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中国管理科学

中国管理科学 ›› 2007, Vol. 15 ›› Issue (3): 25-30.

• 论文 • 上一篇    下一篇

国内外石油市场的极端风险溢出检验

潘慧峰1,2, 张金水2   

  1. 1. 对外经济贸易大学金融学院 北京100029;
    2. 清华大学经济管理学院 北京100084
  • 收稿日期:2006-04-04 修回日期:2007-05-12 出版日期:2007-06-30 发布日期:2007-06-30
  • 作者简介:潘慧峰(1975- ),男(汉族),黑龙江人,对外经贸大学金融学院讲师,研究方向:能源经济学、应用计量经济学.
  • 基金资助:

    清华大学中国与世界经济研究中心资助项目;对外经贸大学新进教师科研启动项目

The Extreme Risk Spillover Effect between International and Domestic Oil Markets

PAN Hui-feng1,2, ZHANG Jin-shui2   

  1. 1. School of Finance and Banking, University of International Business and Economics, Beijing 100029, China;
    2. School of Economics and Management, Tsinghua University, Beijing 100084, China
  • Received:2006-04-04 Revised:2007-05-12 Online:2007-06-30 Published:2007-06-30

PDF (PC)

1553

被引次数

113

摘要： 本文采用美国西得克萨斯(WTI)和我国大庆2000年5月至2005年5月的原油价格的日度数据,运用GED分布的GARCH模型估计了两个市场95%和90%置信水平下的上涨和下跌的VaR,并利用风险-Granger因果检验方法分析了两个石油市场的极端风险溢出效应.实证结果表明,无论是上涨还是下跌,国际油市对国内油市产生了单向的风险溢出,这意味着国际油市极端风险的历史信息可以用来预测国内油市的极端风险.文章进一步以股票市场为参照系,分析了石油市场风险管理的难点与对策.

关键词: 石油市场, 风险溢出, VaR, 极端风险

Abstract: This paper adopts GARCH model with GED distribution to estimate the conditional VaR in both upside and downside directions at the confidence level of 90% and 95%,and then utilizes the Granger cau sality in risk to uncover the extreme risk spillover effect between WTI and Daqing oil markets,the daily da to of oil price in two markets ranging from May 2000 to May 2005.Our findings indicate there exists unilateral risk spillover effect from international to domestic in both extreme upside risk and downside risk,which means the history of extreme risk of international market will be helpful to predict the extreme risk in domestic market.Taking stock market as benchmark,this paper investigates the difficulty and counter measures in risk management of oil market.

Key words: oil market, risk spillover, VaR, extreme risk

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