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选取2002年2月11日至2014年3月27日的每日数据样本,采用DCC-GARCH模型和溢出指数模型,研究三大原油价格之间的波动溢出效应及美元价格与原油价格间的波动溢出效应。DCC-GARCH模型分析结果表明,三大原油价格收益率均受前期的随机扰动影响和波动影响,但前期的随机扰动影响起主导作用。三大原油价格收益率动态相关系数主要受持续性影响,受随机扰动影响微弱。美元与各原油价格的分析结果显示,经济危机发生时美元价格和原油价格的相互影响由负向关系转变为正向关系。溢出指数分析结果显示,经济危机发生前后三大原油价格之间总溢出指数未发生大的变动,但WTI价格的影响程度减弱,DUBAI价格的自我影响程度增大。美元价格对原油价格的波动溢出效应显著增加。
The daily data samples from February 11, 2002 to March 27, 2014 were selected. The DCC-GARCH model and the spillover index model were used to study the volatility spillover effect between the three major crude oil prices and the volatility between the US dollar price and the crude oil price Spillover Effect. DCC-GARCH model analysis results show that the price of the three major crude oil are affected by the previous period of random disturbance and volatility, but the impact of random disturbance played a leading role. The three major crude oil price-earnings dynamic correlation coefficient is mainly affected by the sustainability of weak random disturbance. The analysis of the U.S. dollar and the prices of crude oil shows that the interaction between the U.S. dollar price and the crude oil price turns from negative to positive when the economic crisis occurs. The analysis of spillover index shows that there is no big change in the total spillover index between the three major crude oil prices before and after the economic crisis, but the impact of WTI prices weakened and the self-influence of DUBAI prices increased. The volatility spillover effect of the dollar price on the price of crude oil increased significantly.