考虑美元指数冲击的国际原油价格风险度量模型  

Model Measuring Risk of Internation Crude Oil Price Under US Dollar Index Shocks

作　　者：邓晶晶 施淑蓉 DENJ Jing-jing;SHI Shu-rong(School of Economics,Hunan Agricultural University,Changsha 410128,China;School of Business,Hunan International Economics University,Changsha 410205,China;School of Finance,Hunan University of Finance and Economics,Changsha 410205,China)

机构地区：[1]湖南农业大学经济学院,湖南长沙410128 [2]湖南涉外经济学院商学院,湖南长沙410205 [3]湖南财政经济学院财政金融学院,湖南长沙410205

出　　处：《数学的实践与认识》2021年第19期35-43,共9页Mathematics in Practice and Theory

基　　金：湖南省教育厅科学研究项目(20C1091)。

摘　　要：将美元指数引入CARE模型,构建美指CARE模型,度量国际原油价格风险.选取WTI原油2001年1月2日-220年12月31日每日开盘价数据进行实证研究,结果发现:引入美元指数后的模型可以有效改善样本内VaR拟合精度,更加精准地揭示油价风险演化规律;采用移动窗宽向前一步预测法预测样本外油价VaR,发现美元指数会影响调整期内模型的预测绩效,但危机期主要受市场因素影响.This article introduces the US dollar index into the CARE model to construct the US dollar index-CARE model,and measures the risk of international crude oil price.Data of daily opening price of WTI crude oil from January 2,2001 to December 31,2020 are selected for empirical study The results show that,the fitting precision of in-sample VaR are improved by importing the US dollar index variable into CARE model.The improved model could reveal the law of risk evolution accurately.At last,we predict the out-sample VaR by the methods of a step forward prediction by moving window,finding that US dollar index could affect the predictive performance in adjustment stage while crisis stage is shocked by market factors.

关 键 词：美元指数 原油价格 风险度量 CARE模型 

分 类 号：F764.1[经济管理—产业经济] F224F416.22