国际与中国原油市场间的波动率动态溢出分析  

Dynamic volatility spillovers between international crude oil futures and Chi⁃na crude oil spot

作　　者：龚旭 刘堂勇 文凤华[3] GONG Xu;LIU Tang-yong;WEN Feng-hua(School of Management,China Institute for Studies in Energy Policy,Xiamen University,Xiamen 361005,China;Institute for Advanced Studies in Finance and Economics,Hubei University of Economics,Wuhan 430205,China;Business School,Central South University,Changsha 410083,China)

机构地区：[1]厦门大学管理学院中国能源政策研究院,厦门361005 [2]湖北经济学院财经高等研究院,武汉430205 [3]中南大学商学院,长沙410083

出　　处：《管理科学学报》2023年第11期125-141,共17页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(72071166,72371211,71701176,72131011);福建省社会科学基金资助项目(FJ2023Z008)。

摘　　要：本研究分别运用常系数VAR模型和TVP-VAR-SV模型结合Diebold和Yilmaz构建波动率溢出指数的方法,研究了WTI、Brent和Oman原油期货与中国原油现货间波动率的整体溢出效应和动态溢出效应.实证结果显示WTI和Brent原油期货表现出波动率净溢出,而Oman原油期货和中国原油现货为波动率净溢入,其中中国原油现货受Brent原油期货的净溢入量最大;国际原油期货与中国原油现货波动率间的溢出指数、溢入指数和净溢出指数都具有动态性和同步性;当原油的价格和波动率较低且其价格上涨时,国际原油期货与中国原油现货间的波动率溢出和溢入作用更明显;而原油价格较高且处于下降阶段、以及波动率较低时,国际原油期货对中国原油现货的波动率净溢出效应更大.This paper uses the constant coefficient VAR model and TVP⁃VAR⁃SV model combined with Diebold and Yilmaz method to construct a volatility spillover index,and studies the overall volatility spillover effect and dynamic spillover effect between WTI crude oil futures,Brent crude oil futures,Oman crude oil fu⁃tures and China crude oil spot.The empirical results show that WTI and Brent crude oil futures are net volatil⁃ity transmitters,while Oman crude oil futures and China crude oil spot are net volatility receivers.Further,China crude oil spot receives the largest net spillover from Brent crude oil futures.The volatility spillover in⁃dex,spill into index,and net spillover index between international crude oil futures and China’s crude oil spot are dynamic and synchronized.When the price and volatility of crude oil futures are low and its price ri⁃ses,the spillover and spill into effects between international crude oil futures and China’s crude oil spot are more obvious.While international crude oil futures volatilities have greater net spillover effects on China’s crude oil spot volatility when crude oil prices are high and in a falling stage,and when volatility is low.

关 键 词：波动率动态溢出 国际原油期货 中国原油现货 TVP-VAR-SV模型 已实现波动率 

分 类 号：F830[经济管理—金融学]