结构突变下国际油价波动与中国石油行业发展的多重联动关系  

The Mutual Linkage between International Oil Price Fluctuation and the Development of Chinese Oil Industry under the Structural Change

作　　者：吕政 胡晨沛 LYU Zheng;HU Chen-pei(School of Statistics and Mathematics,Central University of Finance and Economics,Beijing 102206,China;International Statistical Information Center,National Bureau of Statistics,Beijing 100826,China)

机构地区：[1]中央财经大学统计与数学学院,北京102206 [2]国家统计局国际统计信息中心,北京100826

出　　处：《统计与信息论坛》2021年第6期73-83,共11页Journal of Statistics and Information

基　　金：全国统计科学研究一般项目“大数据背景下组合风险的统计估计及应用研究”(2018LY41);贵州省教育厅科技人才成长项目“考虑非同步交易影响的金融高频协方差阵的估计及应用”(黔教合KY字〔2018〕160);中央财经大学研究生科研创新基金资助项目“制造业集聚与生产率的非线性关系研究——以运输条件为视角”(20192Y011)。

摘　　要：国际油价突变和中国原油对外依存度攀升增加了国际石油市场与中国石油行业联系的复杂度,廓清两者关系有助于提升中国在国际石油市场的话语权。为此,厘清了国际油价波动与中国石油行业股指变动之间的传导机制。在实证检验部分,应用Bai-Perron内生结构突变检验方法诊断突变点,在均值方程XVAR模型中将结构突变虚拟变量设置为外生变量,以此为基础构建BEEK、CCC、DCC等多元GARCH模型,对国际油价波动与中国石油开采、石油加工、石油贸易行业股指收益之间的波动溢出性、静态相关性和动态相关性等多重关系提供新的经验证据。研究发现:国际油价波动对中国石油行业股票价格指数变化起先导作用;中国石油开采、石油加工行业股指收益率与国际油价变动率存在双向的波动溢出效应;中国石油开采、石油加工、石油贸易行业股指收益率与国际油价变动率之间的动态相关系数均呈现明显的时变特征。中国作为发展中的世界第二大经济体,应抓住国际油价低位徘徊的有利窗口期,提升买方市场的定价话语权。The sudden change in international oil prices and the rising dependence of China’s crude oil on foreign sources have increased the complexity of the international oil market’s connection with the Chinese oil industry and clarifying the relationship between the two will help enhance China’s voice in the international oil market.To this end,the transmission mechanism between fluctuations in international oil prices and changes in China’s oil industry stock indexes has been clarified.In the empirical test part,the Bai-Perron endogenous structural mutation test method is used to diagnose the mutation point,and the structural mutation dummy variable is set as an exogenous variable in the mean equation XVAR model,and a multivariate GARCH model such as BEEK,CCC,DCC,etc.is constructed on this basis,provide new empirical evidence for the multiple relationships between international oil price fluctuations and China’s oil exploration,oil processing,and oil trading industry stock index returns,such as volatility spillovers,static correlations,and dynamic correlations.The research arrives at the following conclusions:International oil price fluctuations play a leading role in the changes in China’s oil industry stock price index.There is a two-way volatility spillover effect between China’s oil exploration and oil processing industry stock index returns and the international oil price change rate.The dynamic correlation coefficients between the rate of return of the stock index in the China’s oil extraction,oil processing,and oil trading industries and the rate of change in international oil prices all show obvious time-varying characteristics.As the second-largest economy in the developing world,China should seize the favorable window period when international oil prices are hovering at a low level to enhance the buyer’s market voice in pricing.

关 键 词：国际油价 石油行业 波动溢出性 时变性 多元GARCH 

分 类 号：F224.0[经济管理—国民经济] F832.5