次贷危机前后国际原油市场与中美股票市场间的协动性研究

发布时间：2018-03-14 01:28

本文选题：协动性　切入点：动态条件相关　出处：《中国管理科学》2010年06期 　论文类型：期刊论文

【摘要】：本文运用基于动态条件相关的多元GARCH(DCC—MVGARCH)模型,对美国次信贷危机发生前后国际原油市场和中、美股票市场间的协动性变化进行了研究。实证结果表明在次信贷危机发生后,国际原油市场与中、美股票市场间的协动性有了明显的增强,不同市场间的波动具有明显的传导作用。国际原油市场与美国股市的协动性相对于中国股市波动性更强,说明冲击在国际原油市场与美国股市间的传导更强烈,其协动性对冲击的反应更敏感。另外,运用偏最小二乘方法(PLS)对影响国际原油市场和中、美股票市场的诸多因素在次信贷危机爆发前后对协动性解释能力的变化进行了分析,结果发现次信贷危机对这些因素的解释能力有明显的影响。
[Abstract]:In this paper, based on the dynamic conditional-dependent multivariate GARCHN DCC-MVGARCH model, the co-dynamic changes between the international crude oil market and the Chinese and American stock markets before and after the sub-credit crisis in the United States are studied. The empirical results show that after the sub-credit crisis, The synergy between the international crude oil market and the Chinese and American stock markets has increased significantly, and the fluctuations in different markets have a significant conductive effect. The international crude oil market and the United States stock market are more volatile than the Chinese stock market. It shows that the conduction of shock between international crude oil market and American stock market is stronger, and its coactivity is more sensitive to shock response. In addition, partial least square method is used to influence the international crude oil market. Many factors in the American stock market have been analyzed for the change of the explanatory power of the cooperative action before and after the outbreak of the credit crisis. The results show that the secondary credit crisis has a significant impact on the explanatory ability of these factors.
【作者单位】：中国科学院科技政策与管理科学研究所能源与环境政策研究中心;
【基金】：国家自然科学基金资助项目(70825001)
【分类号】：F416.22;F831.51;F832.51;F224

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