能源与金融市场的价格信息交互机制研究

发布时间：2018-09-10 16:45

【摘要】：随着能源金融一体化的不断推进，能源与金融的相互渗透融合对全球经济发展作用日趋明显。尤其是两个市场的反常波动交互影响，相应也给世界带来了不可忽略的安全隐患。为了有效的防范这种风险，维护能源安全与金融稳定，清晰认识能源与金融市场是如何进行价格信息交互传导和影响显得尤为重要。本文尝试构建以价格为主线的能源与金融市场的信息交互机制。本文从价格的视角出发，对能源市场与金融市场的相关概念和理论进行了界定和梳理。其中，能源市场以能源价格为核心展开讨论，能源价格涵盖了内部能源价格和外部能源价格，而金融市场则从货币市场和资本市场两个脉络展开。从宏观层面出发，基于实体经济的路径讨论分析能源与金融市场的价格信息交互机制。在此基础上，分析了能源与金融市场的现实关联，尤其是非稳健条件下两大市场的价格风险传导路径。基于能源与金融市场的价格信息交互机制理论和现实关联，选取1990年至2012年的相关数据为样本期进行实证研究。在利用灰色关联度分析方法测算能源和金融市场价格信息的相关度基础上，运用协整方法、格兰杰因果检验、脉冲响应函数和状态空间模型等方法测量两大市场单变量、单渠道的长期、短期、时变以及分时段效力，研究两个市场的传导方向与速度。并基于此，，进一步采用系统动力学的方法，构建能源与金融市场的价格信息交互影响和多元反馈模型，以系统思考的观点来界定机制的组织边界、运作及信息传递流程，构建“金融市场—能源市场”的“大系统”。最后，本文结合定性和定量分析结果，提出促进能源与金融市场共生发展及重点防范两大市场价格风险传导的对策建议。囿于研究的不足，还提出了全面把握二者的关联机理，构建全面具体、切实可行的能源与金融市场风险传染防范体系的期望。
[Abstract]:With the development of the integration of energy and finance, the mutual penetration of energy and finance plays an increasingly important role in the development of global economy. In particular, the abnormal fluctuations of the two markets interact with each other and bring the world a potential security hazard. In order to effectively prevent this kind of risk, maintain energy security and financial stability, it is particularly important to understand clearly how energy and financial markets conduct and influence price information interactively. This paper attempts to build a price-based information interaction mechanism between energy and financial markets. This paper defines and combs the related concepts and theories of energy market and financial market from the perspective of price. Among them, the energy market focuses on the energy price, which covers the internal and external energy prices, while the financial market starts from the money market and the capital market. Based on the path of real economy, the mechanism of price information interaction between energy and financial market is discussed from the macro level. On this basis, the paper analyzes the real relationship between energy and financial markets, especially the price risk transmission paths of the two major markets under non-robust conditions. Based on the theoretical and practical relevance of price information interaction mechanism between energy and financial markets, the empirical study is carried out in the sample period from 1990 to 2012. On the basis of calculating the correlation degree of price information between energy and financial market by using the method of grey correlation analysis, this paper uses cointegration method, Granger causality test, impulse response function and state space model to measure two major market single variables. The long-term, short-term, time-varying and time-divided effectiveness of single channel, the transmission direction and speed of the two markets are studied. Based on this, the system dynamics method is used to construct the price information interaction and multivariate feedback model between energy and financial market, and to define the organizational boundary, operation and information transfer process of the mechanism from the viewpoint of system thinking. Build "big system" of "financial market-energy market". Finally, combining the results of qualitative and quantitative analysis, this paper puts forward countermeasures and suggestions to promote the symbiotic development of energy and financial markets and to guard against the transmission of price risks in the two major markets. Due to the lack of research, the author also puts forward the expectation of comprehensively grasping the related mechanism of the two and constructing a comprehensive and practical energy and financial market risk contagion prevention system.
【学位授予单位】：中国矿业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F426.2;F832

【参考文献】