摘要
本文从资产组合极端收益以及资产组合波动两个视角分析了原油与黄金资产的风险问题。实证结果表明,原油与黄金市场间的联动关系具有动态变化特征,在市场极端危机阶段显著减弱。在资产组合收益视角下,当原油市场处于极端风险时,黄金不是原油的“避险天堂”资产。然而,在资产组合收益的波动视角下,原油与黄金投资组合在一定程度上可以降低资产风险暴露,特别是在2008年下半年金融危机阶段以及2014年下半年原油市场暴跌阶段,资产风险显著降低。
The oil and gold asset risks are analyzed from two perspectives, i.e. asset portfolio extreme returns and their volatilitiesvia daily oil and gold price data from January 2, 2006 to April 14, 2017. First, two time series regression models are employed with residuals modelled from 30 GARCH-D processes, rg,t=μg^1+δtro,t+εg,t where δt = δ0^1 +δ1^1.I(ro,t<q0,t^0.10)+δ2^1 .I(ro,t<q0,t^0.05) + δ3^1 .I(ro,t<q0,t^0.01)and rg,t, = μg^2 +δtro,t,+εg,t, whereδt= δ0^2+δ1^2.I(tl ≤ t≤ t2)+δ2^2.I(t3 ≤ t≤ t4) , to verify whether the gold is the hedge or safe haven for the oil. The empirical results, δ0^1>0 and δ0^1+δ1^1> δ0^1+δ1^1+ δ2^1> δ0^1+δ1^1+δ2^1+δ3^1>0 for the first regression, and δ0^1>δ0^2+δ1^2> 0 and δ0^2 > δ0^2 +δ2^1 for the second regression, show that the gold is neither the hedge nor the safe haven for the oil from the perspectives of portfolio returns. Second, the DCC--GARCH model is employed to explore the co--movements between oil and gold, and the empirical results show that there exist the dynamic characteristics in the co--movements between oil and gold, but the co--movements may be weaker in the extreme crisis period. Then, the variance-- minimum portfolio is constructed via solving the programming problem, P1 : minωt Var (rp,t∣Ft-1 ), s. t. 0 ≤ωt≤1 , based on the DCC--GARCH model, the portfolio return series rp,t = ωt* ro.t+(1-ωt*) are ob- tained, and then the conditional distribution of the returns rp,, is modeled to measure the risks of unit asset portfolio. From the perspective of portfolio volatilities, the empirical results show that the variance--mini- mum portfolio of oil and gold can reduce the unit asset risk exposures, especially during the extreme oil market period, i.e. the 2008 global financial crisis and the crash in oil price after 2014. Last, this paper is conducive to understanding the safe haven nature of gold assets, and also offers the investors some practical significances to avoid oil market risks viaoil and gold portfolio strategy.
作者
刘炳越
姬强
范英
LIU Bing-yue;JI Qiang;FAN Ying(School of Economics & Management, Beihang University, Beijing 100191, China;Center for Energy and Environmental Policy Research, Institutes of Science and Development,Chinese Academy of Sciences, Beijing 100190, China;School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing 100049, China)
出处
《中国管理科学》
CSSCI
CSCD
北大核心
2018年第11期1-10,共10页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(71774152,91546109)
中科院青促会项目(Y7X0231505)
作者简介
通讯作者:姬强(1982一),男(汉族),山东威海人,中国科学院科技战略咨询研究院副研究员,研究方向:能源金融、能源安全战略管理,E-mail:jqwxnjq@163.com.
