| 国内外石油价格波动溢出效应实证分析——以大庆原油价格和布伦特原油价格为例 |
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| 引用本文： | 李文星.国内外石油价格波动溢出效应实证分析——以大庆原油价格和布伦特原油价格为例[J].鹭江职业大学学报,2012(4):89-93. |
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| 作者姓名： | 李文星 |
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| 作者单位： | 厦门理工学院管理科学系,福建厦门361024 |
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| 基金项目： | 国家社会科学基金青年项目（11CJY104）;福建省社会科学规划项目（2012B026）;厦门理工学院高层次人才引进项目（YSK11009R） |
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| 摘 要： | 采用大庆原油价格和布伦特原油价格2001～2010年的周数据,运用BEKK-GARCH模型分析了国内外石油市场的波动溢出效应以及国内石油市场与国际石油市场波动的动态相关性。实证结果表明,国外市场对国内市场产生了显著的波动溢出,国内市场对国外市场具有一定的影响,但效果并不明显;信息传导方向是从国外市场到国内市场,且国内石油市场波动滞后于国外市场。进一步的研究发现,国内外石油价格波动的动态相关性不断加强。
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| 关 键 词： | 石油价格 波动溢出效应 动态相关性 BEKK-GARCH模型 |
Empirical study of Spillover Effect of Oil Price Volatility based on Daqing and Brent Oil Price |
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| LI Wen-xing.Empirical study of Spillover Effect of Oil Price Volatility based on Daqing and Brent Oil Price[J].Journal of Lujiang University,2012(4):89-93. |
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| Authors: | LI Wen-xing |
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| Institution: | LI Wen-xing(Faculty of Management Science,Xiamen University of Technology,Xiamen 361024,China) |
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| Abstract: | This paper uses BEKK-GARCH model to uncover the volatility spillover effect between international and Chinese markets and the dynamic relevance,based on the weekly data of crude oil price in two markets ranging from January 2001 to August 2010.Our findings indicate that there exists obvious volatility spillover effect from international market to Chinese market and the volatility spillover effect from Chinese market to international market is small though unnegle ctable,which manifests an information flow from international market to Chinese market.In addition,the dynamic relevance between international oil price is getting stronger. |
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| Keywords: | oil price volatility spillover effect dynamic relevance BEKK-GARCH model |
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