基于贝叶斯机制转换协整模型的石油——股市非对称效应研究

doi:10.16381/j.cnki.issn1003-207x.2015.09.006

中国管理科学 ›› 2015, Vol. 23 ›› Issue (9): 46-54.doi: 10.16381/j.cnki.issn1003-207x.2015.09.006

基于贝叶斯机制转换协整模型的石油——股市非对称效应研究

李素芳^1,2, 朱慧明², 李荣²

1. 中南财经政法大学统计与数学学院, 武汉 430073;
2. 湖南大学工商管理学院, 长沙 410082

收稿日期:2013-11-13 修回日期:2014-12-24 出版日期:2015-09-20 发布日期:2015-09-28
作者简介:李素芳(1983-),女(汉族),湖南邵阳人,中南财经政法大学统计与数学学院讲师,研究方向:金融计量经济模型及应用.
基金资助:
国家自然科学基金资助项目(71301166);教育部人文社会科学青年项目(13YJC910007);中国博士后科学基金项目(2013M540623,2014T70766)

Oil Price Shocks and China's Actual Economic Fluctuations——An RBC Model Analysis

LI Su-fang^1,2, ZHU Hui-ming², LI Rong²

1. School of Statistics and Mathematics, Zhongnan University of Economics and Law, Wuhan 430073, China;
2. College of Business Administration, Hunan University Changsha 410082, China

Received:2013-11-13 Revised:2014-12-24 Online:2015-09-20 Published:2015-09-28

摘要/Abstract

摘要： 传统门限机制转换模型存在参数估计最优化计算复杂以及参数不可识别的问题,本文构建双机制的贝叶斯门限机制转换协整模型研究国际石油价格与股市之间的非线性动态关系。利用八个亚太股票市场和国际石油价格的数据,结合MCMC抽样算法进行贝叶斯分析,着重考察国际石油—股市之间的非对称效应,结果发现国际石油价格与韩国、马来西亚股市之间具有门限机制转换的非线性协整关系,表明国际石油价格与韩国、马来西亚股市存在非对称效应,而国际石油价格与日本、澳大利亚、印度、印度尼西亚、台湾和新加坡股市之间没有非对称效应。进一步,格兰杰因果检验结果发现,国际石油价格与日本、澳大利亚、韩国、印度、马来西亚、印度尼西亚和新加坡股票价格指数之间存在双向格兰杰因果关系,而与台湾股票价格指数之间没有明显的格兰杰因果关系。

关键词: 机制转换协整, 非对称效应, 贝叶斯分析, 石油, 股市

Abstract: The nonlinear dynamic relationship between crude oil price and stock markets for the selected eight Asia-Pacific economies from 1997/07/01 to 2013/07/01 is investigated. In the traditional threshold regime switching models framework, the optimization is complicated in the procedure of parameter estimation and the identification of unknown nuisance parameters is more difficult. Therefore, a Bayesian threshold regime switching cointegration approach is implemented instead in this study. Based on Bayesian MCMC algorithm, It is found that there is threshold regime switching cointegrating relationship between crude oil and Korea stock market, and between crude oil and Malaysia stock market. The results suggest that there exist asymmetric adjustments in oil-Korea stock market nexus and oil-Malaysia stock market nexus. On the other hand, there are no asymmetric adjustments between oil and Japan, Australia, South Korea, India, Indonesia and Singapore stock markets. The regime switching cointegration analysis could provide a different view to the relationship between crude oil price and Asia-Pacific stock markets.

Key words: regime switching cointegration, asymmetry, bayesian analysis, oil, stock markets

中图分类号:

李素芳, 朱慧明, 李荣. 基于贝叶斯机制转换协整模型的石油——股市非对称效应研究[J]. 中国管理科学, 2015, 23(9): 46-54.

LI Su-fang, ZHU Hui-ming, LI Rong. Oil Price Shocks and China's Actual Economic Fluctuations——An RBC Model Analysis[J]. Chinese Journal of Management Science, 2015, 23(9): 46-54.

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基于贝叶斯机制转换协整模型的石油——股市非对称效应研究

Oil Price Shocks and China's Actual Economic Fluctuations——An RBC Model Analysis

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