| 国内外能源价格波动溢出效应研究 |
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| 引用本文： | 王世进.国内外能源价格波动溢出效应研究[J].资源科学,2013,35(4):690-696. |
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| 作者姓名： | 王世进 |
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| 作者单位： | 江苏师范大学经济学院,徐州,221116 |
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| 基金项目： | 教育部人文社科青年基金项目(编号:11YJC790189);江苏省研究生培养创新工程项目(编号:CXLX12_0972)。 |
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| 摘 要： | 本文利用相关数据及燃料、动力类购进价格指数,运用Granger因果检验,VAR和DCC-GARCH模型,分析了国际能源价格波动对我国能源价格平衡的影响.通过研究,表明国际能源价格与我国能源价格间存在长期的稳定协整关系和双向波动溢出效应,短期内国际能源价格对我国能源价格的平衡存在着单向价格引导关系.最后从能源立法、加强消费国间的能源合作、推进能源衍生品、期货市场建设等几个方面提出建议,以保证我国能源产业的健康发展.
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| 关 键 词： | 能源价格 溢出效应 DCC-GARCH 影响 |
| 收稿时间： | 7/3/2012 12:00:00 AM |
| 修稿时间： | 1/8/2013 12:00:00 AM |
Study on Spillover Effect of Energy Price Volatility in China and Abroad |
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| WANG Shijin.Study on Spillover Effect of Energy Price Volatility in China and Abroad[J].Resources Science,2013,35(4):690-696. |
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| Authors: | WANG Shijin |
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| Institution: | Shool of Ecomomics JiangSu Normal University, Xuzhou 221116, China |
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| Abstract: | As China's energy consumption is increasingly depending on the international market, price fluctuations in international energy have a significant impact on China's economic development and the security and sustainable development of China's energy industry. There has been little research on the mutual influence between international energy prices and Chinese domestic energy prices. Based on the Granger causality tests, VAR and DCC-GARCH models, we analyze the influence of international energy price vibration on Chinese energy prices using relevant data and fuels and power purchasing price index. We found a long-running equilibrium relationship and volatility spillover effect between international energy prices and Chinese energy prices, and one-way price leading relationship exists between both in the short term. With the rapid development of China's energy industry and innovation and market development of energy derivatives, demand for energy price hedging instruments in domestic energy industry will become more urgent. Borrowing from international models, China will be able to firmly grasp the energy pricing right to maintain the secure development of its energy industry and speed up the rapid integration of China's energy pricing mechanism with the international energy market. This approach will better reflect the demands of China's energy market and effectively guarantee the healthy and orderly development of China's energy industry and stable economic development. We conclude by suggesting energy legislation, energy cooperation with consumption countries, and the promotion of an energy derivatives futures market in order to maintain the healthy development of the energy industry. |
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| Keywords: | Energy prices Spillover effect DCC-GARCH Influence |
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