境内外原油期货价格动态关联性研究——兼论中国原油期货的市场影响力

Research on dynamic correlation of crude oil futures prices at home and abroad——also on the market influence of China’s crude oil futures

基于DCC-GARCH模型和TVP-VAR-SV模型,考察上海原油期货与境外代表性原油期货价格之间的动态关联性。结果表明:境内外原油期货间的价格关联性具有显著的非对称性和时变特征。与新型冠状病毒感染暴发前相比,暴发后境内油价与境外油价间的关联性急剧上升,且前者对后者的冲击影响明显大于后者对前者的冲击影响;在此作用下,上海原油对阿曼原油的风险溢出具有长期性和持续性,而新型冠状病毒感染引致的上海原油与WTI和Brent原油间的风险溢出主要体现在短期、影响呈暂时性;境内外油价的互动影响在新型冠状病毒感染流行期大于暴发初期;总体而言,上海原油期货已具备相当的区域定价能力与一定的国际影响力,价格独立性初显,但其稳定性和抗风险能力还有待提升。

Based on DCC-GARCH model and TVP-VAR-SV model,this paper investigates the dynamic correlation between Shanghai crude oil futures and representative crude oil futures prices abroad.The results show that the price correlation between domestic and foreign crude oil futures has significant asymmetric and time-varying characteristics.Compared with that before the outbreak of COVID-19,the correlation between domestic oil prices and oil prices abroadincreased sharply after the outbreak,and the impact of the former on the latter was significantly greater than that of the latter on the former;under this effect,the risk spillover of Shanghai crude oil to Oman crude oil is long-term and sustainable,while the risk spillover between Shanghai crude oil and WTI and Brent crude oil caused by COVID-19 is mainly short-term and the impact is temporary;the interaction between domestic and foreign oil prices was greater in COVID-19 than that in the early stage of the outbreak;in general,Shanghai crude oil futures have a considerable regional pricing ability and a certain international influence,and the price independence is emerging,but its stability and anti-risk ability need to be improved.