大宗商品指数投资者对原油期货价格波动影响研究

发布时间：2018-06-12 08:35

本文选题：原油期货市场 + 大宗商品价格　；参考：《统计与决策》2017年11期

【摘要】：文章从大宗商品金融化的视角解释原油期货市场上的价格波动,对原油价格波动的深层原因提出一个新的解释。以WTI最近的一期到期的原油期货合约价格的超额收益率来刻画原油期货的价格,根据国际大宗商品市场上的指数用线性映射的方法估算出的商品指数投资者的头寸,结合指数波动因子VIX以及标普500指数,构建一个四元SVAR模型,其中宏观因素标普500指数作为外生变量进行运算,运用马尔科夫状态转移的识别方法识解出系数矩阵,利用脉冲响应函数分析原油价格波动与各个因子之间的即期因果关系,揭示了商品指数投资者对原油期货合约价格的影响。
[Abstract]:This paper explains the price fluctuation in crude oil futures market from the perspective of commodity financialization, and puts forward a new explanation for the deep reason of crude oil price fluctuation. The price of crude oil futures is characterized by the excess return rate of the crude oil futures contract at the most recent expiry of WTI, and the position of commodity index investors estimated by the index in the international commodity market is estimated by linear mapping method. Combined with VIX and S & P 500 index, a quaternion SVAR model is constructed, in which the macro factor S & P 500 index is used as an exogenous variable to calculate the coefficient matrix. The impulse response function is used to analyze the immediate causality between the fluctuation of crude oil price and various factors, and the influence of commodity index investors on the price of crude oil futures contract is revealed.
【作者单位】：武汉大学经济与管理学院;
【分类号】：F713.35;F764.1

【相似文献】