国际原油与黄金价格的风险传染关系研究

Study on the Risk Contagion Relationship between the International Crude Oil Price and Gold Price

以WTI原油期货价格和伦敦黄金定盘价作为研究对象,通过构建Copula模型明确市场间的风险相依强度,并结合使用向量自回归(VAR)模型对其风险传染方向进行研究。研究结果表明:国际原油价格和国际黄金价格之间存在着明显的动态风险相依关系与双向风险溢出效应。相对而言,国际原油价格波动传染到黄金市场的用时较短,对黄金价格变化影响较大;而国际黄金价格的变动传染到原油市场则用时稍长,且对原油价格波动的影响相对较小。

We took WTI and London gold price as the research objects, constructed copula model to get the risk-dependent intensity between them, and used the VAR model to discuss direction of the risk contagion. The results show that there exists obvious dynamic dependency relationship and bidirectional risk spillover effects between international crude oil and gold prices. The influence of the change of international crude oil price on the gold market is relatively shorter and the fluctuation of gold price is greater, while effects of international gold price changes on the oil market are slightly longer, and the fluctuation of crude oil prices is relatively small.