本文關(guān)鍵詞：基于VaR-GARCH模型和分位數(shù)回歸的國(guó)際石油市場(chǎng)對(duì)人民幣匯率市場(chǎng)的風(fēng)險(xiǎn)溢出效應(yīng)研究　出處：《浙江財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 偏t分布 GARCH簇模型 VaR 半?yún)?shù)法 CoVaR

【摘要】：近年以來(lái)，在金融全球化的助推下國(guó)際政治經(jīng)濟(jì)舞臺(tái)越來(lái)越復(fù)雜，同時(shí)考慮到國(guó)際石油市場(chǎng)與國(guó)際石油價(jià)格的猛烈變化，國(guó)際石油市場(chǎng)的風(fēng)險(xiǎn)管理已經(jīng)成為了全球關(guān)注的焦點(diǎn)。如果說(shuō)石油作為一種最原始的推動(dòng)力，是現(xiàn)代社會(huì)前進(jìn)和運(yùn)行的最基本保證，那么匯率是另外一個(gè)受到國(guó)際社會(huì)各界關(guān)心的焦點(diǎn)。和國(guó)際石油價(jià)格一樣，匯率也是各國(guó)經(jīng)濟(jì)發(fā)展的重要因素。作為一種基礎(chǔ)性的能源大宗商品，國(guó)際石油的價(jià)格變化對(duì)世界各國(guó)的經(jīng)濟(jì)發(fā)展有著極其重要的影響，在一定程度上也決定著匯率的變化。 改革開放以來(lái)，我國(guó)的經(jīng)濟(jì)發(fā)展水平明顯提高，人民的生活也不斷改善。而這些社會(huì)現(xiàn)象出現(xiàn)的背后是我國(guó)對(duì)石油需求量不斷提升的殘酷現(xiàn)實(shí)。最近幾年，我國(guó)的石油需求量幾乎一直以每年兩位數(shù)的速度不斷增長(zhǎng)。我國(guó)已經(jīng)成為世界上石油需求量最大的國(guó)家之一。進(jìn)口大量石油不僅要花費(fèi)大量的外匯儲(chǔ)備，而且高比例的進(jìn)口依存度也對(duì)未來(lái)我國(guó)的石油安全造成了隱患。然而在這樣不利的情況下，我國(guó)還沒(méi)有得到國(guó)際石油的定價(jià)權(quán)，中東地區(qū)的石油是我國(guó)最重要的進(jìn)口石油來(lái)源，而中東地區(qū)不斷的戰(zhàn)亂經(jīng)常導(dǎo)致石油的劇烈波動(dòng)。我國(guó)的經(jīng)濟(jì)發(fā)展和金融穩(wěn)定會(huì)受到國(guó)際石油市場(chǎng)上油價(jià)波動(dòng)的一定影響，最顯然的是在用外匯進(jìn)口石油的過(guò)程中，國(guó)際石油價(jià)格波動(dòng)產(chǎn)生的風(fēng)險(xiǎn)必然引起人民幣匯率市場(chǎng)產(chǎn)生對(duì)應(yīng)的風(fēng)險(xiǎn)溢出效應(yīng)。因此，分析國(guó)際石油價(jià)格波動(dòng)對(duì)人民幣匯率市場(chǎng)的沖擊有著重要的研究?jī)r(jià)值。 由于近年來(lái)國(guó)際石油市場(chǎng)的準(zhǔn)金融屬性不斷提高，使用金融的方法度量國(guó)際石油價(jià)格風(fēng)險(xiǎn)已經(jīng)成為學(xué)術(shù)界的主題之一。而金融風(fēng)險(xiǎn)往往是由于金融資產(chǎn)價(jià)格的波動(dòng)所產(chǎn)生的，因此，如果可以較為準(zhǔn)確地測(cè)量出資產(chǎn)價(jià)格的波動(dòng)率，那么人們就可以度量出資產(chǎn)或資產(chǎn)組合將會(huì)產(chǎn)生的潛在風(fēng)險(xiǎn)。使用GARCH簇模型可以比較好的測(cè)量出資產(chǎn)價(jià)格的波動(dòng)率，為準(zhǔn)確測(cè)量金融風(fēng)險(xiǎn)奠定了基礎(chǔ)。 VaR作為一種全新的風(fēng)險(xiǎn)度量方法，具有方法直觀、結(jié)果量化、結(jié)論易懂等優(yōu)點(diǎn)，相比傳統(tǒng)的風(fēng)險(xiǎn)度量方法，例如情景模擬法、壓力測(cè)試法、靈敏度方法等更受到風(fēng)險(xiǎn)管理者的喜愛，也受到許多學(xué)者的青睞。隨著VaR模型的不斷改善，其在金融風(fēng)險(xiǎn)管理中的應(yīng)用越來(lái)越廣泛，同時(shí)也符合金融機(jī)構(gòu)和學(xué)術(shù)界對(duì)風(fēng)險(xiǎn)進(jìn)行集中化、數(shù)量化管理的要求。 考慮到GARCH簇模型和VaR與CoVaR方法的優(yōu)點(diǎn)，將以上方法從度量金融市場(chǎng)風(fēng)險(xiǎn)的角度引入到度量國(guó)際石油市場(chǎng)風(fēng)險(xiǎn)的角度不失為一種嶄新的研究思路。 本文首先介紹了和論文有關(guān)的國(guó)內(nèi)外研究現(xiàn)狀和發(fā)展趨勢(shì)，其次闡述了石油市場(chǎng)風(fēng)險(xiǎn)管理的相關(guān)理論，，然后講述了GARCH簇模型和VaR與CoVaR模型的基本原理，最后是論文的核心部分——實(shí)證分析。 在實(shí)證部分，論文首先對(duì)對(duì)Brent石油市場(chǎng)和WTI石油市場(chǎng)的對(duì)數(shù)收益率兩個(gè)時(shí)間序列的統(tǒng)計(jì)特點(diǎn)(偏度、峰度、JB值等)進(jìn)行分析，發(fā)現(xiàn)兩個(gè)市場(chǎng)的對(duì)數(shù)收益率序列具有尖峰厚尾性、自相關(guān)性和ARCH效應(yīng)，因此可以對(duì)這兩個(gè)市場(chǎng)使用GARCH簇模型做實(shí)證分析。于是，論文假設(shè)在偏t分布的分布條件下，使用GARCH簇模型來(lái)描述Brent石油市場(chǎng)和WTI石油市場(chǎng)的石油價(jià)格波動(dòng)情況，并對(duì)各個(gè)GARCH模型進(jìn)行參數(shù)估計(jì)，得到對(duì)應(yīng)的波動(dòng)率。其次，在使用GARCH簇模型得到Brent石油市場(chǎng)和WTI石油市場(chǎng)的市場(chǎng)價(jià)格波動(dòng)率的同時(shí)，利用非參數(shù)的方法計(jì)算出兩個(gè)對(duì)數(shù)收益率的殘差序列的風(fēng)險(xiǎn)值VaR，并使用半?yún)?shù)的方法計(jì)算出兩個(gè)石油市場(chǎng)的VaR值，對(duì)其進(jìn)行回測(cè)檢驗(yàn)和模型預(yù)測(cè)未來(lái)風(fēng)險(xiǎn)。最后，鑒于兩個(gè)石油市場(chǎng)的實(shí)際收益率數(shù)據(jù)具有尖峰厚尾、異方差性和波動(dòng)集聚性等特點(diǎn)，為了提高參數(shù)估計(jì)的準(zhǔn)確性，注重度量參數(shù)在分布上尾和下尾的影響，本文使用分位數(shù)回歸的方法來(lái)計(jì)算國(guó)際石油市場(chǎng)對(duì)人民幣匯率市場(chǎng)產(chǎn)生的條件在險(xiǎn)值CoVaR及對(duì)應(yīng)的風(fēng)險(xiǎn)溢出大小。
[Abstract]:In recent years, in boosting the financial globalization under the stage of international politics and economy are becoming more and more complex, taking into account the drastic changes in the international oil market and international oil prices, the risk management of the international oil market has become the focus of global attention. If the oil is one of the most original driving force, is the most basic guarantee of modern social progress and the operation, then the exchange rate is also a focus of international concern from all circles of society. And the international oil price, the exchange rate is also an important factor in the economic development of countries. As a kind of basic energy commodities, has an extremely important impact on economic development and changes in the international price of oil in the world, in a certain degree also decides the change of exchange rate.
Since the reform and opening up, China's economic development level is obviously improved, people's lives are constantly improving. Behind these social phenomenon is the cruel reality of China's demand for oil increasing. In recent years, the demand for oil in China has almost two per year double-digit increase. China has become one of the largest countries in the world oil demand. Import a lot of oil not only to spend a large amount of foreign exchange reserves, and a high proportion of import dependence on petroleum security of our country. However, the hidden dangers in such adverse circumstances, our country has not obtained the international oil pricing right, Middle East oil is China's most important sources of oil imports, while volatility constant war often lead to oil in the Middle East. The development of China's economic and financial stability will be affected by the international oil market prices Some effects of fluctuations, the most obvious is in the process of foreign exchange for oil imports, risk of international oil price fluctuations will inevitably cause the risk spillover effect corresponding to the RMB exchange rate market. Therefore, the analysis of international oil price fluctuations on the impact of RMB exchange rate market has important research value.
Due to the international oil market in recent years the quasi financial attributes increasing method using financial measure of international oil price risk has become one of the topics in academic circles. The financial risk is often due to the fluctuation of financial assets generated, therefore, if we can accurately measure the asset price volatility, so people can to measure the potential risk will be asset or portfolio generated. Using the GARCH cluster model can better measure the asset price volatility, which laid the foundation for the accurate measurement of financial risks.
VaR as a new risk measure method, with intuitive method, quantitative results, conclusion to understand the advantages, compared with the traditional risk measurement methods, such as the scene simulation method, pressure test, sensitivity method is more risk managers alike, but also by many scholars of all ages. With the continuous improvement of the VaR model. And the financial risk management in China is widely used, but also in line with the centralized risk of financial institutions and the academic circles, the number of management requirements.
Considering the advantages of GARCH cluster model and VaR and CoVaR method, it is a new research idea to introduce the above methods from the perspective of measuring financial market risk to measuring the risk of international oil market.
This paper first introduces the research status and development trend related to papers, and then expounds the relevant theories of risk management in oil market. Then it describes the basic principles of GARCH cluster model and VaR and CoVaR models, and finally, the core part of the paper, empirical analysis.
In the empirical part, firstly the statistical characteristics of log return on Brent WTI oil market and oil market rate of two time series (skewness, kurtosis, JB value etc.) are analyzed, found the log return two market rate series has a fat tail, autocorrelation and ARCH effects, so we can do the empirical analysis using the GARCH cluster model of the two market. Therefore, the assumptions on the distribution conditions of partial t distribution, using GARCH cluster model to describe the oil price fluctuations of oil market and oil market Brent WTI, and the GARCH model to estimate the parameters, get the corresponding volatility. Secondly, Brent and oil market WTI oil market volatility of market price at the same time using the GARCH cluster model, using non parametric methods to calculate the risk of two log return residuals value VaR method is used to calculate the parameters of half Two oil market value of VaR on the back test and predict future risk. Finally, in view of the actual yield data of two oil market has peak thick tail, heteroscedasticity and volatility clustering characteristics, in order to improve the accuracy of parameter estimation, focusing on the metric parameters and lower tails in the distribution, we use quantile regression method to calculate the international oil market of RMB exchange rate market conditions and the corresponding value of CoVaR in the size of Risk Spillover risks.

【學(xué)位授予單位】：浙江財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F416.22;F832.6

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