基于Copula函數(shù)的我國能源市場與資本市場相關(guān)性研究
發(fā)布時間：2018-11-08 18:33
【摘要】：隨著我國目前經(jīng)濟的不斷發(fā)展,對能源的需求不斷攀升,能源價格的變化對我國經(jīng)濟正常健康的發(fā)展有這重要影響。于此同時,我國金融領(lǐng)域,尤其是資本市場對與企業(yè)的融資和投資占據(jù)重要的地位,資本市場的波動同樣影響著我國經(jīng)濟的健康發(fā)展。因此,能源和金融市場的安全與穩(wěn)定對于國家經(jīng)濟的正常健康發(fā)展至關(guān)重要。伴隨著我國能源金融一體化的不斷加深,能源市場與資本市場的結(jié)合不斷加深,兩個市場之間的價格交互也越發(fā)明顯,尤其在能源價格劇烈波動或資本市場劇烈波動時期,二個市場之間的相關(guān)性對于能源金融的安全、資本市場的穩(wěn)定影響深刻。為了有效的防范我國能源金融風(fēng)險,維護能源市場安全與資本市場穩(wěn)定,需要對能源市場與資本市場之間的價格相關(guān)性做出定性與定量的分析。本文首先分析了不同的時間區(qū)間能源與資本市場的價格影響機制,基于能源金融概念的背景下,對能源市場與資本市場的相關(guān)概念和理論進行了界定和描述。針對能源市場與資本市場相互影響的實體經(jīng)濟路徑和金融市場行為路徑分析了能源與資本市場的價格影響機制。在基于能源市場與資本市場的價格影響機制理論之上,本文選取了2003年6月至2016年12月的月數(shù)據(jù)為樣本期對能源市場與資本市場的相關(guān)性進行了實證研究。首先通過小波分析法將能源市場和資本市場的波動分解為短期、中期和長期波動,并檢驗了在不同波動期間下Granger因果關(guān)系,從定性角度分析我國能源市場與資本市場間波動關(guān)系在不同波動周期上的因果關(guān)系與影響方向,通過分析結(jié)果表明能源市場與資本市場間的波動影響方向和因果關(guān)系密切程度在短期和長期方面的表現(xiàn)是不同的。進一步在研究能源市場與資本市場間波動方向的同時,也必須分析兩個市場之間波動的影響程度與風(fēng)險傳播大小�；诖�,本文基于Copula函數(shù)模型,分別運用二元正態(tài)Copula、t-Copula、Clayton-Copula、Frank-Copula、Gumbel Copula模型分別研究能源市場與資本市場間波動的相關(guān)程度、上尾相關(guān)程度以及下尾相關(guān)程度,并檢驗已獲得能最優(yōu)擬合能源市場價格和資本市場價格的Copula函數(shù)模型。最后求出能源市場與資本市場的風(fēng)險傳播大小。最后,通過結(jié)合定性和定量分析的結(jié)果,指出我國目前能源市場與資本市場的相關(guān)程度隨著波動周期增加,相關(guān)程度逐漸增大,表明能源市場與資本市場在短期內(nèi)的關(guān)聯(lián)程度較低,但在長期內(nèi)這種關(guān)聯(lián)程度是很高的,并且根據(jù)Copula函數(shù)給出的風(fēng)險傳播大小也表明兩個市場之間隨著時間增加風(fēng)險傳播的大小也隨著增大。根據(jù)以上分析的結(jié)果,提出促進能源與資本市場發(fā)展、加快構(gòu)建我國能源金融體系并著重防范能源與資本市場價格風(fēng)險的對策建議。
[Abstract]:With the development of our country's economy, the demand for energy is rising, and the change of energy price has an important effect on the healthy development of our economy. At the same time, the financial field of our country, especially the capital market plays an important role in financing and investment with enterprises, and the fluctuation of capital market also affects the healthy development of our economy. Therefore, the security and stability of energy and financial markets are vital to the normal and healthy development of the national economy. With the deepening of energy and financial integration and the combination of energy market and capital market, the price interaction between the two markets is becoming more and more obvious, especially in the period of violent fluctuation of energy price or capital market. The correlation between the two markets has a profound impact on the security of energy finance and the stability of capital markets. In order to effectively prevent the energy financial risks and maintain the security of the energy market and the stability of the capital market, it is necessary to make qualitative and quantitative analysis on the price correlation between the energy market and the capital market. This paper first analyzes the price influence mechanism of energy and capital market in different time intervals. Based on the concept of energy finance, this paper defines and describes the related concepts and theories of energy market and capital market. Based on the real economy path and financial market behavior path of energy market and capital market, the price influence mechanism of energy and capital market is analyzed. Based on the theory of price influence mechanism between energy market and capital market, this paper chooses the monthly data from June 2003 to December 2016 as the sample period to make an empirical study on the correlation between energy market and capital market. Firstly, the volatility of energy market and capital market is decomposed into short-term, medium- and long-term volatility by wavelet analysis, and the Granger causality is tested under different volatility periods. From the qualitative point of view, this paper analyzes the causality and influence direction of volatility relationship between energy market and capital market in different fluctuation cycles. The results show that the fluctuation direction and causality between the energy market and the capital market are different in the short and long term. While studying the direction of volatility between the energy market and the capital market, it is also necessary to analyze the degree of volatility and the magnitude of risk propagation between the two markets. Based on the Copula function model, this paper uses the binary normal Copula,t-Copula,Clayton-Copula,Frank-Copula,Gumbel Copula model to study the correlation degree between the energy market and the capital market, the correlation degree of the upper tail and the tail, and the degree of the correlation between the lower tail and the energy market. The Copula function model which can best fit the energy market price and the capital market price has been obtained. Finally, the risk propagation of energy market and capital market is obtained. Finally, by combining the results of qualitative and quantitative analysis, it is pointed out that the correlation degree between energy market and capital market increases with the increase of fluctuation cycle. It shows that energy markets and capital markets are less interconnected in the short term, but high in the long run. And the size of risk propagation given according to the Copula function also shows that the size of risk propagation increases with time between the two markets. Based on the above analysis, the paper puts forward some countermeasures and suggestions to promote the development of energy and capital market, to accelerate the construction of energy finance system in China and to guard against the price risk of energy and capital market.
【學(xué)位授予單位】：重慶工商大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F224;F426.2;F832.5
本文編號：2319319
[Abstract]:With the development of our country's economy, the demand for energy is rising, and the change of energy price has an important effect on the healthy development of our economy. At the same time, the financial field of our country, especially the capital market plays an important role in financing and investment with enterprises, and the fluctuation of capital market also affects the healthy development of our economy. Therefore, the security and stability of energy and financial markets are vital to the normal and healthy development of the national economy. With the deepening of energy and financial integration and the combination of energy market and capital market, the price interaction between the two markets is becoming more and more obvious, especially in the period of violent fluctuation of energy price or capital market. The correlation between the two markets has a profound impact on the security of energy finance and the stability of capital markets. In order to effectively prevent the energy financial risks and maintain the security of the energy market and the stability of the capital market, it is necessary to make qualitative and quantitative analysis on the price correlation between the energy market and the capital market. This paper first analyzes the price influence mechanism of energy and capital market in different time intervals. Based on the concept of energy finance, this paper defines and describes the related concepts and theories of energy market and capital market. Based on the real economy path and financial market behavior path of energy market and capital market, the price influence mechanism of energy and capital market is analyzed. Based on the theory of price influence mechanism between energy market and capital market, this paper chooses the monthly data from June 2003 to December 2016 as the sample period to make an empirical study on the correlation between energy market and capital market. Firstly, the volatility of energy market and capital market is decomposed into short-term, medium- and long-term volatility by wavelet analysis, and the Granger causality is tested under different volatility periods. From the qualitative point of view, this paper analyzes the causality and influence direction of volatility relationship between energy market and capital market in different fluctuation cycles. The results show that the fluctuation direction and causality between the energy market and the capital market are different in the short and long term. While studying the direction of volatility between the energy market and the capital market, it is also necessary to analyze the degree of volatility and the magnitude of risk propagation between the two markets. Based on the Copula function model, this paper uses the binary normal Copula,t-Copula,Clayton-Copula,Frank-Copula,Gumbel Copula model to study the correlation degree between the energy market and the capital market, the correlation degree of the upper tail and the tail, and the degree of the correlation between the lower tail and the energy market. The Copula function model which can best fit the energy market price and the capital market price has been obtained. Finally, the risk propagation of energy market and capital market is obtained. Finally, by combining the results of qualitative and quantitative analysis, it is pointed out that the correlation degree between energy market and capital market increases with the increase of fluctuation cycle. It shows that energy markets and capital markets are less interconnected in the short term, but high in the long run. And the size of risk propagation given according to the Copula function also shows that the size of risk propagation increases with time between the two markets. Based on the above analysis, the paper puts forward some countermeasures and suggestions to promote the development of energy and capital market, to accelerate the construction of energy finance system in China and to guard against the price risk of energy and capital market.
【學(xué)位授予單位】：重慶工商大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F224;F426.2;F832.5
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