基于跳跃扩散过程的国内外石油市场联动研究

发布时间：2018-04-21 06:16

本文选题：石油市场 + 联动关系　；参考：《南京大学》2014年硕士论文

【摘要】：在能源危机日益严重的今天,石油对于促进各国经济增长的重要性不言而喻。在供需缺口不断拉大,对外依存度屡创新高的背景下,如何把握国内外石油市场的联动机制,对于确保我国能源安全具有重要意义。本文以跳跃扩散的资产定价模型为基础,利用Granger因果检验、Johansen协整检验、溢出指数模型和互激励跳跃模型等方法,并以08年金融危机作为时间节点分割样本期,从扩散和跳跃两个视角对Brent. WTI. Dubai和Daqing之间的联动关系展开研究,结果显示：WTI在危机前后均Granger影响Brent,而Brent仅在危机后影响WTI,表明两大基准之间存在转换；Brent、WTI、Dubai和Daqing之间存在长期均衡关系,Daqing与Brent之间存在稳定的正向关系但是与WTI却在危机前后由负向变为正向,此外危机后误差修正系数变小了；收益溢出和波动溢出在危机过后均有所提升,但大庆对其他市场的净溢出指数基本为负,250日的滚动窗口显示08年金融危机前后指数大幅上升后又急剧下跌,但整个样本期间存在上升的趋势；BNS检验发现四个市场均存在跳跃的现象,互激励模型显示危机后Brent、Dubai和Daqing市场表现出了一定的自激励效应,Daqing还受到来自Brent和Dubai的单向激励效应。
[Abstract]:When the energy crisis is increasingly serious, the importance of oil to promote economic growth is self-evident. In the background of the gap between supply and demand and the high dependence on foreign dependence, how to grasp the linkage mechanism of oil market at home and abroad is of great significance to ensure the energy security of our country. Based on the price model, using Granger causality test, Johansen cointegration test, spillover index model and mutual incentive jump model, the 08 year financial crisis is used as time node to divide the sample period, and the linkage relationship between Brent. WTI. Dubai and Daqing is studied from the two perspectives of diffusion and jumping. The results show that WTI is before the crisis. The post average Granger affects Brent, and Brent affects WTI only after the crisis, indicating that there is a transformation between the two major benchmarks; Brent, WTI, Dubai and Daqing have a long-term equilibrium relationship, and there is a stable positive relationship between Daqing and Brent, but the negative direction changes from negative to positive before and after the crisis, and the error correction coefficient becomes smaller after the crisis. The benefit spillover and volatility spillover have been promoted after the crisis, but the net spillover index of Daqing to other markets is basically negative. The 250 day rolling window shows that the index of 08 years before and after the financial crisis has risen sharply and sharply, but there is an upward trend in the whole sample period; BNS tests found that four markets have leaping phenomena each other. The incentive model shows that the Brent, Dubai and Daqing markets show a certain self incentive effect after the crisis, and Daqing is also affected by the one-way incentive effect from Brent and Dubai.

【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F416.22

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