确定原油和下游产业之间的动态风险溢出影响:中国期货市场前景
Ying Hao1, Huifang Liu2, Xinya Wang3
1School of Economics and Management, China University of Geosciences, Beijing, 100083, China.
Environmental science and pollution research international
|February 21, 2024
概括
这项研究揭示了原油期货和中国之间的重大风险溢出影响.
科学领域:
- 金融经济学 金融经济学
- 能源市场 能源市场
- 计量经济学 计量经济学
背景情况:
- 原油和石化市场表现出复杂的相互依存关系.
- COVID-19 疫情对全球和中国能源市场产生了重大影响.
- 了解风险传播对于市场稳定和投资至关重要.
研究的目的:
- 分析原油期货 (INE,BRENT,WTI) 和中国下游石化期货之间的风险溢出动态.
- 调查COVID-19大流行对这些市场相互关系的影响.
- 为了比较不同原油基准和下游产品的溢出效应.
主要方法:
- 使用动态条件相关性-通用自回归条件异质二元复杂性 (DCC-GARCH) 对于动态相关性.
- 使用了基于时间变化的参数向量自回归 (TVP-VAR-DY) 的Diebold-Yilmaz溢出指数.
- 纳入国际 (BRENT,WTI) 和国内 (INE) 原油期货以及中国石化期货.
主要成果:
- 在原油期货和下游的中国石化产品之间观察到显著的正相关性,INE显示出更强的联系.
- 发现了异质的相关性,直接原油衍生品比价值链下方的产品更敏感.
- 国际原油期货 (特别是BRENT) 充当主要的溢出传播者,而INE主要是接收者.
- 疫情后,INE显示对聚乙烯,纯甲酸和期货的溢出效应增加,这表明市场正在复苏.
结论:
- 原油期货市场表现出与中国石化行业的显著,动态的风险溢出效应.
- 市场联系是异质的,受产品与原油的近距离影响.
- 政策制定者和投资者应该考虑这些溢出动态对风险管理和战略的影响.
- 中国市场显示出复苏的迹象,随着疫情后溢出模式的演变.
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