经济评论
經濟評論
경제평론
Economic Review
2015年
3期
121~133
,共null页
低频波动 宏观经济 过度波动 投机行为 国际原油期货市场
低頻波動 宏觀經濟 過度波動 投機行為 國際原油期貨市場
저빈파동 굉관경제 과도파동 투궤행위 국제원유기화시장
Low - frequency Volatility, Macro - economy, Excessive Volatility, Speculation,International Crude Oil Futures Market
本文突破传统波动模型的局限,运用Spline-GARCH模型分离出国际原油期货市场的低频波动并构建月度低频波动序列,将高频原油期货价格与低频宏观经济数据无缝对接,分析了国际原油期货市场低频波动的宏观经济基本面影响因素,进而检验了市场是否存在＂过度波动＂现象。研究发现：国际原油期货市场的波动来源于宏观经济基本面和国际石油基金投机行为的双重影响,该市场存在显著的脱离基本面的过度波动,宏观经济基本面引起的波动仅能解释市场总波动的40%,市场投机氛围浓厚;美元指数波动已取代原油供需因素波动,成为引起国际原油期货市场低频波动的首要原因和判断该市场风险的首要预警信号;投机性持仓尤其是投机性的多头持仓波动引发了国际原油期货市场的过度波动,而过度波动反过来又加大了投机性持仓的波动,两者之间的相互影响共同加剧了市场风险。
本文突破傳統波動模型的跼限,運用Spline-GARCH模型分離齣國際原油期貨市場的低頻波動併構建月度低頻波動序列,將高頻原油期貨價格與低頻宏觀經濟數據無縫對接,分析瞭國際原油期貨市場低頻波動的宏觀經濟基本麵影響因素,進而檢驗瞭市場是否存在＂過度波動＂現象。研究髮現：國際原油期貨市場的波動來源于宏觀經濟基本麵和國際石油基金投機行為的雙重影響,該市場存在顯著的脫離基本麵的過度波動,宏觀經濟基本麵引起的波動僅能解釋市場總波動的40%,市場投機氛圍濃厚;美元指數波動已取代原油供需因素波動,成為引起國際原油期貨市場低頻波動的首要原因和判斷該市場風險的首要預警信號;投機性持倉尤其是投機性的多頭持倉波動引髮瞭國際原油期貨市場的過度波動,而過度波動反過來又加大瞭投機性持倉的波動,兩者之間的相互影響共同加劇瞭市場風險。
본문돌파전통파동모형적국한,운용Spline-GARCH모형분리출국제원유기화시장적저빈파동병구건월도저빈파동서렬,장고빈원유기화개격여저빈굉관경제수거무봉대접,분석료국제원유기화시장저빈파동적굉관경제기본면영향인소,진이검험료시장시부존재＂과도파동＂현상。연구발현：국제원유기화시장적파동래원우굉관경제기본면화국제석유기금투궤행위적쌍중영향,해시장존재현저적탈리기본면적과도파동,굉관경제기본면인기적파동부능해석시장총파동적40%,시장투궤분위농후;미원지수파동이취대원유공수인소파동,성위인기국제원유기화시장저빈파동적수요원인화판단해시장풍험적수요예경신호;투궤성지창우기시투궤성적다두지창파동인발료국제원유기화시장적과도파동,이과도파동반과래우가대료투궤성지창적파동,량자지간적상호영향공동가극료시장풍험。
The Spline- GARCH model is used in the studies of separating the low- frequency component of the volatility of the international crude oil futures market without being limited by the traditional volatility models. The monthly low- frequency volatility series has been established to meet the frequency of macroeconomic data in order to investigate the impact of macro- economy on the low- frequency volatility as well as the existence of excessive volatility in the market. It is showed that the volatility of the crude oil futures market mainly results from the macroeconomic fundamentals and the speculation of the international oil fund. The fundamentals can only account for 40 percent of the total volatility of the crude oil futures market,which appears excessive volatility and massive speculation. Additionally,dollar index volatility has replaced supply demand factors as the primary cause of the low- frequency volatility in international crude oil futures market,as well as the warning signal of the market risks. Furthermore,volatility of speculative positions might trigger the excessive volatility,which would in turn increase the volatility of speculative positions. As a result,the interaction between these two volatilities is bound to exacerbate the market risk.
