摘要
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。
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.
出处
《经济评论》
CSSCI
北大核心
2015年第3期121-133,共13页
Economic Review
基金
国家社科基金项目"基于投机视角的农产品期货定价机制研究"(项目编号:13BJL065)
国家社科基金项目"金融联结的理论机理研究"(项目编号:11BJL012)
国家社科基金项目"村镇银行发展的现实困境与竞争潜力研究"(项目编号:10BJY057)
国家留学基金公派访问学者项目(项目编号:201208440325)的资助
关键词
低频波动
宏观经济
过度波动
投机行为
国际原油期货市场
Low - frequency Volatility, Macro - economy, Excessive Volatility, Speculation,International Crude Oil Futures Market
作者简介
电子信箱：liusong@scau．edu．cn
电子信箱：tangtingfei@stu．scau．edu．cn
通讯作者,电子信箱：miyunsheng@163．com。
