能源金融市场的风险传导机制研究

发布时间：2018-01-09 08:12

本文关键词：能源金融市场的风险传导机制研究　出处：《对外经济贸易大学》2015年博士论文　论文类型：学位论文

【摘要】：随着全球经济一体化进程的加快,以能源产业为基础,依靠金融市场而发展起来的能源金融市场已经成为全球重要的资金交易平台。能源市场与金融市场的有效结合,已成为能源市场能否满足人类经济建设的日益增长的能源需求的关键。能源产业分别通过实体金融和虚拟金融来实现与金融市场的相互结合,虚拟金融的实质就是通过金融市场的自由买卖过程实现对能源市场的价格发现,有效的能源价格对实现能源市场效率有重要作用,并且会影响到能源市场的结构和全球格局分布。能源金融的本质不是能源企业能够从银行获得贷款金额的大小,而是金融市场信息如何传导至能源产业,能源产业能够充分利用市场信息进行调整和布局,这种传导机制单单依靠传统银行业的存贷款等业务是不可能实现的,而是要充分利用能源产业所特有的金融属性,通过金融市场与能源市场的有效结合以及相关金融产品的创新,使能源产业在市场方面反应更为灵敏和充分。由于金融市场所具有的充分的信息传导,能源金融市场可以实现对能源产业的价格风险和产能扩张风险的传导和预警。基于能源金融市场在能源价格形成上的决定性作用,培育不够成熟的能源金融市场面临的一个重要问题是如何有效地进行能源价格风险管理。获取准确的、真实的和有效的能源金融信息是进行有效能源价格风险管理的前提。信息与风险是对应的,信息越充分,不确定因素就会减少,风险则降低。我国虽然是全球第五大石油生产国、第二大石油消费国、第三大石油进口国,但在世界原油定价机制中,中国还没有发言权。全球油价的小幅波动会使国内能源企业发生巨额损失。导致这一现象产生的根本原因是由于我国的金融业与能源产业及其它大宗商品市场关联度很低,能源金融的创新发展水平较低,我国的能源金融市场没有充分地发挥价格发现功能。要真正获得能源市场的定价权,虚拟金融的发展是必须的,在发展原油期货等金融市场的同时,还需要同时开放资本市场、货币市场等,这个过程不是一蹴而就的,在很长一段时间内我国能源产业都不得不承受国际能源市场和国际金融市场所带来的价格风险之痛。因此,基于能源金融理论和中国能源金融发展现状,研究能源金融市场,尤其是石油金融市场的风险传导机制,并在此基础上进行能源金融市场风险预警机制的研究,是一个有意义的论文选题,希望论文的研究结果能够对中国能源企业利用能源金融市场加强能源价格风险管理提供参考。根据论文的研究目的和对相关文献的梳理,作者根据以下思路展开研究:首先在对能源金融市场风险传导特点、风险传导途径分析的基础上,设计能源金融市场风险传导模型。其次,在设计能源金融市场风险传导实证检验模型的基础上,对国际主要的金融市场与能源金融市场的风险传导展开实证研究,得到能源金融市场风险传导的一般路径。第三,基于我国能源金融发展的现状,对我国能源市场与国际能源金融市场的风险传导关系进行实证研究,得到我国能源金融市场完整的风险传导路径。第四,对能源金融市场风险预警进行研究,设计能源金融市场风险强度指标并进行计算和预测。最后对加强我国能源金融市场价格风险管理提出政策建议。论文定义能源金融市场风险是一种能源价格风险,能源金融市场风险因素可以分为宏观风险因素、中观风险因素和微观风险因素。能源金融市场风险主要通过信息溢出效应、资金溢出效应和波动溢出效应进行传导。价格风险传导效应包括广义价格风险传导效应、严格价格风险传导效应和非常严格意义上的价格风险传导效应,论文提出价格风险传导机制研究的实证模型分别是广义风险传导效应意义上的纯粹价格风险的协整模型、严格风险传导效应意义上的收益率风险var模型和非常严格意义上的价格风险传导效应意义上的波动风险的garch模型。论文对国际主要金融市场,黄金市场、股票市场和外汇市场与原油期货市场的价格风险传导效应进行了实证研究。对黄金市场与石油期货市场的纯粹价格风险协整模型的实证研究结果表明,除次贷危机影响下的价格异常联动外,黄金价格与原油期货价格之间整体呈现显著正相关;原油期货价格与黄金价格不存在协整关系,两者无长期均衡关系;格兰杰因果检验表明,与石油相比,黄金的金融属性更强,黄金价格的波动将单向影响石油价格波动。从纯粹价格风险传导机制来看,不同定价机制是导致金融市场对石油金融市场的价格风险传导效应不同的主要原因。与黄金市场相比,石油金融市场对风险的反应具有滞后性,被动的接受来自金融市场的风险,金融属性较弱。黄金市场表现出更强的金融属性,能对信息及时接收并在市场进行传递,有效地对外部信息做出反应。对国际主要股票市场和原油期货市场的收益率风险var模型的实证研究结果表明,股票市场收益率的波动性大于原油期货市场,两个市场呈现正相关性,金融危机前后两市表现出相反的相关性:危机前两个市场收益率呈现负相关,危机后两个市场收益率呈现正相关。var模型分析表明,股票指数和原油期货收益率均与其滞后2期收益率的变动相关。格兰杰因果检验表明,国际股票市场的风险将单向传导至石油期货市场。市场对公共信息和私有信息的吸收和反应的能力并不相同,石油金融市场对信息的吸收和反应慢于主要股票市场。当两个市场收益率出现相反走向时,资金会在两个市场间转移,并最终使得两个市场的收益率同向发展。而股票市场无论对公共信息还是私人信息都能及时接收并做出有效的反应,同时在不同金融间市场进行传递。对美元指数和原油期货市场的波动风险的garch模型的实证研究结果表明,原油期货收益率与美元指数收益率变动呈现显著负相关;两市的收益率都有显著的波动集簇性,冲击具有很强的持续性;格兰杰因果检验表明,两市波动率存在双向风险溢出效应,即美元的升值或贬值波动会对原油期货价格产生波动溢出效应,反过来,石油期货价格的波动也会引起美元汇率的波动。市场的信息溢出和投资者行为是导致波动溢出效应的内在和外在原因。美元汇率与石油金融市场的波动互相影响,两个市场的价格波动走势高度一致。论文对国际原油期货市场与国内原油市场的风险传导效应的实证研究结果表明,国际原油期货价格与国内原油价格波动步调基本同步,但两个市场在不同时期存在显著价差,反映出我国原油定价机制与国际市场存在脱轨现象。相关性检验表明,两个市场存在高度的相关性,国内原油市场正不断融入全球石油市场中。国际原油期货价格和国内原油现货价格之间存在长期均衡的协整关系,国际原油期货市场与国内现货现货市场价格间风险互为传导,两个市场间的联动趋势越来越明显。国际燃料油期货市场对上海燃料油期货市场的风险传导效应的实证研究表明,上海燃料油期货价格与国际燃料油期货价格波动步调基本同步,但两个市场对金融危机的反应和市场恢复上存在着差异,上海燃料油期货市场更具市场弹性。上海燃料油期货收益率和国际燃料油期货收益率的变动呈现显著正相关,国际燃料油期货与上海燃料油期货的风险传导效应是单向的。对能源金融市场的风险传导研究表明,一国的能源金融市场风险是一个综合变量,国内宏观经济指标、国际金融指标及能源市场相关指标都是重要影响变量,论文通过主成分分析方法对能源金融市场风险进行了量化分析,并结合arma模型对能源金融市场风险强度进行了预测。结果表明,中国能源金融市场风险在2006年以前处于“安全”级别,此后,除在2008年短暂的恢复“安全”级别,我国能源金融市场风险一直在上升,但仍处于“可控”的区间。当前我国的能源金融市场处于较大风险区间,按照能源金融市场风险强度的增长趋势,未来能源金融市场风险有可能进一步增加。论文的创新性主要有以下几方面:首先,论文设计了“单轨双线双向”的风险传导研究思路,单轨指的是价格风险传导这个主线,双线指的是从国际金融市场到国际能源金融市场,再到国内能源市场的风险传导研究思路,双向指的是金融市场和能源金融市场的双向风险传导。其次,设计了能源金融市场价格风险传导的实证研究模型,广义风险传导效应的价格协整模型、严格风险传导效应的收益率风险var模型和非常严格意义上的价格风险传导效应的极端风险波动garch模型,并在能源金融市场广义价格风险传导效应的基础上提出了纯粹价格风险的概念。第三,论文在理论和实证研究的基础上总结了能源金融市场的纯粹价格风险传导机制、收益率风险传导机制和波动风险传导机制。第四,论文在主成分分析的基础上提出了能源金融市场风险强度的概念,并结合ARMA模型对2002-2014的石油金融市场风险强度进行了计算和预测。
[Abstract]:With the acceleration of global economic integration, with the energy industry as the foundation, relying on the financial markets and the development of the energy financial market has become an important platform for financial transactions. The effective combination of energy market and financial market, has become a key energy market can meet the growing economic construction of human energy demand energy industry respectively. Through financial and virtual financial entities to achieve mutual combination and financial market, financial freedom is the essence of virtual transactions in financial markets to achieve the energy market price discovery, the price of energy has an important role in the implementation of energy efficiency market, and will affect the structure and distribution pattern of global energy markets. Energy finance nature is not energy enterprises can get the loan amount from the size of the bank, but the financial market information how to transfer to the energy source Industry, energy industry can make full use of market information and adjust the layout of the transmission mechanism rely solely on traditional banking deposit and loan business is impossible, but to make full use of the unique financial attributes of the energy industry, through innovation and effective combination of financial market and the energy market and related financial products, make energy industry in the market reaction is more sensitive and full. Because of the financial market is full of information transmission, transmission and energy early warning financial market can be achieved on the energy industry price risk and capacity expansion risk. The decisive role of the energy financial market in the energy price formation based on the cultivation of an important issue facing not mature the energy of the financial market is how to carry out energy price risk management effectively. To obtain accurate, real and effective energy of financial information is A prerequisite for effective energy price risk management. Information and corresponding risk information, more fully, uncertain factors will be reduced, the risk is lower. Although China is the world's fifth largest oil producer, the second largest oil consumer, the third largest oil importer, but in the world crude oil pricing mechanism, is not China the right to speak. The slight fluctuations in global oil prices will make domestic energy companies huge losses. The cause of this phenomenon is due to China's financial industry and energy industry association and other commodity markets is very low, the level of financial innovation and development of energy is low, the sources of energy of our country financial market is not fully has the function of price discovery. To obtain the energy market pricing, the development of virtual finance is a must, in the development of crude oil futures and other financial markets at the same time, also need to open the capital market. Money market, this process is not easy, in a very long time, China's energy industry will have to bear the international energy market and the international financial market brings the price risk of pain. Therefore, energy finance theory and financial development based on the status quo of Chinese energy research, energy financial market, especially the risk conduction mechanism of oil in financial markets, energy research of financial market risk early warning mechanism and on this basis, it is a meaningful topic, I hope the results of this paper can enhance the energy price risk management of the China energy companies use energy financial market to provide reference. According to the purpose of the research and the literature review, the author according to the following thinking of the study: first of all in the energy of financial market risk conduction characteristics, risk analysis pathway, design of energy financial market risk The conduction model. Secondly, based on the empirical design of financial market risk conduction energy test model on the positive research on the risk conduction on the major international financial market and the energy of the financial market, get the general path of energy financial market risk conduction. Third, the development status of China's Energy Finance Based on the empirical research on the relationship between the risk of transmission China's energy market and energy international financial markets, risk conduction path of China's energy financial market complete. Fourth, to study the risk warning energy financial market, financial market risk design of energy intensity index and calculate and forecast. Finally, to strengthen the energy of our country financial market price risk management policy recommendations. This definition the energy of financial market risk is a kind of energy price risk, financial market risk factors of energy can be divided into macro meso risk factors. The risk factors and risk factors. The risk of energy financial market mainly through the information spillover effect, capital spillover effect and the volatility spillover effect is conducted. The price risk conduction effect including the general price risk conduction effect, price risk conduction strict price risk conduction effect and very strict sense, the empirical model proposed in this paper on the price risk conduction mechanism are the cointegration model of generalized risk conduction effect on the significance of pure price risk, GARCH model, strict risk conduction effect on yields significant price risk conduction effect risk VaR model and very strict sense of risk. The international financial market, the gold market, the stock price risk conduction effect the market and foreign exchange market and crude oil futures market by empirical research. On the gold market and oil futures market The empirical results of pure price risk co field integration model show that in addition to abnormal price linkage under the influence of subprime crisis, showed a significant positive correlation between gold price and the price of crude oil futures; crude oil futures prices and the price of gold does not exist cointegration, no long-term equilibrium relationship between the two; Grainger causality test shows that with oil compared with stronger financial attributes of gold, gold price fluctuations will affect the fluctuation of oil price. One way from the pure price risk conduction mechanism, different pricing mechanism is a major cause of financial market risk conduction effect on oil prices in financial markets is different. Compared with the gold market, the financial market reaction to the risk of oil has lagged behind, passive acceptance of the risk from the financial markets, financial property is weak. The gold market showed stronger financial attributes, can receive timely information and The market for transmission, effectively respond to external information. The empirical results yield risk VaR model of the main international stock market and crude oil futures market shows that the volatility of the stock market rate of return is greater than the crude oil futures market, two markets showed positive correlation, before and after the financial crisis of two, showed the opposite correlation: two before the crisis the market rate of return is negative, after the crisis of two market yields showed a positive correlation.Var model analysis showed that the stock index and crude oil futures return rate with 2 period lag changes in the rate of return. Grainger causality test shows that the risk of international stock market one-way conduction to the oil futures market. The market absorption capacity and in response to public information and private information is not the same, the oil absorption and reaction to the financial market information is slower than the main stock market when the two market. Yield appeared opposite direction when the funds will be transferred between the two markets, and ultimately makes the two market rate of return to the same development. And the stock market both for public information or private information can receive timely and effective response, at the same time in different financial market for transfer. The results of empirical research of GARCH model the risk of fluctuations in the dollar index and crude oil futures market showed that the crude oil futures return rate showed a significant negative correlation with the dollar index yield changes; two, yields are significantly volatility clustering, the impact of strong persistence; Grainger causality test shows that the two city there is two-way volatility risk the spillover effect, namely dollar appreciation or depreciation volatility will have spillover effects on crude oil futures prices, in turn, the oil futures price fluctuations can cause fluctuations in the dollar market. The information overflow And investors' behavior is the result of internal and external causes of volatility spillover. The dollar exchange rate and financial market volatility of oil price fluctuation trend influence each other, the two markets are highly consistent. The results of empirical research on the risk conduction effect of international crude oil futures market and domestic crude oil market shows that the international crude oil futures prices and domestic crude oil price the fluctuation of the pace of basic synchronization, but the two markets are significantly difference in different periods, reflecting the derailment phenomenon of crude oil pricing mechanism and the international market in China. The correlation test showed that the two markets are highly correlated, the domestic oil market has been integrated into the global oil market. The existence of long-term equilibrium cointegration relationship between international crude oil futures the domestic price and the spot price of crude oil, international crude oil futures market and domestic spot prices on the spot market risk mutual conduction, The linkage between the two market trend more and more obvious. An Empirical Study on the risk conduction effect of international oil futures market of Shanghai fuel oil futures market shows that the pace of futures price volatility of Shanghai fuel oil futures price and international oil market basic synchronization, but the two financial crisis on the gold market reaction and recovery of differences Shanghai fuel oil futures market, the market is more elastic. Positive related changes in Shanghai fuel oil futures futures return rate of return and international fuel oil rate, the risk of international fuel oil futures and Shanghai fuel oil futures conduction effect is one-way. Research on risk conduction on energy financial market showed that the market risks of Energy Finance China is a comprehensive variable, domestic macroeconomic indicators, financial indicators and international energy market related indicators are important variables by principal component analysis. A quantitative analysis on the risks of energy finance market, and combined with the ARMA model to predict the risk of financial market. The results show that the energy intensity, Chinese risk energy financial market before 2006 in the "safe" level, since then, except in 2008 brief recovery "safe" level of energy, China has been in the financial market risk rise, but still in the controllable range. China's energy market in the financial risk interval, according to growth trend of financial market risk intensity of energy, energy and financial market risk may increase further in the future. The innovation of this paper mainly includes the following aspects: first, the design thought of "risk conduction study on double monorail two-way" monorail, refers to the price of risk conduction of the main line, double line refers to from the international financial market to international financial markets to domestic energy, energy Thinking of risk transmission in the market, two-way refers to the two-way risk conduction of financial market and financial market energy. Secondly, design an empirical study on the model of energy financial market price risk, price cointegration model of generalized risk conduction effect, the risk of extreme volatility GARCH model strict risk conduction effect of the rate of return risk model and VaR very strict sense of the price risk conduction effect, and put forward the concept of pure price risk based on the risk conduction effect of energy price on the generalized financial market. Third, based on the theoretical and empirical research on the summary of the pure energy price risk conduction mechanism of financial market, the yield risk conduction mechanism and volatility risk transmission mechanism. Fourth, based on the principal component analysis on the concept of energy intensity risk of the financial market, and combined with the ARMA model of 2002-201 4 of the risk intensity of the petroleum market has been calculated and predicted.

【学位授予单位】：对外经济贸易大学
【学位级别】：博士
【学位授予年份】：2015
【分类号】：F426.2;F832.5

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