基于小波分析的原油期货价格与人民币汇率的风险溢出效应研究

发布时间：2018-06-28 13:03

本文选题：原油期货 + 人民币汇率　；参考：《浙江财经大学》2017年硕士论文

【摘要】：2014年8月国际油价大幅下跌,跌幅超过60%,与此同时,中国对原油的对外依存度于2015年达到60.6%,国际油价对中国的经济发展的冲击也逐年增加。近年来,中国加紧原油储备建设,大量支出外汇购入原油,目前储备原油已达3197万吨,相当于中国33-36天的石油净进口量。2015年4月,中国超越美国成为世界最大原油进口国。但一方面,持续升值的人民币在2013年起开始面临贬值压力;另一方面,中国经济增长开始放缓,2015年中国经济增长速度为6.9%,低于2014年的7.3%。由于国际原油价格以美元计价,原油价格将首先通过汇率传递对中国国内经济造成影响。在中国经济放缓的背景下,国际油价的不稳定将对我国经济发展构成潜在的威胁。因此,研究国际原油价格和人民币汇率的关系具有重要意义。本文对相关文献进行了系统的梳理,在现有研究成果的基础上,运用经济学、金融学及统计学相关知识,理论分析与实证研究相结合,对原油期货价格和人民币汇率之间的影响效果和波动溢出效应进行研究。首先阐明理论背景及现实意义,对国内外研究成果进行归纳梳理,总结已有方法经验,并在此之上进行方法创新,提出相应的假设并设计实证方案,以对研究对象之间的关系进行更深层次的刻画。最后是理论运用和实证分析,收集相关数据并进行实证,对国际原油期货价格和人民币汇率之间的关系进行计算与度量,并对结果进行总结,提出相应的建议和举措。在理论研究部分,本文通过理论分析了国际原油价格和人民币汇率之间的传导机制,认为国际原油价格冲击主要通过国际收支渠道和国内经济渠道影响人民币汇率水平,而人民币汇率通过定价、投资、货币市场三种途径传导到国际原油市场。在实证研究部分,本文选取了2005年7月-2016年5月布伦特原油期货连续合约价格和人民币实际汇率指数月度数据作为研究对象。本文采用极大重叠离散小波分解法研究分解后时间序列的多分辨率特征,发现布伦特原油期货价格和人民币汇率在2007年和2014年均存在较为剧烈的波动,在2008年6月-2010年2月存在共同剧烈波动特征。对序列进行小波相关分析发现原油期货价格和人民币汇率之间存在相互负影响关系,且随波动期的增加,负相关性先增强,在中期达到最强后减弱。此外,采用小波交互相关方法分析布伦特原油期货价格和人民币汇率的领先滞后关系发现,在中期,二者之间的溢出效应达到最大,存在较强烈2-3个滞后期的相互负引导,且引导强度较为均衡。随后,本文采用交叉小波分解法研究序列的时-频特征,发现布伦特原油期货价格和人民币汇率在不同波动期下,相关性随时域的变化而变化,在2007年-2011年二者在中长期下呈现强烈的相关性。本文的研究在两个方面做出了一定的贡献。一方面,本文是对现有成果的有益补充,弥补了原油期货价格和人民币汇率研究成果的不足;另一方面,本文所采用的极大重叠离散小波分析法和交叉小波分析法弥补了现有研究原油期货价格和人民币汇率方法上的不足,不仅能够揭示经济变量在不同波动期的波动特征和共同波动特征,反映变量间的相互关系及关系强度,而且能够反映时间序列的时-频特征,揭示时间序列之间在不同波动期上的领先滞后关系以及溢出效应方向和强度。
[Abstract]:In August 2014, international oil prices fell sharply, down more than 60%. At the same time, China's foreign dependence on crude oil reached 60.6% in 2015, and the impact of international oil prices on China's economic development increased year by year. In recent years, China has stepped up the construction of crude oil reserves and bought a large amount of foreign exchange to purchase crude oil. At present, 31 million 970 thousand tons of crude oil have been stored, equivalent to that of crude oil. China's net oil imports for 33-36 days in April.2015, China surpassed the United States and became the world's largest crude oil importer. On the one hand, the continued appreciation of the RMB began to face devaluation in 2013; on the other hand, China's economic growth began to slow down, and China's economic growth rate was 6.9% in 2015, lower than the 7.3%. in 2014 because of international crude oil. The price of crude oil will affect the domestic economy first through exchange rate. Under the background of China's economic slowdown, the instability of international oil price will pose a potential threat to the economic development of our country. Therefore, it is of great significance to study the relationship between the international crude oil price and the RMB exchange rate. On the basis of the existing research results, we use economics, finance and statistics related knowledge, theoretical analysis and empirical research to study the effect and volatility spillover effect between crude oil futures price and RMB exchange rate. First, the theoretical background and practical significance are clarified, and the domestic and foreign research is studied. The results are summarized and summarized, the existing method experience is summarized, and the method innovation is carried out on this basis, the corresponding hypothesis is put forward and the empirical scheme is designed to make a deeper description of the relationship between the research objects. Finally, the theory and the empirical analysis are used to collect the relevant data and carry on the demonstration to the international crude oil futures price and the RMB. The relationship between the exchange rate is calculated and measured, and the results are summarized and the corresponding suggestions and measures are put forward. In the theoretical research part, this paper analyzes the transmission mechanism between the international crude oil price and the RMB exchange rate in the theoretical part, and thinks that the impact of international crude oil price is mainly through the international balance of payments channels and the domestic economic channels to influence the people. The currency exchange rate, while the RMB exchange rate is transmitted to the international crude oil market through three ways of pricing, investment and money market. In the empirical research part, this paper selects the monthly data of the Brent crude oil futures contract price and the real exchange rate index of RMB as the research object in July 2005 -2016 year May. The wave decomposition method studies the multi-resolution characteristics of the decomposed time series. It is found that the Brent crude oil futures price and the RMB exchange rate fluctuated sharply in 2007 and 2014, and there was a common violent fluctuation in February June 2008 -2010. The wavelet correlation analysis of the sequence found that the crude oil futures price and the RMB exchange rate were found. There is a negative relationship between each other, and with the increase of the fluctuation period, the negative correlation is enhanced first and the strongest later decreases in the medium term. In addition, the wavelet interaction correlation method is used to analyze the leading lag relationship between the futures price of Brent oil and the RMB exchange rate. It is found that the spillover effect between the two parties reaches the maximum in the middle period, and there are strong 2-3 stagnates in the middle period. Then, the cross wavelet decomposition method is used to study the time frequency characteristics of the sequence, and it is found that the Brent crude oil futures price and the RMB exchange rate change at any time in different periods, and the two people in the -2011 year in 2007 have a strong correlation in the medium and long term. On the one hand, this paper is a useful supplement to the existing results, and makes up for the shortage of the research results of the crude oil futures price and the RMB exchange rate. On the other hand, the maximum overlapping discrete wavelet analysis and cross small wave analysis method used in this paper make up for the current Research on the price of crude oil futures and. The insufficiency of the RMB exchange rate method can not only reveal the fluctuation characteristics and the common fluctuation characteristics of the economic variables in different periods of fluctuation, reflect the relationship and relationship intensity among the variables, but also reflect the time frequency characteristics of the time series, and reveal the leading lag relationship and the spillover effect between the time series at different volatility periods and the spillover effect side. Direction and strength.
【学位授予单位】：浙江财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6;F764.1;F713.35

【相似文献】