基于Copula函数的我国能源市场与资本市场相关性研究
发布时间：2018-11-08 18:33
【摘要】：随着我国目前经济的不断发展,对能源的需求不断攀升,能源价格的变化对我国经济正常健康的发展有这重要影响。于此同时,我国金融领域,尤其是资本市场对与企业的融资和投资占据重要的地位,资本市场的波动同样影响着我国经济的健康发展。因此,能源和金融市场的安全与稳定对于国家经济的正常健康发展至关重要。伴随着我国能源金融一体化的不断加深,能源市场与资本市场的结合不断加深,两个市场之间的价格交互也越发明显,尤其在能源价格剧烈波动或资本市场剧烈波动时期,二个市场之间的相关性对于能源金融的安全、资本市场的稳定影响深刻。为了有效的防范我国能源金融风险,维护能源市场安全与资本市场稳定,需要对能源市场与资本市场之间的价格相关性做出定性与定量的分析。本文首先分析了不同的时间区间能源与资本市场的价格影响机制,基于能源金融概念的背景下,对能源市场与资本市场的相关概念和理论进行了界定和描述。针对能源市场与资本市场相互影响的实体经济路径和金融市场行为路径分析了能源与资本市场的价格影响机制。在基于能源市场与资本市场的价格影响机制理论之上,本文选取了2003年6月至2016年12月的月数据为样本期对能源市场与资本市场的相关性进行了实证研究。首先通过小波分析法将能源市场和资本市场的波动分解为短期、中期和长期波动,并检验了在不同波动期间下Granger因果关系,从定性角度分析我国能源市场与资本市场间波动关系在不同波动周期上的因果关系与影响方向,通过分析结果表明能源市场与资本市场间的波动影响方向和因果关系密切程度在短期和长期方面的表现是不同的。进一步在研究能源市场与资本市场间波动方向的同时,也必须分析两个市场之间波动的影响程度与风险传播大小。基于此,本文基于Copula函数模型,分别运用二元正态Copula、t-Copula、Clayton-Copula、Frank-Copula、Gumbel Copula模型分别研究能源市场与资本市场间波动的相关程度、上尾相关程度以及下尾相关程度,并检验已获得能最优拟合能源市场价格和资本市场价格的Copula函数模型。最后求出能源市场与资本市场的风险传播大小。最后,通过结合定性和定量分析的结果,指出我国目前能源市场与资本市场的相关程度随着波动周期增加,相关程度逐渐增大,表明能源市场与资本市场在短期内的关联程度较低,但在长期内这种关联程度是很高的,并且根据Copula函数给出的风险传播大小也表明两个市场之间随着时间增加风险传播的大小也随着增大。根据以上分析的结果,提出促进能源与资本市场发展、加快构建我国能源金融体系并着重防范能源与资本市场价格风险的对策建议。
[Abstract]:With the development of our country's economy, the demand for energy is rising, and the change of energy price has an important effect on the healthy development of our economy. At the same time, the financial field of our country, especially the capital market plays an important role in financing and investment with enterprises, and the fluctuation of capital market also affects the healthy development of our economy. Therefore, the security and stability of energy and financial markets are vital to the normal and healthy development of the national economy. With the deepening of energy and financial integration and the combination of energy market and capital market, the price interaction between the two markets is becoming more and more obvious, especially in the period of violent fluctuation of energy price or capital market. The correlation between the two markets has a profound impact on the security of energy finance and the stability of capital markets. In order to effectively prevent the energy financial risks and maintain the security of the energy market and the stability of the capital market, it is necessary to make qualitative and quantitative analysis on the price correlation between the energy market and the capital market. This paper first analyzes the price influence mechanism of energy and capital market in different time intervals. Based on the concept of energy finance, this paper defines and describes the related concepts and theories of energy market and capital market. Based on the real economy path and financial market behavior path of energy market and capital market, the price influence mechanism of energy and capital market is analyzed. Based on the theory of price influence mechanism between energy market and capital market, this paper chooses the monthly data from June 2003 to December 2016 as the sample period to make an empirical study on the correlation between energy market and capital market. Firstly, the volatility of energy market and capital market is decomposed into short-term, medium- and long-term volatility by wavelet analysis, and the Granger causality is tested under different volatility periods. From the qualitative point of view, this paper analyzes the causality and influence direction of volatility relationship between energy market and capital market in different fluctuation cycles. The results show that the fluctuation direction and causality between the energy market and the capital market are different in the short and long term. While studying the direction of volatility between the energy market and the capital market, it is also necessary to analyze the degree of volatility and the magnitude of risk propagation between the two markets. Based on the Copula function model, this paper uses the binary normal Copula,t-Copula,Clayton-Copula,Frank-Copula,Gumbel Copula model to study the correlation degree between the energy market and the capital market, the correlation degree of the upper tail and the tail, and the degree of the correlation between the lower tail and the energy market. The Copula function model which can best fit the energy market price and the capital market price has been obtained. Finally, the risk propagation of energy market and capital market is obtained. Finally, by combining the results of qualitative and quantitative analysis, it is pointed out that the correlation degree between energy market and capital market increases with the increase of fluctuation cycle. It shows that energy markets and capital markets are less interconnected in the short term, but high in the long run. And the size of risk propagation given according to the Copula function also shows that the size of risk propagation increases with time between the two markets. Based on the above analysis, the paper puts forward some countermeasures and suggestions to promote the development of energy and capital market, to accelerate the construction of energy finance system in China and to guard against the price risk of energy and capital market.
【学位授予单位】：重庆工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F426.2;F832.5
本文编号：2319319
[Abstract]:With the development of our country's economy, the demand for energy is rising, and the change of energy price has an important effect on the healthy development of our economy. At the same time, the financial field of our country, especially the capital market plays an important role in financing and investment with enterprises, and the fluctuation of capital market also affects the healthy development of our economy. Therefore, the security and stability of energy and financial markets are vital to the normal and healthy development of the national economy. With the deepening of energy and financial integration and the combination of energy market and capital market, the price interaction between the two markets is becoming more and more obvious, especially in the period of violent fluctuation of energy price or capital market. The correlation between the two markets has a profound impact on the security of energy finance and the stability of capital markets. In order to effectively prevent the energy financial risks and maintain the security of the energy market and the stability of the capital market, it is necessary to make qualitative and quantitative analysis on the price correlation between the energy market and the capital market. This paper first analyzes the price influence mechanism of energy and capital market in different time intervals. Based on the concept of energy finance, this paper defines and describes the related concepts and theories of energy market and capital market. Based on the real economy path and financial market behavior path of energy market and capital market, the price influence mechanism of energy and capital market is analyzed. Based on the theory of price influence mechanism between energy market and capital market, this paper chooses the monthly data from June 2003 to December 2016 as the sample period to make an empirical study on the correlation between energy market and capital market. Firstly, the volatility of energy market and capital market is decomposed into short-term, medium- and long-term volatility by wavelet analysis, and the Granger causality is tested under different volatility periods. From the qualitative point of view, this paper analyzes the causality and influence direction of volatility relationship between energy market and capital market in different fluctuation cycles. The results show that the fluctuation direction and causality between the energy market and the capital market are different in the short and long term. While studying the direction of volatility between the energy market and the capital market, it is also necessary to analyze the degree of volatility and the magnitude of risk propagation between the two markets. Based on the Copula function model, this paper uses the binary normal Copula,t-Copula,Clayton-Copula,Frank-Copula,Gumbel Copula model to study the correlation degree between the energy market and the capital market, the correlation degree of the upper tail and the tail, and the degree of the correlation between the lower tail and the energy market. The Copula function model which can best fit the energy market price and the capital market price has been obtained. Finally, the risk propagation of energy market and capital market is obtained. Finally, by combining the results of qualitative and quantitative analysis, it is pointed out that the correlation degree between energy market and capital market increases with the increase of fluctuation cycle. It shows that energy markets and capital markets are less interconnected in the short term, but high in the long run. And the size of risk propagation given according to the Copula function also shows that the size of risk propagation increases with time between the two markets. Based on the above analysis, the paper puts forward some countermeasures and suggestions to promote the development of energy and capital market, to accelerate the construction of energy finance system in China and to guard against the price risk of energy and capital market.
【学位授予单位】：重庆工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F426.2;F832.5
【参考文献】
相关期刊论文 前10条
1 葛亮;;基于Copula-GARCH模型的新兴产业与上证指数相依性研究[J];统计与决策;2016年24期
2 俞剑;郑文平;程冬;;油价不确定性与企业投资[J];金融研究;2016年12期
3 李婷;李文兴;;碳排放与金融发展关联性的实证检验[J];统计与决策;2016年06期
4 朱波;牛锋;邵华明;;我国能源期货市场极端风险形成机制——基于金融化视角的分析[J];财经科学;2016年04期
5 霍俊爽;张若东;潘淑霞;邰志艳;董小刚;;基于Gumbel Copula函数的金融高频数据极大值相依性[J];东北师大学报(自然科学版);2015年04期
6 刘向丽;王旭朋;;基于小波分析的股指期货高频预测研究[J];系统工程理论与实践;2015年06期
7 林宇;陈王;王一鸣;黄迅;;典型事实、混合Copula函数与金融市场相依结构研究[J];中国管理科学;2015年04期
8 田利辉;谭德凯;;原油价格的影响因素分析:金融投机还是中国需求?[J];经济学(季刊);2015年03期
9 李丽红;;中国能源金融市场风险预警——基于PCA&ARMA模型的研究[J];经济问题;2015年02期
10 兰强;赵鹏大;;金融发展影响能源产业投资效率的路径分析[J];中国地质大学学报(社会科学版);2014年06期
，本文编号：2319319
本文链接：https://www.wllwen.com/gongshangguanlilunwen/2319319.html
