国际原油期货市场与中国原油市场的波动溢出研究  

Volatility Spillovers between the International Crude Oil Futures Market and the Chinese Crude Oil Market

作　　者：卞晓雯 

机构地区：[1]南京理工大学经济管理学院,江苏 南京 收稿日期:2024年9月26日 [2]录用日期:2024年10月15日 [3]发布日期:2024年11月28日

出　　处：《现代管理》2024年第11期2940-2954,共15页Modern Management

摘　　要：研究国际原油期货与中国原油市场之间的关联具有重要意义,本文聚焦于其间的波动溢出效应。本文采用时间序列数据建模的方法,选取WTI和BRENT表征国际原油期货市场,INE原油期货表征中国原油市场,对数据进行预处理后采用VAR-BEKK/DCC-GARCH模型验证波动溢出效应,并采用DY、BK溢出指数分别进行时域和频域的研究,最后采用大庆原油现货和胜利原油现货替代INE的SC作稳健性检验。本文的研究结果表明,国际原油期货市场与中国原油市场之间存在波动溢出效应,且中国原油市场为风险净接收方。It is of great significance to study the association between international crude oil futures and China’s crude oil market, and this paper focuses on the volatility spillover effect between them. This paper adopts the method of time series data modeling, selecting WTI and BRENT to characterize the international crude oil futures market and INE crude oil futures to characterize the Chinese crude oil market, and adopting the VAR-BEKK/DCC-GARCH model to validate the volatility spillover effect after preprocessing the data. In this paper, DY and BK spillover indices are used to study in time and frequency domains respectively, and finally, Daqing crude oil spot and Shengli crude oil spot are used to replace the SC of INE for robustness test. The results of this paper show that there is a volatility spillover effect between the international crude oil futures market and the Chinese crude oil market, and the Chinese crude oil market is a net risk receiver.

关 键 词：波动溢出 VAR-BEKK/DCC-GARCH DY溢出指数 BK溢出指数 

分 类 号：F42[经济管理—产业经济]