油 国际黄金 大宗商品市场 风险依存度 风险传染 溢出效应 金融风险 

分 类 号：F416.22[经济管理—产业经济] F831.54F764.1