经济不确定性和地缘政治风险对国内外原油价格的溢出性分析  

Economic Uncertainty and Geopolitical Risks on the Spillover Effects of Domestic and International Crude Oil Prices

作　　者：张思萌 ZHANG Simeng(College of Economics&Management,China Jiliang University,Hangzhou,Zhejiang 310018)

机构地区：[1]中国计量大学经济管理学院,浙江杭州310018

出　　处：《中国商论》2024年第2期93-96,共4页China Journal of Commerce

摘　　要：本文采用多元GARCH模型对条件相关性进行建模,研究2018年3月—2022年6月“一带一路”沿线中东国家油价、国内原油价格、经济政策不确定性和地缘政治风险之间的全球动态关系。实证结果表明,动态条件相关模型拟合数据最好,表明国内外油价与经济不确定性以及地缘政治风险之间存在时变的溢出效应,其中迪拜原油价格与国内原油价格之间的动态条件相关性较高。This article models conditional correlations and investigates the global dynamic relationships among oil prices,domestic crude oil prices,economic policy uncertainty,and geopolitical risks in Middle East countries along the Belt and Road Initiative from March 2018 to June 2022 through a multivariate GARCH model.Empirical results indicate that the dynamic conditional correlation model fits the data best and there are time-varying spillover effects between domestic and international oil prices,economic uncertainty,and geopolitical risks,with a high dynamic conditional correlation between Dubai crude oil prices and domestic crude oil prices.

关 键 词：油价 地缘政治风险 经济不确定性 多元GARCH 波动性溢出 

分 类 号：F742[经济管理—国际贸易]