美元指数与原油价格暴涨暴跌的交互刺激研究

The Cross Excitement between the Jumps and Slumps of US Index and Crude Oil Price

采用具有相互刺激特征的Hawkes过程探究美元指数与原油价格暴涨暴跌的交互刺激作用。结果表明:在暴涨暴跌幅度均服从广义帕累托分布的基础上,Hawkes过程对美元指数与原油价格的暴涨暴跌均拟合得较好;美元指数和原油价格的暴涨暴跌具有明显的自我刺激效应,且原油价格的暴涨暴跌会单向刺激美元指数暴涨暴跌的发生,即交叉刺激效应具有非对称性。同时,实证发现Hawkes过程对美元指数与原油价格的暴涨暴跌的预测能力要优于泊松过程。

This paper uses the Hawkes process with self-excitement and cross-excitement features to explore the cross-excitement effects between the jumps and slumps of the US dollar index and crude oil price.The results show that the Hawkes process can well describe the occurrences of the jumps and the slumps of the US dollar index and the crude oil price,when the sizes of the jumps and the slumps are fitted by the general Pareto distribution.Besides,it is obvious that there exists the self-excitement effect of the jumps and slumps of the US dollar index as well as the crude oil price;the occurrence of an extreme event in crude oil price will stimulate the extreme events to occur in the US dollar index,that is,the cross-excitement effect is asymmetric.Finally,we find that the Hawkes process is advantageous over the Poisson process in predicting the jumps and slumps of the US dollar index and crude oil prices.