美元价格与原油价格之间的波动溢出效应研究

A Study on the Volatility Spillover Effect between the Price of U.S.Dollar and Oil Price

选取2002年2月11日至2014年3月27日的每日数据样本,采用DCC-GARCH模型和溢出指数模型,研究三大原油价格之间的波动溢出效应及美元价格与原油价格间的波动溢出效应。DCC-GARCH模型分析结果表明,三大原油价格收益率均受前期的随机扰动影响和波动影响,但前期的随机扰动影响起主导作用。三大原油价格收益率动态相关系数主要受持续性影响,受随机扰动影响微弱。美元与各原油价格的分析结果显示,经济危机发生时美元价格和原油价格的相互影响由负向关系转变为正向关系。溢出指数分析结果显示,经济危机发生前后三大原油价格之间总溢出指数未发生大的变动,但WTI价格的影响程度减弱,DUBAI价格的自我影响程度增大。美元价格对原油价格的波动溢出效应显著增加。

By using the DCC - GARCH model and the spillover index model, and by choosing daily data from February 11,2002 to March 27, 2014 as the samples, the paper studies the vola- tility spillover effects among the three largest oil prices and the volatility spillover effects between the price of US dollar and oil price. The results of DCC - GARCH model analysis show that the re- turn rates of the three oil prices are influenced by the prophase random disturbance changes and the volatility changes, with the former play the dominant role. The dynamic correlation index of the price returns of the three oil prices is mainly influenced by the sustainability of itself, with weak impact from random disturbance changes. The analysis of the U.S. dollar and the oil prices show that the interrelationship between the price of U.S. dollar and the oil prices changed from negative correlation into positive correlation when economic crisis happed. The results of spillover index shows that the total spillover index of the three oil prices did not change a lot before and af- ter the economic crisis, but the influence of WTI price decreased while the self influence of DUBAI price increased. The volatility spillover effect of the price of U.S. dollar on oil prices in- creased significantly.