国际石油价格波动机制转换与波动溢出效应研究

发布时间：2018-04-03 21:13

本文选题：国际石油市场　切入点：异常价差　出处：《北京理工大学》2015年硕士论文

【摘要】：2003年之后,国际石油价格一路攀升,石油市场复杂多变,特别是在2007-2008年的世界金融危机期间,国际石油价格经历了过山车一般的暴涨暴跌。进入2009年,随着金融危机逐渐淡去,世界经济开始复苏,Brent和WTI原油价格开始反弹回升,并伴随着剧烈的价格波动。同时,WTI的衍生成品油市场,包括取暖油、汽油、柴油和燃料油等油品的价格也随之震荡回升。在这种环境下,两种国际基准原油WTI和Brent之间的价格差发生明显变化引起了国际世界的广泛关注。本文在研究中将2009年国际金融危机过后的价格差定义为异常价差,以区别金融危机前的状态。在研究中,利用马尔可夫机制转换模型对两种国际原油在金融危机前后各自的价格波动机制进行了分析,试图寻找这种异常价差产生的原因。之后,本文通过VAR-GARCH-BEKK模型来分析比较WTI原油与其衍生成品油市场之间的波动溢出效应,探索不同市场间价格的相互影响关系。首先,无论是在金融危机之前,还是危机之后,Brent与WTI原油都存在明显的三种机制。Brent原油的三种价格机制是“大幅下跌”,“小幅下跌”和“大幅上涨”,WTI原油的三种价格机制时“大幅下跌”,“基本不变”和“大幅上涨”。其次,两种原油在经过金融危机之后,其价格收益率之间存在典型机制的差异。Brent在金融危机之前的典型机制是“小幅下跌”,但金融危机之后却转换为“大幅上涨”;WTI在危机前后的典型机制并未发生明显变化,都为“基本不变”。研究认为,后金融危机时代两种国际原油之间的异常价差可能表明两种原油市场各自具备不同的波动特征,这种波动特征的差异,主要源自于危机后世界经济的整体萧条和复苏乏力造成的两种国际原油自身的供求基本面差异,同时石油市场纷繁复杂的表现促使市场活动频繁多变也是重要原因之一。第三,两种国际原油WTI和Brent,WTI的衍生成品油柴油和燃料油的价格收益率都受到历史收益率的显著影响,汽油和取暖油的市场表现与过去收益率无关。所有研究对象之间都存在市场间的均值溢出效应,表明价格会携带市场信息传递到其它相关的市场当中去。这种效应既包括双向溢出效应,又包括单向溢出效应。最后,WTI与其它五种石油市场之间都存在显著的双向波动溢出效应。所有石油的价格收益率波动都受到其历史价格收益率残差和条件方差的显著影响。这说明所有价格收益率波动都会因为其市场上的短期震荡而有所变化,同时过去的条件波动的值可以用来预测未来石油价格收益率的波动情况,而且GARCH模型能够用来捕捉市场上波动的存在性。同时证明,市场波动更多地受到过去波动的影响,而非短期震荡。
[Abstract]:After 2003, the international oil price keeps rising, the oil market is complex and changeable, especially during the world financial crisis of 2007-2008, the international oil price has experienced the roller coaster general rise and fall.In 2009, as the financial crisis waned, the world economy began to recover. Brent and WTI crude oil prices rebounded, accompanied by sharp price volatility.At the same time, the WTI derivative oil market, including heating oil, gasoline, diesel and fuel oil prices have also rebounded.In this environment, the price difference between two international benchmark crude oil, WTI and Brent, has changed obviously, which has attracted the attention of the international world.In this paper, the price difference after the international financial crisis in 2009 is defined as abnormal price difference to distinguish the state before the financial crisis.In order to find out the cause of the abnormal price difference, the paper analyzes the price fluctuation mechanism of two kinds of international crude oil before and after the financial crisis by using the Markov mechanism transformation model.Then, this paper analyzes and compares the volatility spillover effect between WTI crude oil and its derivative oil market by VAR-GARCH-BEKK model, and explores the interrelation of price between different markets.First of all, whether before or after the financial crisis, there are three obvious price mechanisms for Brent and WTI crude. The three price mechanisms for Brent crude are "big falls"."A small drop" and "a sharp rise" in the three price mechanisms for WTI crude oil are "substantially down", "virtually unchanged" and "substantially higher".Second, after the financial crisis, there was a typical difference between the price yields of the two crude oils. Brent's typical pre-crisis mechanism was a "small drop."After the financial crisis, however, the typical mechanism of WTI before and after the crisis has not changed significantly and is basically unchanged.The study believes that the abnormal spread between the two kinds of international crude oil in the post-financial crisis era may indicate that the two crude oil markets each have different volatility characteristics, which are different from each other.The difference between supply and demand of the two kinds of crude oil caused by the overall depression of the world economy after the crisis and the weak recovery is also one of the important reasons. At the same time, the complicated performance of the oil market promotes the frequent and changeable market activities.Third, the price yields of diesel and fuel oils derived from WTI and Brent WTI are significantly affected by historical yields, and the market performance of gasoline and heating oil is independent of past yields.There is a mean spillover effect between all the subjects, which indicates that the price will carry the market information to other relevant markets.This effect includes both two-way spillover effect and one-way spillover effect.Finally, there is a significant two-way volatility spillover effect between WTI and the other five oil markets.All oil price yield fluctuations are significantly affected by its historical price yield residuals and conditional variance.This means that all price yield fluctuations are subject to short-term fluctuations in their markets, and that the values of past conditional fluctuations can be used to predict future oil price returns.Moreover, the GARCH model can be used to capture the existence of volatility in the market.It also proves that market volatility is more affected by past volatility than by short-term volatility.
【学位授予单位】：北京理工大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F416.22;F764.1

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