原油期货市场间价格风险传导研究——基于BEKK-GARCH模型的分析

Research on Price Risk Transmission Between Crude Oil Futures Markets——Analysis based on BEKK-GARCH model

上海原油期货有望打造亚太原油定价基准。本文2018年3月26日到2020年1月23日期间INE、WTI和Brent三个原油期货市场440个观察日的价格数据,运用Granger因果检验与BEKK-GARCH模型,研究三个原油期货市场之间的价格因果关系与溢出效应。Granger因果检验结果表明:WTI与Brent原油期货价格都是影响INE原油期货价格的重要因素;BEKK-GARCH模型检验结果显示:WTI和Brent原油期货市场对INE原油期货市场存在单向波动溢出效应,INE原油期货市场对WTI和Brent原油期货市场不存在波动溢出效应。为了提升我国原油期货的影响力,应进一步拓宽上海原油期货价格的使用范围,加快上海原油期货市场建设,推动原油现货市场的发展,构建和完善配套衍生品体系。

Shanghai crude oil futures are expected to create the benchmark for crude oil pricing in the Asia-Pacific region.This paper uses the price data of the three crude oil futures markets of INE,WTI and Brent for 440 observation days from March26,2018 to January 23,2020,and uses the Granger causality test and the BEKK-GARCH model to study the three crude oil futures markets.Price causality and spillover effects.The results of Granger causality test show that both WTI and Brent crude oil futures prices are important factors affecting the price of INE crude oil futures;The test results of the BEKK-GARCH model show that the WTI and Brent crude oil futures markets have a one-way volatility spillover effect on the INE crude oil futures market,and the INE crude oil futures market has no volatility spillover effect on the WTI and Brent crude oil futures markets.In order to enhance the influence of China’s crude oil futures,the scope of use of Shanghai crude oil futures prices should be further expanded,the construction of Shanghai crude oil futures market should be accelerated,the development of crude oil spot market should be promoted,and the supporting derivatives system should be constructed and improved.