国际原油价格波动对中国行业指数的溢出效应  

Spillover effect of international crude oil price fluctuation on China’s industry index

作　　者：玄海燕[1] 刘鹏呈 李鸿渐[1] XUAN Hai-yan;LIU Peng-cheng;LI Hong-jian(School of Economics and Management,Lanzhou University of Technology,Lanzhou,Gansu 730050)

机构地区：[1]兰州理工大学经济管理学院,甘肃兰州730050

出　　处：《价格月刊》2021年第7期26-33,共8页

基　　金：国家自然科学基金资助项目“时空加权回归模型及其应用研究”(编号:11261031);甘肃省哲学社会科学基金资助项目“甘肃省高校毕业生就业质量测度与反馈体系构建”(编号:GL065)。

摘　　要：运用2015年1月-2020年2月的日数据,将原油价格波动作为外生变量,通过灰色关联模型筛选出与WTI原油期货价格关联程度较高的行业指数,从收益率和波动率两个层面,分别采用VAR-X模型和Asymmetric BEKK-X模型实证分析了国际原油价格波动对上证行业指数的均值溢出效应和波动溢出效应。研究表明:WTI原油价格波动对上证金融地产和原材料行业指数提供显著的均值溢出渠道,上证金融地产行业指数对上证原材料行业指数存在显著的单向均值溢出效应;WTI原油价格波动率对上证金融地产行业指数提供显著的波动溢出渠道,上证金融地产行业指数与原材料行业指数之间存在双向的波动溢出效应;上证金融地产行业指数不仅自身存在非对称效应,而且对上证原材料行业指数存在单向的非对称波动溢出效应。This paper used daily data from January 2015 to February 2020,took crude oil price fluctuation as an exogenous variable,and selected industry indexes that are highly correlated with WTI crude oil futures prices through the gray correlation model.From two aspects of return of rate and volatility,VAR-X model and Asymmetric BEKK-X model are used to empirically analyze the mean spillover effect and volatility spillover effect of international crude oil price fluctuations on the Shanghai Stock Exchange Industry Index.The results show that WTI crude oil price volatility provide significant mean spillover channel for Shanghai financial real estate and raw material industry index,and Shanghai financial real estate industry index has a significant one-way mean spillover effect on Shanghai raw material industry index,that WTI crude oil price volatility provides a significant volatility spillover channel for Shanghai financial real estate industry index,and there is a two-way volatility spillover effect between Shanghai financial real estate industry index and raw materials industry index and that Shanghai financial real estate industry index not only has its own asymmetric effect,but also has one-way asymmetric volatility spillover effect on Shanghai raw materials industry index.

关 键 词：国际原油价格波动 行业指数 VAR-X模型 ASYMMETRIC BEKK-X模型 溢出效应 

分 类 号：F714[经济管理—产业经济]