国内外石油价格波动性溢出效应研究

Volatility Spillover Effect between Domestic and International Oil Prices

本文分析了国内外石油价格波动传导机制与国内外石油价格波动的典型化事实,将动态相关系数的多变量随机波动模型与固定系数的Granger波动性因果关系模型结合起来,构建了动态相关系数的带Granger因果检验的多元随机波动模型(DGC-MSV),并实证检验了美国、英国和中国的石油现货价格之间、期货价格之间以及期货价格与现货价格之间的波动溢出效应,主要得到如下结论:中国、美国、英国石油期货价格、现货价格波动性之间的相关系数都是动态变化的;中国石油现货价格受美国石油现货价格的波动溢出影响,而同时中国石油现货价格又对美国和英国的石油期货价格波动有显著溢出效应;英国和美国的石油现货价格之间、石油期货价格之间都具有双向波动溢出效应;中国石油市场的金融属性低于英国和美国石油市场。最后提出一些对策建议。

The transmission mechanism and the stylized facts of the volatility of domestic and international oil prices are analyzed. The multivariate stochastic volatility model of dynamic correlation coefficient with Granger causality test （DGC -MSV） , combining the multivariate stochastic volatility model of dynamic coefficient with the volatility Granger causality model of fixed coefficient, is constructed. And the tests are given based on the future and spot oil prices of China, USA and British. The following conclusions are gained mainly： First, the correlation coefficients of volatility between the future and spot oil price of China, USA and British are changing dynamically. Second, there are significant spillover effects from USA spot prices to Chinese spot prices, and meanwhile, from Chinese spot prices to USA and British futures prices. Third, there are two - way volatility spillover effects between the oil spot prices, and between the oil futures prices of Britain and USA. Forth, finan- cial attributes of Chinese oil market are less than those of Britain and USA oil markets. Finally, some sugges- tions are put forward.