国际金融市场与国际原油期货市场溢出效应实证检验——基于VAR-BEKK模型的分析

The Empirical Study of Spillover Effect Between International Financial Market and International Crude Oil Futures Markets——Based on the VAR-BEKK Model

文章通过构建VAR模型和BEKK模型对道琼斯股票市场、美元/欧元汇率市场与国际原油期货市场的动态关系进行了实证检验。结果表明:道琼斯股票市场与WTI原油期货市场存在双向的价格溢出效应,以及前者向后者的单向波动溢出效应;美元/欧元汇率市场存在向WTI原油期货市场单向的价格溢出效应和波动溢出效应。所以,国际原油期货市场与国际金融市场联系紧密,国际原油的金融属性日益体现,其价格变动更多受外部国际金融市场风险影响。

Based on the VAR and MGARCH models,this paper empirically analyzes the dynamic relationships between DOW stock market,US exchange market and international crude oil futures market.The study shows that there is bi-directional price spillovers effect between DOW stock market and the international crude oil futures market and their volatility spillover effect from the former to the latter.There are price and volatility spillover effect from USD/EU exchange market to the international crude oil futures market.Therefore,there is closer relationship between international crude oil futures markets and international financial markets.Furthermore,international crude oil increasingly owns financial characteristic,and its price variation is more affected by outer international financial markets risk.