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国际油价波动给我国经济带来显著影响。本文基于VAR-MGARCH模型构建了四元非对称BEKK,检验中国与国际、欧佩克和俄罗斯四个原油市场之间在1997~2010年期间的信息流动关系,并利用DCC模型进一步考察其稳健性。实证结果为:原油市场国际一体化程度较高,各市场之间的价格溢出、波动溢出和杠杆效应大多显著。国际布伦特油价对于大庆油价存在单向价格溢出和波动溢出持续性,其他国际原油对我国原油价格溢出和波动溢出相对较强,反之则较弱,说明中国并不是世界油价波动的原因,而是被动承受国。
The volatility of international oil prices has brought significant impact on our economy. In this paper, a quaternary asymmetric BEKK is constructed based on the VAR-MGARCH model to test the information flow of the four crude oil markets between China and the international, OPEC and Russia from 1997 to 2010, and the DCC model is used to further investigate its robustness. The empirical results show that the crude oil market has a high degree of international integration, the price spillovers between the markets, the volatility spillover and the leverage effect are mostly remarkable. International Brent crude oil price for Daqing there is one-way price spillover and volatility spillover persistence, other international crude oil on China’s crude oil spillover and volatility spillover relatively strong, otherwise weak, indicating that China is not the reason the world oil price fluctuations, and Passive country.