本文選題：石油市場 + 聯(lián)動關(guān)系�。� 參考：《南京大學》2014年碩士論文

【摘要】：在能源危機日益嚴重的今天,石油對于促進各國經(jīng)濟增長的重要性不言而喻。在供需缺口不斷拉大,對外依存度屢創(chuàng)新高的背景下,如何把握國內(nèi)外石油市場的聯(lián)動機制,對于確保我國能源安全具有重要意義。本文以跳躍擴散的資產(chǎn)定價模型為基礎(chǔ),利用Granger因果檢驗、Johansen協(xié)整檢驗、溢出指數(shù)模型和互激勵跳躍模型等方法,并以08年金融危機作為時間節(jié)點分割樣本期,從擴散和跳躍兩個視角對Brent. WTI. Dubai和Daqing之間的聯(lián)動關(guān)系展開研究,結(jié)果顯示：WTI在危機前后均Granger影響B(tài)rent,而Brent僅在危機后影響WTI,表明兩大基準之間存在轉(zhuǎn)換；Brent、WTI、Dubai和Daqing之間存在長期均衡關(guān)系,Daqing與Brent之間存在穩(wěn)定的正向關(guān)系但是與WTI卻在危機前后由負向變?yōu)檎?此外危機后誤差修正系數(shù)變小了；收益溢出和波動溢出在危機過后均有所提升,但大慶對其他市場的凈溢出指數(shù)基本為負,250日的滾動窗口顯示08年金融危機前后指數(shù)大幅上升后又急劇下跌,但整個樣本期間存在上升的趨勢；BNS檢驗發(fā)現(xiàn)四個市場均存在跳躍的現(xiàn)象,互激勵模型顯示危機后Brent、Dubai和Daqing市場表現(xiàn)出了一定的自激勵效應(yīng),Daqing還受到來自Brent和Dubai的單向激勵效應(yīng)。
[Abstract]:When the energy crisis is increasingly serious, the importance of oil to promote economic growth is self-evident. In the background of the gap between supply and demand and the high dependence on foreign dependence, how to grasp the linkage mechanism of oil market at home and abroad is of great significance to ensure the energy security of our country. Based on the price model, using Granger causality test, Johansen cointegration test, spillover index model and mutual incentive jump model, the 08 year financial crisis is used as time node to divide the sample period, and the linkage relationship between Brent. WTI. Dubai and Daqing is studied from the two perspectives of diffusion and jumping. The results show that WTI is before the crisis. The post average Granger affects Brent, and Brent affects WTI only after the crisis, indicating that there is a transformation between the two major benchmarks; Brent, WTI, Dubai and Daqing have a long-term equilibrium relationship, and there is a stable positive relationship between Daqing and Brent, but the negative direction changes from negative to positive before and after the crisis, and the error correction coefficient becomes smaller after the crisis. The benefit spillover and volatility spillover have been promoted after the crisis, but the net spillover index of Daqing to other markets is basically negative. The 250 day rolling window shows that the index of 08 years before and after the financial crisis has risen sharply and sharply, but there is an upward trend in the whole sample period; BNS tests found that four markets have leaping phenomena each other. The incentive model shows that the Brent, Dubai and Daqing markets show a certain self incentive effect after the crisis, and Daqing is also affected by the one-way incentive effect from Brent and Dubai.

【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F416.22

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