CAJ | 학술논문

采用了3种不同类型的时变Copula函数模型,对三大石油市场Brent（北大西洋布伦特原油）,WTI（美国西德克萨斯轻质原油）,Daq（大庆原油价格指数）之间的价格相关性进行分析。通过Egarch-t模型构建描述三大石油市场收益率的边缘分布模型,然后分别用两种不同的时变Copula模型对WTI-Daq,Brent-Daq两个相关市场之间的相依结构进行建模,刻画了国内外石油市场之间的风险相依结构。实证结果表明：与时变Clayton-Copula相比,时变SJC-Copula能够有效捕捉市场间的上下尾相依结构关系,且国外石油市场与国内石油市场间的下尾相依关系要明显强于上尾相依关系,尤其是北大西洋布伦特原油（Brent）价格波动对于我国石油市场价格影响显著。
채용료3충불동류형적시변Copula함수모형,대삼대석유시장Brent（북대서양포륜특원유）,WTI（미국서덕극살사경질원유）,Daq（대경원유개격지수）지간적개격상관성진행분석。통과Egarch-t모형구건묘술삼대석유시장수익솔적변연분포모형,연후분별용량충불동적시변Copula모형대WTI-Daq,Brent-Daq량개상관시장지간적상의결구진행건모,각화료국내외석유시장지간적풍험상의결구。실증결과표명：여시변Clayton-Copula상비,시변SJC-Copula능구유효포착시장간적상하미상의결구관계,차국외석유시장여국내석유시장간적하미상의관계요명현강우상미상의관계,우기시북대서양포륜특원유（Brent）개격파동대우아국석유시장개격영향현저。
In this essay,two different types of time-varying Copula models have been used to analyze price correlation among three major oil markets including Brent（Brent crude oil in North Atlantic Ocean）,WTI（light crude in western Texas,U.S）and Daqing（price index of crude oil in Daqing）.The marginal distribution model of the profitability of three oil markets was established and depicted by the Egarch-t model.Then two different time-varying Copula models were used to build a model by the dependent structure between WTI-Daq and Brent-Daq.The paper depicts the risk dependence structure between the Chinese and foreign oil market.The results show that compared with time-varying Clayton-Copula,the SJC-Copula model can capture dependent structural relations of the upper and lower tail between markets.The dependent relation of lower tail between Chinese and foreign oil markets are much stronger than the upper tail relation,and especially,the price fluctuation of Brent crude oil affects Chinese oil price conspicuously.