基于贝叶斯机制转换协整模型的石油——股市非对称效应研究

The Asymmetric Relationship of Oil-stock Markets Based on Bayesian Regime Switching Cointegration Model

传统门限机制转换模型存在参数估计最优化计算复杂以及参数不可识别的问题,本文构建双机制的贝叶斯门限机制转换协整模型研究国际石油价格与股市之间的非线性动态关系。利用八个亚太股票市场和国际石油价格的数据,结合MCMC抽样算法进行贝叶斯分析,着重考察国际石油—股市之间的非对称效应,结果发现国际石油价格与韩国、马来西亚股市之间具有门限机制转换的非线性协整关系,表明国际石油价格与韩国、马来西亚股市存在非对称效应,而国际石油价格与日本、澳大利亚、印度、印度尼西亚、台湾和新加坡股市之间没有非对称效应。进一步,格兰杰因果检验结果发现,国际石油价格与日本、澳大利亚、韩国、印度、马来西亚、印度尼西亚和新加坡股票价格指数之间存在双向格兰杰因果关系,而与台湾股票价格指数之间没有明显的格兰杰因果关系。

The nonlinear dynamic relationship between crude oil price and stock markets for the selected eight Asia-Pacific economies from 1997/07/01 to 2013/07/01 is investigated.In the traditional threshold regime switching models framework,the optimization is complicated in the procedure of parameter estimation and the identification of unknown nuisance parameters is more difficult.Therefore,a Bayesian threshold regime switching cointegration approach is implemented instead in this study.Based on Bayesian MCMC algorithm,It is found that there is threshold regime switching cointegrating relationship between crude oil and Korea stock market,and between crude oil and Malaysia stock market.The results suggest that there exist asymmetric adjustments in oil-Korea stock market nexus and oil-Malaysia stock market nexus.On the other hand,there are no asymmetric adjustments between oil and Japan,Australia,South Korea,India,Indonesia and Singapore stock markets.The regime switching cointegration analysis could provide a different view to the relationship between crude oil price and Asia-Pacific stock markets.