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本文通过构建CAViaR模型测度原油市场价格波动风险对我国运输业的影响,并采用Granger因果检验次贷危机和金融危机前后油价波动对运输业板块风险的影响。采用2005-2014年期间WTI油价、我国运输板块指数数据进行实证研究,发现:WTI原油价格波动风险在次贷危机前和金融危机后对我国运输板块的市场风险产生了积极的引导性影响,而在次贷危机和金融危机期间,我国运输板块指数以及深证成份指数的市场风险均反作用于WTI原油价格市场风险,表明危机期间中国经济的稳健调整对抑制全球油价异常波动做出积极贡献。
In this paper, the CAViaR model is used to measure the impact of the fluctuation of crude oil market price on the transportation industry in our country. The Granger causality is used to test the impact of subprime mortgage crisis and the fluctuation of oil price before and after the financial crisis on the transportation sector. Using the WTI oil price from 2005 to 2014 and the data of China’s transport plate index, it is found that: the WTI crude oil price volatility risk has a positive and guiding influence on the market risk of China’s transport sector before and after the financial crisis During the subprime mortgage crisis and the financial crisis, the market risks of China’s transport sector index and the Shenzhen Component Index all contributed to the market risk of WTI crude oil prices, indicating that the steady economic restructuring in China during the crisis made a positive contribution to curbing the abnormal fluctuations in global oil prices.