国际原油价格波动对中国商品期货的影响——基于多重相关性结构断点的分析

doi:10.16381/j.cnki.issn1003-207x.2019.02.004

中国管理科学 ›› 2019, Vol. 27 ›› Issue (2): 31-40.doi: 10.16381/j.cnki.issn1003-207x.2019.02.004

国际原油价格波动对中国商品期货的影响——基于多重相关性结构断点的分析

刘映琳¹, 刘永辉², 鞠卓¹

1. 上海财经大学金融学院, 上海 200433;
2. 上海对外经贸大学统计与信息学院, 上海 201620

收稿日期:2017-08-26 修回日期:2018-01-04 出版日期:2019-02-20 发布日期:2019-04-24
通讯作者: 刘永辉(1964-),男(汉族),山东人,上海对外经贸大学统计与信息学院院长,教授,博导,研究方向:数理金融与金融计量,E-mail:liuyh@lsec.cc.ac.cn. E-mail:liuyh@lsec.cc.ac.cn
基金资助:
国家社会科学基金重大资助项目（15ZDA058）；国家自然科学基金资助项目（11501363）

The Impact of International Crude Oil Price Fluctuation on Chinese Commodity Futures——Based on the Correlation Structure Breakpoint Model

LIU Ying-lin¹, LIU Yong-hui², JU Zhuo¹

1. School of Finance, Shanghai University of Finance and Economics, Shanghai 200433, China;
2. School of Statistics and Information, Shanghai University of International Business and Economics, Shanghai 201620, China

Received:2017-08-26 Revised:2018-01-04 Online:2019-02-20 Published:2019-04-24

摘要/Abstract

摘要： 原油是具有战略和金融双重属性的大宗商品，原油的金融属性导致其价格波动必然波及商品期货市场。本文研究国际原油价格波动对中国商品期货的影响。通过选取2001年1月-2017年5月沪铜、沪胶和大豆等三类代表性商品期货的收益率日数据，通过使用相关性结构断点和VaR分位数回归模型研究原油价格波动对三类商品期货的风险传导。结果发现：我国商品期货与国际原油价格之间的相关性都呈现某种"周期性"，其周期大约为七年；从收益率视角来看，2008-2014年的高相关性期间，三类商品期货与国际原油的收益率存在明显的正向联动关系；从风险传导来看，三类商品期货与国际原油在不同风险状态下的传导效应有着明显的区别和规律，尤其是在高相关性期间，国际原油对三类商品期货的风险传导呈现出某种由高到低的"阶梯性"变化。

关键词: 原油价格, 商品期货, 相关性结构断点, VaR分位数回归

Abstract: Crude oil is a commodity with both strategic and financial attributes, and its financial attribute affects its price fluctuation to the commodity futures market inevitably. Scholars through the world have studied the impact of crude oil on non energy markets such as food and agricultural products. However, little literature has been done to study the risk conduction relationship between international crude oil and Chinese commodity futures market from risk view.
This paper studies the influence of international crude oil price fluctuation on commodity futures in different historical stages, using the correlation structure breakpoint method proposed by Wied and Kramer(2012, Econometric Theory). The price trend is divided into three historical stages of international crude oil's impact on commodity futures. And the model of risk conduction proposed by Adam and Gluck(2015, Journal of Banking & Finance) is used to study the impact of international crude oil price fluctuation on Chinese commodity futures.
The empirical analysis of three types representative commodity futures, such as rubber, copper and agricultural products from January 2001 to May 2017, is selected. On one hand, the influence of international crude oil to these commodities is clearly divided into three sections by using the correlation structure breakpoint method. The results are as follows:in the first section from 2001-2008, the correlation is maintained below 0.05; in the second section from 2008-2014, the correlation increases to more than 0.22; while in the third section from 2014-2017, the correlation falls below 0.06. The correlation between China's commodity futures and international crude oil has been found cyclical, with a cycle of about seven years. On the other hand, the risk conduction model is used to study the impact of international crude oil on the three commodity futures in three historical sections. The result shows that the correlation between the period of 2008-2014 is easily founded; from the perspective of risk conduction, effect of three futures and the international crude oil have obvious difference and regularity, especially in the high correlation period, the risk conduction trend from high to low showing a "ladder" change, similarly. The conclusion above is not only beneficial to the entity operators to recognize the possible risks from the macro perspective, but also to provide a useful policy basis for the financial supervision department.

Key words: crude oil, commodity futures, correlation structure breakpoint, VaR-quantile regression

中图分类号:

F206
F831.5

刘映琳, 刘永辉, 鞠卓. 国际原油价格波动对中国商品期货的影响——基于多重相关性结构断点的分析[J]. 中国管理科学, 2019, 27(2): 31-40.

LIU Ying-lin, LIU Yong-hui, JU Zhuo. The Impact of International Crude Oil Price Fluctuation on Chinese Commodity Futures——Based on the Correlation Structure Breakpoint Model[J]. Chinese Journal of Management Science, 2019, 27(2): 31-40.

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国际原油价格波动对中国商品期货的影响——基于多重相关性结构断点的分析

The Impact of International Crude Oil Price Fluctuation on Chinese Commodity Futures——Based on the Correlation Structure Breakpoint Model

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