| 跟着世界经济的成长,石油作为一种基本动力产物,同时又是主要的工业原料,价钱常常涌现频仍而激烈的动摇。市场介入者对躲避价钱风险的需求日趋加强,列国前后推出了分歧的动力期货合约,与此同时,动力期货市场也赓续强大起来。动力期货市场是以原油、制品油(例如燃料油、航空石油)和像自然气和电力等动力为根本标的产物,经由过程期货合约停止生意业务的新型金融市场,它鼓起于20世纪80年月中前期。1982年世界上第一份原油期货合约——轻质低硫原油期货合约在纽约商品生意业务所(NYMEX)胜利推出。随后,各类动力期货合约活着界各地推出,动力期货市场获得了敏捷成长,在动力市场中出现日益主要的态势,异样,动力期货市场的动摇更是拨动着世界经济的命根子。研究动力期货市场的腾跃溢出效应对实体经济具有主要意义。纵不雅国际外文献,研究作用动力期货市场动摇身分的不在多数,而绝年夜多半集中于一个市场乃至是一个标的产物的期现货市场间的关系。本文将对两个分歧标的的动力期货市场间的溢出效应停止研究。在惹起动力期货市场年夜幅度动摇涌现“腾跃”的身分中,风险事宜因其具有突发性、作用面广、作用力年夜、难以猜测和难以转移等特色而占领侧重要位置。基于风险事宜的视角,本文对原油期货市场与自然气期货市场间的腾跃溢出效应停止研究。在模子选择方面,本文选用了带有相干腾跃的随机动摇率模子,即分离在期货收益率和动摇率进程中添加了腾跃因子,更有用地描绘了期货市场中的腾跃行动。在办法选择方面,我们选用了基于Gibbs抽样道理的马尔科夫链蒙特卡洛模仿办法。与经典极年夜似然估量法和矩估量法比拟,该办法在求解高维散布的数值解时具有更高的效力和精确性,另外,贝叶斯MCMC办法综合了先验信息和样本信息停止统计揣摸,除估量模子参数,还可以对模子中的潜伏进程停止估量,这些潜伏进程对实体经济具有主要的剖析价值。本文对原油期货市场和自然气期货市场分离估量了对应带有相干腾跃的随机动摇率模子。经由过程对潜变量的辨认,我们找到了两个期货市场涌现的腾跃时光点。把每一个时光点产生的事宜与两个期货市场的动摇情形相接洽,发明了风险事宜与腾跃动摇之间的高相干性。另外,还针对风险事宜惹起一个市场的腾跃对别的一个市场的作用停止研究,实证成果注解：原油期货市场与自然气期货市场间存在着明显的腾跃溢出效应；自然气期货市场是腾跃溢出效应的主导市场。基于风险事宜视角对动力期货市场的考核,可以看出风险事宜对动力期货市场的冲击具有主要作用,乃至形成全部市场的连续动摇。列国应看重风险事宜的产生,树立健全的风险监管部分,实时猜测和剖析风险事宜的作用,制订有针对性的风险计划,避免市场的年夜幅连续动摇,以稳固国度经济。 Abstract: Along with the growth of the world economy, oil as a basic power products, at the same time, it is a major industrial raw materials, the price often appear frequent and intense shake. Market participants to avoid price risk needs more and more, before and after the nations launched the power futures contracts for differences. At the same time, the power futures market also gengxu strong. Power futures market is with crude oil, product oil (such as fuel oil, aviation oil) and as natural gas and electricity power for standard basic product, through the process of futures contract stop the business model of the financial market, it muster in 20 century 80 years months early. In 1982 the first crude oil futures contract, light sweet crude oil futures contract was introduced in the New York Mercantile business (NYMEX) victory. Subsequently, all kinds of power futures contracts alive around the world launched, power futures market won the rapid development, is the main trend in the power market, strange, shake the power futures market is struck with the world economy's lifeblood. A study of dynamic spillover effect of futures market has important significance for the real economy. The international literature, the study of the impact of the power futures market shake the identity of the majority, and most likely to focus on a market and even a standard product of the relationship between the spot market. In this paper, we will discuss the spillover effects between the two different targets. In cause the power futures market greatly shaken the emergence of "jumps" identity, risk matters because of its with sudden, influence a wide range, influence of a large, unpredictable and difficult to transfer etc. the characteristics and occupy an important position. Based on the perspective of risk issues, the spillover effect of futures market to the futures market for crude oil and natural gas between the research. In the model selection, this paper chooses the coherent jumping stochastic volatility model with separated in futures returns and volatility in the process of adding prance factor and more useful to depicting the jumping action in the futures market. In the way of choice, we choose the Gibbs based on the sampling principle of Markoff Montecalo imitation. With the classical pole of the eve of the likelihood estimate method and moment estimation method compared, has higher effectiveness and accuracy of the numerical solution of the approach in solving high dimension spread. In addition, Bayesian MCMC method integrated the statistical fathom the prior information and the sample information, in addition to estimate model parameters, but also to mold latent process to carry on the estimate to the latent process is mainly analysis of the value of the real economy. This measure corresponds with stochastic rate model of coherent shake a crude oil futures market and the futures market of natural gas separation. Through the process of identifying latent variables, we found two futures market emerging time point jump. To shake the status of every time point of matters and two futures market to engage, invented the risk issues and prance vacillate between the high coherence. Also for risk matters cause a market prance on another market impact study, empirical results notes: between the crude oil futures market and natural gas futures market exist obvious prance spillover effect; natural gas futures market is prancing spillover effect of market. Based on the perspective of the risk of power futures market assessment, we can see that the impact of risk issues on the power futures market has a major impact, and even the formation of a continuous shake of the whole market. Nations should value the risk matters, and establish a sound risk control part, real-time prediction and analysis risk issues, formulate a for risk plan, to avoid market continuous shake, to stabilize the country's economy. 目录: |
