發(fā)布時(shí)間：2018-04-09 09:15

  本文選題：甲醇期貨　切入點(diǎn)：原油期貨　出處：《浙江財(cái)經(jīng)大學(xué)》2016年碩士論文

【摘要】：經(jīng)濟(jì)全球化使得風(fēng)險(xiǎn)在市場間的傳遞速度越來越快,力度也越來越強(qiáng),并且呈現(xiàn)出非正態(tài)、非線性和非對稱性,因此在研究不同金融市場間的價(jià)格風(fēng)險(xiǎn)傳遞,即風(fēng)險(xiǎn)溢出效應(yīng)時(shí),采用Copula函數(shù)對金融市場間的相關(guān)性進(jìn)行描述有其獨(dú)特優(yōu)勢。隨著中國金融市場開放程度的不斷增加,中國金融市場與國際金融市場之間的聯(lián)動(dòng)性也越來越強(qiáng),尤其是在期貨市場,這種聯(lián)動(dòng)性更加顯著。甲醇是化工原料中的一種重要原料,其應(yīng)用范圍十分廣泛,可以用其作為生產(chǎn)甲醛、二甲醚、醋酸、合成橡膠等其他有機(jī)化工產(chǎn)品的原料。作為世界上最大的甲醇生產(chǎn)國與消費(fèi)國,甲醇期貨作為一個(gè)新興的期貨品種在2011年10月28日起上市交易。隨著甲醇期貨交易量的不斷上漲,在鄭州商品交易所的地位也不斷提升,和其他商品期貨之間的聯(lián)動(dòng)效應(yīng)也開始變得越來越顯著,所以對甲醇期貨的研究也顯得頗為重要。由于期貨市場較高的杠桿倍數(shù),對經(jīng)濟(jì)體所產(chǎn)生的影響會(huì)隨著杠桿的倍數(shù)而放大,因此在甲醇期貨市場的風(fēng)險(xiǎn)管理顯得尤為重要。作為產(chǎn)業(yè)鏈的中間環(huán)節(jié),其更易受到來自上游能源行業(yè)的沖擊。由于在化工原料結(jié)構(gòu)中扮演的重要作用,石油與甲醇的關(guān)系越來越緊密。2014年,由于美國頁巖油革命、歐佩克組織競相增產(chǎn)等原因,原油價(jià)格自6月起連續(xù)下跌,至14年底原油期貨跌破每桶60美元(1)。由于原油作為產(chǎn)業(yè)的上游產(chǎn)品,可以用來直接提煉烯烴,因此,隨著低迷油價(jià)的持續(xù)蔓延,烯烴行業(yè)得到了提振,并且與甲醇制烯烴的產(chǎn)業(yè)相比,低價(jià)的原油制烯烴顯得更加具有經(jīng)濟(jì)性。因此下游烯烴產(chǎn)業(yè)價(jià)格的下跌會(huì)導(dǎo)致國內(nèi)甲醇的價(jià)格的下跌,對甲醇產(chǎn)生較強(qiáng)的負(fù)面影響。由此,甲醇期貨的價(jià)格隨著原油的下挫而出現(xiàn)恐慌性的暴跌。另一方面,原油的下跌也帶來了相關(guān)能源產(chǎn)品天然氣價(jià)格的下跌,因?yàn)橥ㄟ^低價(jià)天然氣制甲醇更具有經(jīng)濟(jì)性,進(jìn)而使得國外市場上甲醇價(jià)格的普遍下跌。進(jìn)口甲醇優(yōu)勢顯現(xiàn),大量廉價(jià)的甲醇涌入中國市場,對國內(nèi)進(jìn)出口的產(chǎn)生較大影響。根據(jù)15年數(shù)據(jù),我國全年的甲醇進(jìn)口量為553.9萬噸,同比上漲了25.8%(2)。由此而引發(fā)的現(xiàn)貨價(jià)格連鎖效應(yīng),也使得甲醇期貨合約價(jià)格深受此次原油的暴跌的影響。然而關(guān)于原油期貨與甲醇期貨的風(fēng)險(xiǎn)溢出影響如何?這一風(fēng)險(xiǎn)溢出效應(yīng)在原油暴跌前后是否相同?對于這些問題的研究,學(xué)術(shù)界相關(guān)成果還很少。因此,研究原油期貨和甲醇期貨之間的溢出效應(yīng),以及在甲醇期貨上下游產(chǎn)業(yè)鏈的相關(guān)性方面,本文的研究也能起到有益補(bǔ)充作用。同時(shí),由于甲醇在產(chǎn)業(yè)鏈中居于重要的環(huán)節(jié),不僅關(guān)系到我國經(jīng)濟(jì)的穩(wěn)定健康發(fā)展,也關(guān)系到我國甲醇期貨在全球甲醇行業(yè)中的話語權(quán)。對于減少國外引起的沖擊,并且判斷我國能否牢牢控制定價(jià)權(quán),都具有顯著的實(shí)際意義。本文基于當(dāng)前的研究成果,運(yùn)用金融學(xué)、統(tǒng)計(jì)學(xué)以及風(fēng)險(xiǎn)管理相關(guān)的知識(shí),將理論與現(xiàn)實(shí)情況相結(jié)合,規(guī)范分析方法與實(shí)證方法相結(jié)合,定性的方法和定量的方法相結(jié)合,選取了鄭州商品交易所的甲醇期貨和國際市場上具有較高地位的倫敦的布油期貨的日收益率序列,作為研究對象,對這兩個(gè)市場的聯(lián)動(dòng)效應(yīng)以及溢出的風(fēng)險(xiǎn)進(jìn)行了相關(guān)方面的研究。另外,為了更加顯著的對比這兩個(gè)市場在不同時(shí)期的聯(lián)動(dòng)效應(yīng)和溢出強(qiáng)度,將這兩個(gè)市場的收益率序列分成了石油繁榮期和石油暴跌期,對這兩個(gè)市場在不同期間內(nèi)的溢出值進(jìn)行刻畫。本文主要通過Eviews、Matlab等軟件,以Copula為出發(fā)點(diǎn),擬合甲醇期貨與布倫特原油期貨的日收益率數(shù)據(jù),分析甲醇期貨與原油期貨的相依關(guān)系,并擬合最優(yōu)Copula的模型,之后使用Co VaR(條件風(fēng)險(xiǎn)價(jià)值)這一方式,進(jìn)而度量出我國甲醇期貨市場和國際原油期貨市場之間風(fēng)險(xiǎn)指標(biāo)Co VaR的Copula算法。該模型的優(yōu)點(diǎn)在于首先通過Copula對甲醇期貨和原油期貨的相關(guān)性進(jìn)行描述,不僅能刻畫出線性關(guān)系,也能刻畫出二者的非線性關(guān)系。而在此基礎(chǔ)上又利用Co VaR的方法,也能更加直觀給出兩者在不同時(shí)期內(nèi)的風(fēng)險(xiǎn)溢出值。研究結(jié)果發(fā)現(xiàn),與傳統(tǒng)VaR方法相比,Co VaR能夠更加清晰、全面地反映出了商品所蘊(yùn)含的實(shí)際風(fēng)險(xiǎn)值。首先從風(fēng)險(xiǎn)溢出方向上看,甲醇期貨對原油期貨是正向影響的,原油期貨對甲醇期貨的影響也是正向的,也就是說甲醇期貨市場和原油期貨市場的價(jià)格漲跌是同方向的,我們也就可以推斷出,隨著甲醇價(jià)格的提升,原油的價(jià)格也會(huì)隨之一同上漲,原油價(jià)格的上浮也會(huì)帶動(dòng)甲醇價(jià)格的上浮;隨著甲醇期貨價(jià)格的下跌,原油的價(jià)格也會(huì)隨之而下跌,原油價(jià)格如果下跌,甲醇也會(huì)隨之下跌。不僅原油期貨對甲醇期貨有溢出效應(yīng),甲醇期貨對原油期貨也有溢出效應(yīng)。其次,根據(jù)溢出強(qiáng)度的效果來說,石油暴跌期間,布倫特原油期貨對甲醇期貨的風(fēng)險(xiǎn)溢出強(qiáng)度大于石油繁榮期的強(qiáng)度。究其原因,主要有以下兩點(diǎn),(1)石油繁榮期間,高昂的石油價(jià)格會(huì)抬高天然氣制甲醇的價(jià)格,相比于國內(nèi)的煤制甲醇,成本上并無優(yōu)勢可言,因此國內(nèi)對甲醇的進(jìn)口也隨之降低,造成國內(nèi)甲醇期貨市場與國際原油期貨市場的聯(lián)動(dòng)性較低。(2)而當(dāng)原油價(jià)格暴跌時(shí),國外市場上天然氣制甲醇與國內(nèi)煤制甲醇的價(jià)差擴(kuò)大,而原油制烯烴的成本,與國內(nèi)煤制甲醇,再制烯烴的成本相比也更低,造成對國外廉價(jià)甲醇的進(jìn)口日益增多,對國內(nèi)甲醇的需求減少,進(jìn)而打壓國內(nèi)甲醇的價(jià)格,導(dǎo)致國際原油期貨與國內(nèi)甲醇期貨的聯(lián)動(dòng)性更強(qiáng),風(fēng)險(xiǎn)溢出強(qiáng)度也隨之增強(qiáng)。除此之外,將布油與和甲醇的溢出強(qiáng)度進(jìn)行對比,可以發(fā)現(xiàn),不管是在14年6月開始的石油暴跌期還是之前的是由繁榮期,布油對甲醇的影響都要明顯要大于甲醇對布油的影響。
[Abstract]:The economic globalization makes the risk in the market transfer faster, efforts are also more and more strong, and showing a non normal, nonlinear and non symmetry, so transfer studies in different financial market price risk, namely the risk spillover effect, function described by Copula has its unique advantages on the correlation between financial markets the. With the increasing openness of China financial market, the linkage between China financial market and international financial market is also growing, especially in the futures market, this correlation is more significant. Methanol is an important raw material in chemical raw materials, its wide range of applications, which can be used as production formaldehyde, two ether, acetic acid, synthetic rubber and other organic chemical products of raw materials. As the world's largest producer and consumer of methanol, methanol futures as an emerging futures Traded in October 28, 2011. With the rising of methanol futures trading volume, the Zhengzhou commodity exchange is rising, and the linkage effect between other commodity futures have become more and more significant, so the research on methanol futures is very important. Because of the higher leverage futures market, influence the economy will enlarge with the leverage ratio, so the risk management in the methanol futures market is very important. As the middle part of the industrial chain, the more vulnerable to the impact from the upstream energy industry. Because of the important role played in chemical raw materials in the structure, the relationship between oil and methanol is more and more closely.2014, because the us shale oil revolution, because OPEC to increase crude oil prices since June, fell to the end of 14, crude oil futures fell below $60 a barrel (1). In the crude oil industry as the upstream product, can be used to directly extract olefin, therefore, with the continued spread of low prices, olefin industry got a boost, and compared with methanol to olefins industry, low price of crude oil to olefins is more economical. Therefore lower down the price of olefin industry will lead to the domestic methanol prices fall and produce strong negative effects on methanol. Thus, methanol futures prices fell as crude oil plummeted and panic. On the other hand, crude oil fell also brought related energy products of natural gas prices fell through because of cheap gas to methanol is more economic, and the general decline in the price of methanol the foreign market appeared. A large number of cheap imported methanol, methanol into the Chinese market, have a greater impact on the domestic import and export. According to the 15 years data in China Methanol imports year to 5 million 539 thousand tons, an increase of 25.8% (2). The spot price linkage effects arising therefrom, also makes the methanol futures contract price by the crude oil prices plunged. But how about the effect of crude oil futures and methanol Futures Risk Spillover? The Risk Spillover Effect in crude oil is the same before and after the crash? The study of these problems, academic achievements are few. Therefore, research on spillover effects between crude oil futures and methanol futures, as well as the relationship between the upstream and downstream industry chain in the methanol futures, this study can also play a useful complementary role. At the same time, because methanol occupies an important link in the industrial chain, not only related to the stable and healthy development of China's economy, but also related to China's methanol futures voice in global methanol industry. To reduce the impact caused by foreign countries, and China's judgment Can firmly control pricing, has great significance. In this paper, the current research results based on the use of finance, statistics and risk management related knowledge, theory and reality combination, the combination of normative analysis and empirical method, combining the method of qualitative and quantitative, selected rate the return series has a higher status of the Zhengzhou Mercantile Exchange, methanol futures and the international market of London cloth oil futures, as the research object, the linkage effect of the two market and the risk of spillover related aspects. In addition, in order to compare the more significant the two markets in the linkage effect and spillover strength the two period, the market rate of return series is divided into the oil boom and the oil slump of the two market in different period is described. In this paper, the main overflow value Through Eviews, Matlab and other software, using Copula as the starting point, on the yield data fitting of methanol futures and Brent crude oil futures, futures and methanol dependent analysis of crude oil futures, and the optimal fitting model of Copula, after using the Co VaR (conditional value at risk) this way, and then measure the risk index Co VaR the Copula algorithm between China's methanol futures market and the international crude oil futures market. The advantage of this model is the first through the correlation between Copula of methanol futures and crude oil futures are described, not only can describe the linear relationship, also can describe the nonlinear relationship between the two. And on this basis, using the method of Co VaR, can more intuitive given in different periods of the Risk Spillover value. The results of the study showed that compared with the traditional VaR method, Co VaR can more clearly and comprehensively reflect the actual goods contained The value at risk. From the Risk Spillover direction, methanol futures is a positive influence on crude oil futures, crude oil futures on the methanol futures effect is also positive, that is to say the methanol futures market and crude oil futures market price is in the same direction, we can infer that with methanol prices improve the price of crude oil will also rise, crude oil prices go up will also drive the price of methanol float; with methanol futures prices, the price of crude oil would fall, if the price of crude oil fell, methanol would be as crude oil futures fell. Not only have spillover effect on methanol methanol futures, futures also have overflow effect of crude oil futures. Secondly, according to the strength of the spillover effects, the oil during the slump, Brent Crude Oil Futures Risk Spillover intensity of methanol futures is greater than the oil boom of the strength of the original. Because, there are two main, (1) the oil boom, high oil prices will raise the price of natural gas, methanol, coal to methanol compared to the domestic cost, no advantage at all, so the domestic imports of methanol is reduced, resulting in the domestic methanol linkage between the futures market and the international crude oil futures market low. (2) when crude oil prices plummeted, the foreign market and domestic coal gas methanol methanol to olefins and the crude oil price spreads, the cost of domestic coal methanol, olefins are lower than the cost of reproduction, resulting in imports of foreign cheap methanol increased in domestic methanol the reduction in demand, and thus suppress the domestic methanol prices, resulting in a stronger linkage between international crude oil futures and domestic methanol futures, the risk overflow strength also increases. In addition, compared with the overflow strength cloth oil and methanol, It can be found that whether the oil slump period started in 14 June or before is the boom period, the effect of cloth oil on methanol is obviously greater than that of methanol on the oil distribution.

【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】：2016
【分類號(hào)】：F764.1;F767;F724.5

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