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  本文關鍵詞： 國際原油價格 溢出效應 傳導機制 股票市場　出處：《復旦大學》2012年博士論文　論文類型：學位論文

【摘要】：原油作為最基礎的能源和化工原料,被譽為現(xiàn)代工業(yè)的“血液”,在國民經濟的發(fā)展中起著舉足輕重的作用。尤其是二戰(zhàn)以后,原油已經超越煤炭,成為全球第一大能源。隨著世界經濟對原油依賴性越來越強,原油價格波動也日益劇烈。2003年原油價格為30美元/桶,2004年原油價格突破40美元/桶,2006年原油價格超過60美元/桶,2008年7月更是創(chuàng)紀錄地達到145美元/桶的歷史高點。原油價格波動如此之大,起伏如此之快,可以說是前所未有。 中國作為世界第一大能源消費國,近幾年對原油消耗量與日俱增。2001年,我國原油對外依存度還只有27%,2010年,我國原油對外依存度已經高達54%,現(xiàn)在更是超過美國,達到55%以上。理論上,原油對外依存度如此之高,劇烈的國際油價波動不可避免會對我國宏觀經濟產生意外沖擊。如果股票市場是有效的,原油對宏觀經濟的沖擊勢必在股票市場上也會有所反映。A股市場上熱傳甚廣的“中石油魔咒”即是投資者對這種反映的一種形象化描述。 然而,目前國內學者多關注原油價格與我國宏觀經濟的關系,而較少關注原油價格與我國股票市場的關系。而對這兩個市場關系和作用機制的研究無論是從國家金融安全,還是從資產配置、風險防范角度都具有重要的理論意義和現(xiàn)實意義。 本文首先梳理相關文獻,對市場間的“溢出效應”進行了界定,然后使用股改后數(shù)據(jù)從均值和波動率兩個維度對國際原油價格對我國股票市場的“溢出效應”進行了測度。發(fā)現(xiàn)在股市平緩期間,原油價格對股票市場有著顯著的負向沖擊作用,這說明隨著原油對外依存度不斷提高,國際原油價格已經成為影響我國資本市場走勢不可忽視的力量,同時也說明股改后我國資本市場有效性得到了顯著提高。但是在牛市和熊市極端情形下,協(xié)整檢驗和Granger檢驗均認為原油價格與股票市場沒有顯著關系,說明市場在這兩個時期的有效性較弱。使用滾動樣本法進行的穩(wěn)健性檢驗表明,該結論具有很好的穩(wěn)定性。此外,使用DCC-GARCH模型檢驗表明,國際原油價格與股票市場存在正向的波動溢出效應,即一個市場的風險的會顯著傳染至另一市場。 在確認“溢出效應”存在的情況下,本文開始探討這種效應的傳導機制,這在很多文獻中被視為“黑箱”。我們分別從經濟產出、利率、流動性和財富轉移四個方面進行了探討。其中,經濟產出和利率傳導機制是從資產估值角度切入的,流動性和財富轉移則是從資產需求角度切入的。研究結論認為：(1)當國際原油價格上漲時,國內經濟產出一般會下降,而經濟產出在很多時候是表征企業(yè)現(xiàn)金流的,企業(yè)現(xiàn)金流減少,股票價值降低,股票市場從而出現(xiàn)下跌；(2)由于相對價格體系靈活性不夠,國際原油價格上漲還會導致一般物價水平上升,從而降低居民的實際貨幣余額,推升國內利率走高,而貼現(xiàn)率與利率高度相關,由此導致股票價值降低。(3)當國際原油價格上漲時,由于原油的需求彈性較小,對外進口支出會增加,國際收支出現(xiàn)惡化,在固定匯率制度下,國際收支無法通過匯率予以調節(jié),只能通過國外國內相對價格來調節(jié),而要實現(xiàn)這一目的,就必須降低國內流動性,從而導致股票市場上貨幣流動性趨向緊縮,壓制股票的需求,從而股票價格下跌。(4)當國際原油價格上漲時,原油進口國的財富被轉移至原油出口國,居民收入增速降低,為了維持既定的消費水平,公眾會選擇拋售股票,從而導致股票價格下跌。 最后,本文在總結研究結論的基礎上,提出了兩市場的投資策略以及政策層面的建議。
[Abstract]:The most basic energy and chemical raw materials as crude oil, known as the "blood" of modern industry, which plays an important role in the development of national economy. Especially after World War II, crude oil has surpassed coal, to become the world's largest energy. As the world economy becomes more and more dependent on crude oil, crude oil price fluctuations are also increasingly severe.2003 crude oil price of $30 / barrel, crude oil prices in 2004 exceeded 40 U.S. dollars / barrel, crude oil prices in 2006 more than 60 U.S. dollars / barrel, July 2008 is a record of $145 a barrel record high crude oil price fluctuations. Such large fluctuations, so fast, can be said to be a hitherto unknown.
China as the world's largest energy consuming country, in recent years the consumption of crude grow with each passing day.2001 years, China's dependence on foreign oil is only 27%, in 2010, China's dependence on foreign oil has been as high as 54%, now is more than the United States, reaching more than 55%. In theory, the dependence on oil is so high. Sharp fluctuations in international oil prices will inevitably produce unexpected impact on China's macro economy. If the stock market is effective, the impact of crude oil on the macro economy is bound in the stock market will be reflected in the.A stock market heat transfer wide "oil curse" is a vivid description of the investors that reflect.
However, the current domestic scholars pay more attention to the relationship between crude oil prices and China's macro economy relations, and less concerned about the oil price and the stock market of our country. The research of the two market relations and the mechanism of both from the national financial security, or from the asset allocation, has important theoretical and practical significance to the risk to prevent the angle.
This paper first reviews related literature on the market "spillover effect" was defined, and then use the stock after the data from the mean and volatility of the two dimensions of the international crude oil prices on China's stock market "spillover effect" was found in the stock market measure. Gentle period, crude oil prices have a significant negative impact the role of the stock market, it shows that with the increasing dependence on foreign oil, international crude oil prices have become the impact of China's capital market trend cannot be ignored, and that after the reform of China's capital market efficiency has been greatly improved. But in the bull market and bear market in extreme circumstances, cointegration test and Granger test the crude oil price and the stock market is not significant, indicating that the market effectiveness is weak in these two periods. Using the robust test method of rolling sample shows that the conclusion It has good stability. In addition, the DCC-GARCH model test shows that there is a positive volatility spillover effect between the international crude oil price and the stock market, that is, the risk of a market will significantly spread to another market.
In the presence of confirmed "spillover effect", this paper begins to discuss the conduction mechanism of this effect, which is regarded as "black box" in many documents. We were from the economic output, interest rates, liquidity and wealth transfer discussed four aspects. Among them, the economic output and the interest rate transmission mechanism is cut from the assets the valuation point, liquidity and wealth transfer is from the perspective of asset demand perspective. The study concluded that: (1) when the international crude oil prices, domestic economic output will decline, while the economic output is the characterization of enterprise cash flow in most of the time, the cash flow is reduced, reducing the value of stock, stock market to fall; (2) due to the relative price system is not flexible enough, the international crude oil prices also led to the general price level rise, thereby reducing the residents of real money balances, push up domestic interest rates higher, The discount rate and the interest rate are highly correlated, resulting in reduced stock value. (3) when the international crude oil prices, because crude oil demand is less elastic, foreign import expenditure will increase, the international balance of payments deteriorated, under the fixed exchange rate system, international payments can not be adjusted by the exchange rate, can only be adjusted by foreign and domestic relative the price, in order to achieve this objective, it is necessary to reduce domestic liquidity, resulting in monetary liquidity tightening trend of the stock market, pressing demand for shares, and stock prices fell. (4) when the international crude oil prices, crude oil imports of China's wealth is transferred to the exporter of crude oil, the income growth rate decreased, in order to maintain a given level of consumption, the public will choose to sell the stock, resulting in stock prices.
Finally, on the basis of the conclusion of the study, this paper puts forward the investment strategy of the two market and suggestions on the policy level.

【學位授予單位】：復旦大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F832.51;F416.22;F224

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