国内外原油市场波动溢出效应的多元分析

The Research on the Spillover Effects between Domestic and Foreign Crude Oil Markets Based on a Multivariable GARCH Model

本文通过构建的VAR（1）-MGARCH模型对我国原油市场与伦敦原油市场的波动溢出效应进行了实证研究，结果表明：我国市场与伦敦市场存在显著的双向波动溢出效应，但相比较而言，我国市场对伦敦市场波动溢出较伦敦市场对我国市场的波动溢出更为显著；考虑到我国原油的定价机制，我们认为这两个方向的波动溢出各自所代表的含义有所不同：我国市场对伦敦市场的溢出效应是两种效应的综合结果，而伦敦对我国的波动溢出代表则是一种间接影响；最后依据研究结论，本文提出了我国原油进口安排需要注意的问题。

This paper investigates the spillover effects between the domestic crude oil market and London crude oil market through the VAR（ 1 ） -MGARCH model. The empirical study shows： the spillover effect from domestic market to London market is more significant than the one from London market to domestic market while there exists significant bi - directional spillover effects between the two markets. Considering the pricing mechanism for the domestic crude oil, we think that the implications of the two spillover effects are different respectively： the spillover effect from London market to Chinese market is the result of the combined effects , but the one from Chinese market to London market represents an indirect effect. According to the conclusion in this paper, we put forward what the government should pay attention to when arranging the import of crude oil.