国际油价时变跳跃对中国金属期货市场的冲击效应研究

The Shocks of Time-varying Global Oil Price Jumps on China's Metal Commodity Markets

在原油消费量与对外依存度持续攀升、金属产业能耗居高不下的背景下,本文就国际油价时变跳跃对中国金属期货市场的冲击效应进行了探讨。研究发现:当期与上期油价跳跃对金属市场风险率分别具有显著的正向与负向冲击效应,而其对该市场收益率的影响虽全部为负但大多并不显著。由此表明,在以油价时变跳跃衡量的原油市场与全球金融环境双重风险突变下,金属市场风险率将呈现出显著的当期过度反应而下期逆向回调特征,而其收益率的适应性调整则比较有限且具有某种延滞倾向。此外,在金融投机行为与成本推动效应作用之下,可预期与非预期油价变动对金属市场收益率分别具有显著的正向与负向影响。

Given that China's crude oil consumption and its external dependent rate are both rising rapidly,extreme global oil price fluctuation is sure to affect its metal industry,which is characterized by huge energy consumption and low energy efficiency.Therefore,we investigated the time-varying jumps of global oil price and its shocks on China's metal commodity markets.We found that the impacts of current oil price jumps on the market risks of metals were all significantly positive,while those caused by its first order lags were all negative and significant.However,the reaction of metal returns to the jumps and its lags were all negative but may not be significant.Thus,we can conclude that under the shocks of extreme oil price volatility,market risks of China's metal commodities would be characterized by“overreactions”and“fall backs”,but the adjustment of its returns was not efficient and always showing time-lags.Moreover,we also found that the impacts of expected and unexpected oil price changes on the metal returns were significantly negative and positive,respectively.