全球金融危机对国内外原油市场间溢出效应的影响

The Effect of Global Financial Crisis on Spillover between Domestic and International Crude Oil Markets

后危机时代以来,国际油价波动幅度的增长使中国石油市场受外来石油市场波动的风险进一步加剧,研究国内外原油市场间互动关系的变化对于中国有效避免国际原油价格波动所带来的风险具有重要意义。全球金融危机的发生加深了国内外原油市场间的报酬溢出效应和波动溢出效应,但是这并不意味着国内原油市场在国际原油市场中的竞争力得到提升。相反,全球金融危机后国外油价的剧烈波动将给国内原油市场带来更大的冲击和风险。

Based on Granger causality test, impulse-response function and MGARCH-BEKK model, this paper makes an empirical study on the changes of the interactive relationship between domestic and international crude oil markets from the perspective of price spillover and volatility spillover before and after global financial crisis. The results show that global financial crisis has deepened the spillover between domestic and international crude oil markets. However, this does not mean the competitiveness of domestic crude oil markets has been improved. On the contrary, because of the volatility of international oil price after global financial crisis, domestic crude oil market will face greater impact and risk.