基于半参数Copula-ARMA-GARCH模型的能源业与银行业动态相依性研究

Study on Dynamic Dependence Between Energy Industry and Banking Industry Based on Semiparametric Copula-ARMA-GARCH Model

能源市场与银行市场的关系一般都是从宏观经济层面对两者做定性研究,而本文从微观金融层面出发,采用WIND二级行业数据中的能源业与银行业指数序列,运用半参数Copula-ARMA-GARCH建模,对两者相关性做定量研究。实证结果显示,能源业和银行业具有较大的、长期的动态相依性,而且能源业与银行业的下尾相关性要大于上尾相关性。对其相依关系做进一步研究发现时变性与能源行业的经济形势紧密相连,当行业繁荣时,两个序列相关性较大;当行业萧条时,两个序列相关性明显降低。此外,还得出了时变发生的"政策效应"和"雾霾效应"。由于效应不具有持久性,真正可以促进能源行业繁荣的是对能源行业进行转型升级,迎接"供给侧改革"的春风,使能源行业可以满足消费者的需求。

Scholars generally do qualitative research on the relationship between the energy market and the bank market from the macroeconomic perspective, while this paper does a quantitative study which builds semiparametric Copula - ARMA - GARCH model by using index sequences of energy industry and banking industry rooted in the WIND data from the micro - finance perspective. The empirical results show that the energy industry and banking industry depends with each other greatly and dynamically in long term. Besides, the dependence of the lower tail between the energy industry and the banking indus- try is larger than that of the upper tail. Further study on the dependence between the two industries finds that the time -variance is closely related to the economic situation of the energy industry. The depend- ence of the two sequences is relatively large when the industry is prosperous; the dependence of the two sequences reducessignificantlywhen the industry depresses. In addition, ＂ policy effect＂ and ＂ haze effect＂ arises from the time -varying dependence. However, the effects are not persistent. What can re- ally promote the prosperity of the energy industry are the development of new energy, the transformation and upgrading of the energy industry. If it takes the chance of ＂supply side reforms＂, can the energy in- dustry meets the needs of consumers