本文關(guān)鍵詞：能源金融市場的風(fēng)險(xiǎn)傳導(dǎo)機(jī)制研究　出處：《對外經(jīng)濟(jì)貿(mào)易大學(xué)》2015年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 國際金融市場 能源金融市場 風(fēng)險(xiǎn)傳導(dǎo)機(jī)制 風(fēng)險(xiǎn)強(qiáng)度

【摘要】：隨著全球經(jīng)濟(jì)一體化進(jìn)程的加快,以能源產(chǎn)業(yè)為基礎(chǔ),依靠金融市場而發(fā)展起來的能源金融市場已經(jīng)成為全球重要的資金交易平臺。能源市場與金融市場的有效結(jié)合,已成為能源市場能否滿足人類經(jīng)濟(jì)建設(shè)的日益增長的能源需求的關(guān)鍵。能源產(chǎn)業(yè)分別通過實(shí)體金融和虛擬金融來實(shí)現(xiàn)與金融市場的相互結(jié)合,虛擬金融的實(shí)質(zhì)就是通過金融市場的自由買賣過程實(shí)現(xiàn)對能源市場的價(jià)格發(fā)現(xiàn),有效的能源價(jià)格對實(shí)現(xiàn)能源市場效率有重要作用,并且會(huì)影響到能源市場的結(jié)構(gòu)和全球格局分布。能源金融的本質(zhì)不是能源企業(yè)能夠從銀行獲得貸款金額的大小,而是金融市場信息如何傳導(dǎo)至能源產(chǎn)業(yè),能源產(chǎn)業(yè)能夠充分利用市場信息進(jìn)行調(diào)整和布局,這種傳導(dǎo)機(jī)制單單依靠傳統(tǒng)銀行業(yè)的存貸款等業(yè)務(wù)是不可能實(shí)現(xiàn)的,而是要充分利用能源產(chǎn)業(yè)所特有的金融屬性,通過金融市場與能源市場的有效結(jié)合以及相關(guān)金融產(chǎn)品的創(chuàng)新,使能源產(chǎn)業(yè)在市場方面反應(yīng)更為靈敏和充分。由于金融市場所具有的充分的信息傳導(dǎo),能源金融市場可以實(shí)現(xiàn)對能源產(chǎn)業(yè)的價(jià)格風(fēng)險(xiǎn)和產(chǎn)能擴(kuò)張風(fēng)險(xiǎn)的傳導(dǎo)和預(yù)警�；谀茉唇鹑谑袌鲈谀茉磧r(jià)格形成上的決定性作用,培育不夠成熟的能源金融市場面臨的一個(gè)重要問題是如何有效地進(jìn)行能源價(jià)格風(fēng)險(xiǎn)管理。獲取準(zhǔn)確的、真實(shí)的和有效的能源金融信息是進(jìn)行有效能源價(jià)格風(fēng)險(xiǎn)管理的前提。信息與風(fēng)險(xiǎn)是對應(yīng)的,信息越充分,不確定因素就會(huì)減少,風(fēng)險(xiǎn)則降低。我國雖然是全球第五大石油生產(chǎn)國、第二大石油消費(fèi)國、第三大石油進(jìn)口國,但在世界原油定價(jià)機(jī)制中,中國還沒有發(fā)言權(quán)。全球油價(jià)的小幅波動(dòng)會(huì)使國內(nèi)能源企業(yè)發(fā)生巨額損失。導(dǎo)致這一現(xiàn)象產(chǎn)生的根本原因是由于我國的金融業(yè)與能源產(chǎn)業(yè)及其它大宗商品市場關(guān)聯(lián)度很低,能源金融的創(chuàng)新發(fā)展水平較低,我國的能源金融市場沒有充分地發(fā)揮價(jià)格發(fā)現(xiàn)功能。要真正獲得能源市場的定價(jià)權(quán),虛擬金融的發(fā)展是必須的,在發(fā)展原油期貨等金融市場的同時(shí),還需要同時(shí)開放資本市場、貨幣市場等,這個(gè)過程不是一蹴而就的,在很長一段時(shí)間內(nèi)我國能源產(chǎn)業(yè)都不得不承受國際能源市場和國際金融市場所帶來的價(jià)格風(fēng)險(xiǎn)之痛。因此,基于能源金融理論和中國能源金融發(fā)展現(xiàn)狀,研究能源金融市場,尤其是石油金融市場的風(fēng)險(xiǎn)傳導(dǎo)機(jī)制,并在此基礎(chǔ)上進(jìn)行能源金融市場風(fēng)險(xiǎn)預(yù)警機(jī)制的研究,是一個(gè)有意義的論文選題,希望論文的研究結(jié)果能夠?qū)χ袊茉雌髽I(yè)利用能源金融市場加強(qiáng)能源價(jià)格風(fēng)險(xiǎn)管理提供參考。根據(jù)論文的研究目的和對相關(guān)文獻(xiàn)的梳理,作者根據(jù)以下思路展開研究:首先在對能源金融市場風(fēng)險(xiǎn)傳導(dǎo)特點(diǎn)、風(fēng)險(xiǎn)傳導(dǎo)途徑分析的基礎(chǔ)上,設(shè)計(jì)能源金融市場風(fēng)險(xiǎn)傳導(dǎo)模型。其次,在設(shè)計(jì)能源金融市場風(fēng)險(xiǎn)傳導(dǎo)實(shí)證檢驗(yàn)?zāi)Ｐ偷幕A(chǔ)上,對國際主要的金融市場與能源金融市場的風(fēng)險(xiǎn)傳導(dǎo)展開實(shí)證研究,得到能源金融市場風(fēng)險(xiǎn)傳導(dǎo)的一般路徑。第三,基于我國能源金融發(fā)展的現(xiàn)狀,對我國能源市場與國際能源金融市場的風(fēng)險(xiǎn)傳導(dǎo)關(guān)系進(jìn)行實(shí)證研究,得到我國能源金融市場完整的風(fēng)險(xiǎn)傳導(dǎo)路徑。第四,對能源金融市場風(fēng)險(xiǎn)預(yù)警進(jìn)行研究,設(shè)計(jì)能源金融市場風(fēng)險(xiǎn)強(qiáng)度指標(biāo)并進(jìn)行計(jì)算和預(yù)測。最后對加強(qiáng)我國能源金融市場價(jià)格風(fēng)險(xiǎn)管理提出政策建議。論文定義能源金融市場風(fēng)險(xiǎn)是一種能源價(jià)格風(fēng)險(xiǎn),能源金融市場風(fēng)險(xiǎn)因素可以分為宏觀風(fēng)險(xiǎn)因素、中觀風(fēng)險(xiǎn)因素和微觀風(fēng)險(xiǎn)因素。能源金融市場風(fēng)險(xiǎn)主要通過信息溢出效應(yīng)、資金溢出效應(yīng)和波動(dòng)溢出效應(yīng)進(jìn)行傳導(dǎo)。價(jià)格風(fēng)險(xiǎn)傳導(dǎo)效應(yīng)包括廣義價(jià)格風(fēng)險(xiǎn)傳導(dǎo)效應(yīng)、嚴(yán)格價(jià)格風(fēng)險(xiǎn)傳導(dǎo)效應(yīng)和非常嚴(yán)格意義上的價(jià)格風(fēng)險(xiǎn)傳導(dǎo)效應(yīng),論文提出價(jià)格風(fēng)險(xiǎn)傳導(dǎo)機(jī)制研究的實(shí)證模型分別是廣義風(fēng)險(xiǎn)傳導(dǎo)效應(yīng)意義上的純粹價(jià)格風(fēng)險(xiǎn)的協(xié)整模型、嚴(yán)格風(fēng)險(xiǎn)傳導(dǎo)效應(yīng)意義上的收益率風(fēng)險(xiǎn)var模型和非常嚴(yán)格意義上的價(jià)格風(fēng)險(xiǎn)傳導(dǎo)效應(yīng)意義上的波動(dòng)風(fēng)險(xiǎn)的garch模型。論文對國際主要金融市場,黃金市場、股票市場和外匯市場與原油期貨市場的價(jià)格風(fēng)險(xiǎn)傳導(dǎo)效應(yīng)進(jìn)行了實(shí)證研究。對黃金市場與石油期貨市場的純粹價(jià)格風(fēng)險(xiǎn)協(xié)整模型的實(shí)證研究結(jié)果表明,除次貸危機(jī)影響下的價(jià)格異常聯(lián)動(dòng)外,黃金價(jià)格與原油期貨價(jià)格之間整體呈現(xiàn)顯著正相關(guān);原油期貨價(jià)格與黃金價(jià)格不存在協(xié)整關(guān)系,兩者無長期均衡關(guān)系;格蘭杰因果檢驗(yàn)表明,與石油相比,黃金的金融屬性更強(qiáng),黃金價(jià)格的波動(dòng)將單向影響石油價(jià)格波動(dòng)。從純粹價(jià)格風(fēng)險(xiǎn)傳導(dǎo)機(jī)制來看,不同定價(jià)機(jī)制是導(dǎo)致金融市場對石油金融市場的價(jià)格風(fēng)險(xiǎn)傳導(dǎo)效應(yīng)不同的主要原因。與黃金市場相比,石油金融市場對風(fēng)險(xiǎn)的反應(yīng)具有滯后性,被動(dòng)的接受來自金融市場的風(fēng)險(xiǎn),金融屬性較弱。黃金市場表現(xiàn)出更強(qiáng)的金融屬性,能對信息及時(shí)接收并在市場進(jìn)行傳遞,有效地對外部信息做出反應(yīng)。對國際主要股票市場和原油期貨市場的收益率風(fēng)險(xiǎn)var模型的實(shí)證研究結(jié)果表明,股票市場收益率的波動(dòng)性大于原油期貨市場,兩個(gè)市場呈現(xiàn)正相關(guān)性,金融危機(jī)前后兩市表現(xiàn)出相反的相關(guān)性:危機(jī)前兩個(gè)市場收益率呈現(xiàn)負(fù)相關(guān),危機(jī)后兩個(gè)市場收益率呈現(xiàn)正相關(guān)。var模型分析表明,股票指數(shù)和原油期貨收益率均與其滯后2期收益率的變動(dòng)相關(guān)。格蘭杰因果檢驗(yàn)表明,國際股票市場的風(fēng)險(xiǎn)將單向傳導(dǎo)至石油期貨市場。市場對公共信息和私有信息的吸收和反應(yīng)的能力并不相同,石油金融市場對信息的吸收和反應(yīng)慢于主要股票市場。當(dāng)兩個(gè)市場收益率出現(xiàn)相反走向時(shí),資金會(huì)在兩個(gè)市場間轉(zhuǎn)移,并最終使得兩個(gè)市場的收益率同向發(fā)展。而股票市場無論對公共信息還是私人信息都能及時(shí)接收并做出有效的反應(yīng),同時(shí)在不同金融間市場進(jìn)行傳遞。對美元指數(shù)和原油期貨市場的波動(dòng)風(fēng)險(xiǎn)的garch模型的實(shí)證研究結(jié)果表明,原油期貨收益率與美元指數(shù)收益率變動(dòng)呈現(xiàn)顯著負(fù)相關(guān);兩市的收益率都有顯著的波動(dòng)集簇性,沖擊具有很強(qiáng)的持續(xù)性;格蘭杰因果檢驗(yàn)表明,兩市波動(dòng)率存在雙向風(fēng)險(xiǎn)溢出效應(yīng),即美元的升值或貶值波動(dòng)會(huì)對原油期貨價(jià)格產(chǎn)生波動(dòng)溢出效應(yīng),反過來,石油期貨價(jià)格的波動(dòng)也會(huì)引起美元匯率的波動(dòng)。市場的信息溢出和投資者行為是導(dǎo)致波動(dòng)溢出效應(yīng)的內(nèi)在和外在原因。美元匯率與石油金融市場的波動(dòng)互相影響,兩個(gè)市場的價(jià)格波動(dòng)走勢高度一致。論文對國際原油期貨市場與國內(nèi)原油市場的風(fēng)險(xiǎn)傳導(dǎo)效應(yīng)的實(shí)證研究結(jié)果表明,國際原油期貨價(jià)格與國內(nèi)原油價(jià)格波動(dòng)步調(diào)基本同步,但兩個(gè)市場在不同時(shí)期存在顯著價(jià)差,反映出我國原油定價(jià)機(jī)制與國際市場存在脫軌現(xiàn)象。相關(guān)性檢驗(yàn)表明,兩個(gè)市場存在高度的相關(guān)性,國內(nèi)原油市場正不斷融入全球石油市場中。國際原油期貨價(jià)格和國內(nèi)原油現(xiàn)貨價(jià)格之間存在長期均衡的協(xié)整關(guān)系,國際原油期貨市場與國內(nèi)現(xiàn)貨現(xiàn)貨市場價(jià)格間風(fēng)險(xiǎn)互為傳導(dǎo),兩個(gè)市場間的聯(lián)動(dòng)趨勢越來越明顯。國際燃料油期貨市場對上海燃料油期貨市場的風(fēng)險(xiǎn)傳導(dǎo)效應(yīng)的實(shí)證研究表明,上海燃料油期貨價(jià)格與國際燃料油期貨價(jià)格波動(dòng)步調(diào)基本同步,但兩個(gè)市場對金融危機(jī)的反應(yīng)和市場恢復(fù)上存在著差異,上海燃料油期貨市場更具市場彈性。上海燃料油期貨收益率和國際燃料油期貨收益率的變動(dòng)呈現(xiàn)顯著正相關(guān),國際燃料油期貨與上海燃料油期貨的風(fēng)險(xiǎn)傳導(dǎo)效應(yīng)是單向的。對能源金融市場的風(fēng)險(xiǎn)傳導(dǎo)研究表明,一國的能源金融市場風(fēng)險(xiǎn)是一個(gè)綜合變量,國內(nèi)宏觀經(jīng)濟(jì)指標(biāo)、國際金融指標(biāo)及能源市場相關(guān)指標(biāo)都是重要影響變量,論文通過主成分分析方法對能源金融市場風(fēng)險(xiǎn)進(jìn)行了量化分析,并結(jié)合arma模型對能源金融市場風(fēng)險(xiǎn)強(qiáng)度進(jìn)行了預(yù)測。結(jié)果表明,中國能源金融市場風(fēng)險(xiǎn)在2006年以前處于“安全”級別,此后,除在2008年短暫的恢復(fù)“安全”級別,我國能源金融市場風(fēng)險(xiǎn)一直在上升,但仍處于“可控”的區(qū)間。當(dāng)前我國的能源金融市場處于較大風(fēng)險(xiǎn)區(qū)間,按照能源金融市場風(fēng)險(xiǎn)強(qiáng)度的增長趨勢,未來能源金融市場風(fēng)險(xiǎn)有可能進(jìn)一步增加。論文的創(chuàng)新性主要有以下幾方面:首先,論文設(shè)計(jì)了“單軌雙線雙向”的風(fēng)險(xiǎn)傳導(dǎo)研究思路,單軌指的是價(jià)格風(fēng)險(xiǎn)傳導(dǎo)這個(gè)主線,雙線指的是從國際金融市場到國際能源金融市場,再到國內(nèi)能源市場的風(fēng)險(xiǎn)傳導(dǎo)研究思路,雙向指的是金融市場和能源金融市場的雙向風(fēng)險(xiǎn)傳導(dǎo)。其次,設(shè)計(jì)了能源金融市場價(jià)格風(fēng)險(xiǎn)傳導(dǎo)的實(shí)證研究模型,廣義風(fēng)險(xiǎn)傳導(dǎo)效應(yīng)的價(jià)格協(xié)整模型、嚴(yán)格風(fēng)險(xiǎn)傳導(dǎo)效應(yīng)的收益率風(fēng)險(xiǎn)var模型和非常嚴(yán)格意義上的價(jià)格風(fēng)險(xiǎn)傳導(dǎo)效應(yīng)的極端風(fēng)險(xiǎn)波動(dòng)garch模型,并在能源金融市場廣義價(jià)格風(fēng)險(xiǎn)傳導(dǎo)效應(yīng)的基礎(chǔ)上提出了純粹價(jià)格風(fēng)險(xiǎn)的概念。第三,論文在理論和實(shí)證研究的基礎(chǔ)上總結(jié)了能源金融市場的純粹價(jià)格風(fēng)險(xiǎn)傳導(dǎo)機(jī)制、收益率風(fēng)險(xiǎn)傳導(dǎo)機(jī)制和波動(dòng)風(fēng)險(xiǎn)傳導(dǎo)機(jī)制。第四,論文在主成分分析的基礎(chǔ)上提出了能源金融市場風(fēng)險(xiǎn)強(qiáng)度的概念,并結(jié)合ARMA模型對2002-2014的石油金融市場風(fēng)險(xiǎn)強(qiáng)度進(jìn)行了計(jì)算和預(yù)測。
[Abstract]:With the acceleration of global economic integration, with the energy industry as the foundation, relying on the financial markets and the development of the energy financial market has become an important platform for financial transactions. The effective combination of energy market and financial market, has become a key energy market can meet the growing economic construction of human energy demand energy industry respectively. Through financial and virtual financial entities to achieve mutual combination and financial market, financial freedom is the essence of virtual transactions in financial markets to achieve the energy market price discovery, the price of energy has an important role in the implementation of energy efficiency market, and will affect the structure and distribution pattern of global energy markets. Energy finance nature is not energy enterprises can get the loan amount from the size of the bank, but the financial market information how to transfer to the energy source Industry, energy industry can make full use of market information and adjust the layout of the transmission mechanism rely solely on traditional banking deposit and loan business is impossible, but to make full use of the unique financial attributes of the energy industry, through innovation and effective combination of financial market and the energy market and related financial products, make energy industry in the market reaction is more sensitive and full. Because of the financial market is full of information transmission, transmission and energy early warning financial market can be achieved on the energy industry price risk and capacity expansion risk. The decisive role of the energy financial market in the energy price formation based on the cultivation of an important issue facing not mature the energy of the financial market is how to carry out energy price risk management effectively. To obtain accurate, real and effective energy of financial information is A prerequisite for effective energy price risk management. Information and corresponding risk information, more fully, uncertain factors will be reduced, the risk is lower. Although China is the world's fifth largest oil producer, the second largest oil consumer, the third largest oil importer, but in the world crude oil pricing mechanism, is not China the right to speak. The slight fluctuations in global oil prices will make domestic energy companies huge losses. The cause of this phenomenon is due to China's financial industry and energy industry association and other commodity markets is very low, the level of financial innovation and development of energy is low, the sources of energy of our country financial market is not fully has the function of price discovery. To obtain the energy market pricing, the development of virtual finance is a must, in the development of crude oil futures and other financial markets at the same time, also need to open the capital market. Money market, this process is not easy, in a very long time, China's energy industry will have to bear the international energy market and the international financial market brings the price risk of pain. Therefore, energy finance theory and financial development based on the status quo of Chinese energy research, energy financial market, especially the risk conduction mechanism of oil in financial markets, energy research of financial market risk early warning mechanism and on this basis, it is a meaningful topic, I hope the results of this paper can enhance the energy price risk management of the China energy companies use energy financial market to provide reference. According to the purpose of the research and the literature review, the author according to the following thinking of the study: first of all in the energy of financial market risk conduction characteristics, risk analysis pathway, design of energy financial market risk The conduction model. Secondly, based on the empirical design of financial market risk conduction energy test model on the positive research on the risk conduction on the major international financial market and the energy of the financial market, get the general path of energy financial market risk conduction. Third, the development status of China's Energy Finance Based on the empirical research on the relationship between the risk of transmission China's energy market and energy international financial markets, risk conduction path of China's energy financial market complete. Fourth, to study the risk warning energy financial market, financial market risk design of energy intensity index and calculate and forecast. Finally, to strengthen the energy of our country financial market price risk management policy recommendations. This definition the energy of financial market risk is a kind of energy price risk, financial market risk factors of energy can be divided into macro meso risk factors. The risk factors and risk factors. The risk of energy financial market mainly through the information spillover effect, capital spillover effect and the volatility spillover effect is conducted. The price risk conduction effect including the general price risk conduction effect, price risk conduction strict price risk conduction effect and very strict sense, the empirical model proposed in this paper on the price risk conduction mechanism are the cointegration model of generalized risk conduction effect on the significance of pure price risk, GARCH model, strict risk conduction effect on yields significant price risk conduction effect risk VaR model and very strict sense of risk. The international financial market, the gold market, the stock price risk conduction effect the market and foreign exchange market and crude oil futures market by empirical research. On the gold market and oil futures market The empirical results of pure price risk co field integration model show that in addition to abnormal price linkage under the influence of subprime crisis, showed a significant positive correlation between gold price and the price of crude oil futures; crude oil futures prices and the price of gold does not exist cointegration, no long-term equilibrium relationship between the two; Grainger causality test shows that with oil compared with stronger financial attributes of gold, gold price fluctuations will affect the fluctuation of oil price. One way from the pure price risk conduction mechanism, different pricing mechanism is a major cause of financial market risk conduction effect on oil prices in financial markets is different. Compared with the gold market, the financial market reaction to the risk of oil has lagged behind, passive acceptance of the risk from the financial markets, financial property is weak. The gold market showed stronger financial attributes, can receive timely information and The market for transmission, effectively respond to external information. The empirical results yield risk VaR model of the main international stock market and crude oil futures market shows that the volatility of the stock market rate of return is greater than the crude oil futures market, two markets showed positive correlation, before and after the financial crisis of two, showed the opposite correlation: two before the crisis the market rate of return is negative, after the crisis of two market yields showed a positive correlation.Var model analysis showed that the stock index and crude oil futures return rate with 2 period lag changes in the rate of return. Grainger causality test shows that the risk of international stock market one-way conduction to the oil futures market. The market absorption capacity and in response to public information and private information is not the same, the oil absorption and reaction to the financial market information is slower than the main stock market when the two market. Yield appeared opposite direction when the funds will be transferred between the two markets, and ultimately makes the two market rate of return to the same development. And the stock market both for public information or private information can receive timely and effective response, at the same time in different financial market for transfer. The results of empirical research of GARCH model the risk of fluctuations in the dollar index and crude oil futures market showed that the crude oil futures return rate showed a significant negative correlation with the dollar index yield changes; two, yields are significantly volatility clustering, the impact of strong persistence; Grainger causality test shows that the two city there is two-way volatility risk the spillover effect, namely dollar appreciation or depreciation volatility will have spillover effects on crude oil futures prices, in turn, the oil futures price fluctuations can cause fluctuations in the dollar market. The information overflow And investors' behavior is the result of internal and external causes of volatility spillover. The dollar exchange rate and financial market volatility of oil price fluctuation trend influence each other, the two markets are highly consistent. The results of empirical research on the risk conduction effect of international crude oil futures market and domestic crude oil market shows that the international crude oil futures prices and domestic crude oil price the fluctuation of the pace of basic synchronization, but the two markets are significantly difference in different periods, reflecting the derailment phenomenon of crude oil pricing mechanism and the international market in China. The correlation test showed that the two markets are highly correlated, the domestic oil market has been integrated into the global oil market. The existence of long-term equilibrium cointegration relationship between international crude oil futures the domestic price and the spot price of crude oil, international crude oil futures market and domestic spot prices on the spot market risk mutual conduction, The linkage between the two market trend more and more obvious. An Empirical Study on the risk conduction effect of international oil futures market of Shanghai fuel oil futures market shows that the pace of futures price volatility of Shanghai fuel oil futures price and international oil market basic synchronization, but the two financial crisis on the gold market reaction and recovery of differences Shanghai fuel oil futures market, the market is more elastic. Positive related changes in Shanghai fuel oil futures futures return rate of return and international fuel oil rate, the risk of international fuel oil futures and Shanghai fuel oil futures conduction effect is one-way. Research on risk conduction on energy financial market showed that the market risks of Energy Finance China is a comprehensive variable, domestic macroeconomic indicators, financial indicators and international energy market related indicators are important variables by principal component analysis. A quantitative analysis on the risks of energy finance market, and combined with the ARMA model to predict the risk of financial market. The results show that the energy intensity, Chinese risk energy financial market before 2006 in the "safe" level, since then, except in 2008 brief recovery "safe" level of energy, China has been in the financial market risk rise, but still in the controllable range. China's energy market in the financial risk interval, according to growth trend of financial market risk intensity of energy, energy and financial market risk may increase further in the future. The innovation of this paper mainly includes the following aspects: first, the design thought of "risk conduction study on double monorail two-way" monorail, refers to the price of risk conduction of the main line, double line refers to from the international financial market to international financial markets to domestic energy, energy Thinking of risk transmission in the market, two-way refers to the two-way risk conduction of financial market and financial market energy. Secondly, design an empirical study on the model of energy financial market price risk, price cointegration model of generalized risk conduction effect, the risk of extreme volatility GARCH model strict risk conduction effect of the rate of return risk model and VaR very strict sense of the price risk conduction effect, and put forward the concept of pure price risk based on the risk conduction effect of energy price on the generalized financial market. Third, based on the theoretical and empirical research on the summary of the pure energy price risk conduction mechanism of financial market, the yield risk conduction mechanism and volatility risk transmission mechanism. Fourth, based on the principal component analysis on the concept of energy intensity risk of the financial market, and combined with the ARMA model of 2002-201 4 of the risk intensity of the petroleum market has been calculated and predicted.

【學(xué)位授予單位】：對外經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2015
【分類號】：F426.2;F832.5

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