基于二元VAR-GARCH(1,1)-BEKK模型的金融市场与石油市场的溢出效应研究

随着国际、国内金融市场互动的不断增强以及石油市场与金融市场作用的日益密切,石油背后的金融属性对自身价格的主宰也更加明显,国际金融因素更容易通过作用油价的方式影响中国的股票市场。以2002年后油价脱离传统面的波动为契机,运用VAR模型和GARCH-BEKK模型对三大市场的相关关系进行研究。结果表明,国际金融因素与国际石油价格相互作用后单向对中国股票市场产生溢出效应。这为中国在政策层面上采取措施缓冲和避免国际油价波动给中国股票市场带来的不利冲击,维护中国石油价格和经济发展的稳定提供必要的参考和指引。

Spillover effect of financial market and oil market based on binary VAR-GARCH (1,1)-BEKK model

With increasing interacting between the international and the domestic financial markets, as well as strong coupling between the oil market and financial markets, the financial attributes of petroleum nowadays play a more evident role in dominating the oil price. The international financial factors are more likely to influence the stock market in China through the "affecting oil" way. Taking the volatility of oil prices out of the traditional reasons after the year of 2002as the opportunity, VAR model and GARCH-BEKK model were established to analyze the correlation between these three markets studied. The results show that the international financial factors and international oil prices interact with each other, and then have unidirectional spillover effects on Chinese stock market. This can provide the necessary reference and guidance for China to take measures at the policy level, to buffer and avoid adverse impact of fluctuations in international oil prices, and therefore to maintain domestic oil prices and economic development stability.