| 石油市场波动溢出模型研究 |
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| 引用本文： | 潘慧峰,周建,张金水.石油市场波动溢出模型研究[J].中国软科学,2005(8):152-157. |
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| 作者姓名： | 潘慧峰 周建 张金水 |
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| 作者单位： | 1. 清华大学,经济管理学院,北京,100084
2. 上海财经大学,经济学院,上海,200433 |
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| 摘 要： | 本文采用纽约、新加坡两个石油市场1992年至2003年的价格日度数据,运用GARCH模型和方差间的Granger因果检验方法分析了两个石油市场的波动溢出效应.实证结果表明,纽约市场对新加坡市场产生了显著的单向波动溢出,表明全球石油市场已经基本实现了一体化,并且信息传递方向是从纽约市场到新加坡市场.在此基础上,对新加坡和我国油价数据的分析表明,油价波动的信息传递途径是:纽约→新加坡→我国.
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| 关 键 词： | 石油市场 GARCH模型 波动溢出 方差间的Granger因果关系 |
| 文章编号： | 1002-9753(2005)08-0152-06 |
| 收稿时间： | 2005-04-27 |
| 修稿时间： | 2005-07-15 |
Research on Volatility Spillover in Oil Markets |
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| PAN Hui-feng,ZHOU Jian,ZHANG Jin-shui.Research on Volatility Spillover in Oil Markets[J].China Soft Science,2005(8):152-157. |
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| Authors: | PAN Hui-feng ZHOU Jian ZHANG Jin-shui |
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| Abstract: | This paper adopts GARCH model and Granger causality test in variance to uncover the volatility spillover effect between Singapore and New York markets, based on the daily data of oil price in two markets ranging from July 1992 to November 2003. Our findings indicate that there exists unilateral volatility spillover from New York to Singapore, which manifests that the information flow is from New York to Singapore. The existence of volatility spillover is the sign of integration of international oil market. The comparison between the oil price of Singapore and that of China further reveals that the oil price information transmits from New York to Singapore and then to China. |
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| Keywords: | oil market volatility spillover GARCH model Granger causality in variance |
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