基于Copula-CoVaR模型的甲醇期货与原油期货的风险溢出效应研究

发布时间：2018-04-09 09:15

本文选题：甲醇期货　切入点：原油期货　出处：《浙江财经大学》2016年硕士论文

【摘要】：经济全球化使得风险在市场间的传递速度越来越快,力度也越来越强,并且呈现出非正态、非线性和非对称性,因此在研究不同金融市场间的价格风险传递,即风险溢出效应时,采用Copula函数对金融市场间的相关性进行描述有其独特优势。随着中国金融市场开放程度的不断增加,中国金融市场与国际金融市场之间的联动性也越来越强,尤其是在期货市场,这种联动性更加显著。甲醇是化工原料中的一种重要原料,其应用范围十分广泛,可以用其作为生产甲醛、二甲醚、醋酸、合成橡胶等其他有机化工产品的原料。作为世界上最大的甲醇生产国与消费国,甲醇期货作为一个新兴的期货品种在2011年10月28日起上市交易。随着甲醇期货交易量的不断上涨,在郑州商品交易所的地位也不断提升,和其他商品期货之间的联动效应也开始变得越来越显著,所以对甲醇期货的研究也显得颇为重要。由于期货市场较高的杠杆倍数,对经济体所产生的影响会随着杠杆的倍数而放大,因此在甲醇期货市场的风险管理显得尤为重要。作为产业链的中间环节,其更易受到来自上游能源行业的冲击。由于在化工原料结构中扮演的重要作用,石油与甲醇的关系越来越紧密。2014年,由于美国页岩油革命、欧佩克组织竞相增产等原因,原油价格自6月起连续下跌,至14年底原油期货跌破每桶60美元(1)。由于原油作为产业的上游产品,可以用来直接提炼烯烃,因此,随着低迷油价的持续蔓延,烯烃行业得到了提振,并且与甲醇制烯烃的产业相比,低价的原油制烯烃显得更加具有经济性。因此下游烯烃产业价格的下跌会导致国内甲醇的价格的下跌,对甲醇产生较强的负面影响。由此,甲醇期货的价格随着原油的下挫而出现恐慌性的暴跌。另一方面,原油的下跌也带来了相关能源产品天然气价格的下跌,因为通过低价天然气制甲醇更具有经济性,进而使得国外市场上甲醇价格的普遍下跌。进口甲醇优势显现,大量廉价的甲醇涌入中国市场,对国内进出口的产生较大影响。根据15年数据,我国全年的甲醇进口量为553.9万吨,同比上涨了25.8%(2)。由此而引发的现货价格连锁效应,也使得甲醇期货合约价格深受此次原油的暴跌的影响。然而关于原油期货与甲醇期货的风险溢出影响如何?这一风险溢出效应在原油暴跌前后是否相同?对于这些问题的研究,学术界相关成果还很少。因此,研究原油期货和甲醇期货之间的溢出效应,以及在甲醇期货上下游产业链的相关性方面,本文的研究也能起到有益补充作用。同时,由于甲醇在产业链中居于重要的环节,不仅关系到我国经济的稳定健康发展,也关系到我国甲醇期货在全球甲醇行业中的话语权。对于减少国外引起的冲击,并且判断我国能否牢牢控制定价权,都具有显著的实际意义。本文基于当前的研究成果,运用金融学、统计学以及风险管理相关的知识,将理论与现实情况相结合,规范分析方法与实证方法相结合,定性的方法和定量的方法相结合,选取了郑州商品交易所的甲醇期货和国际市场上具有较高地位的伦敦的布油期货的日收益率序列,作为研究对象,对这两个市场的联动效应以及溢出的风险进行了相关方面的研究。另外,为了更加显著的对比这两个市场在不同时期的联动效应和溢出强度,将这两个市场的收益率序列分成了石油繁荣期和石油暴跌期,对这两个市场在不同期间内的溢出值进行刻画。本文主要通过Eviews、Matlab等软件,以Copula为出发点,拟合甲醇期货与布伦特原油期货的日收益率数据,分析甲醇期货与原油期货的相依关系,并拟合最优Copula的模型,之后使用Co VaR(条件风险价值)这一方式,进而度量出我国甲醇期货市场和国际原油期货市场之间风险指标Co VaR的Copula算法。该模型的优点在于首先通过Copula对甲醇期货和原油期货的相关性进行描述,不仅能刻画出线性关系,也能刻画出二者的非线性关系。而在此基础上又利用Co VaR的方法,也能更加直观给出两者在不同时期内的风险溢出值。研究结果发现,与传统VaR方法相比,Co VaR能够更加清晰、全面地反映出了商品所蕴含的实际风险值。首先从风险溢出方向上看,甲醇期货对原油期货是正向影响的,原油期货对甲醇期货的影响也是正向的,也就是说甲醇期货市场和原油期货市场的价格涨跌是同方向的,我们也就可以推断出,随着甲醇价格的提升,原油的价格也会随之一同上涨,原油价格的上浮也会带动甲醇价格的上浮;随着甲醇期货价格的下跌,原油的价格也会随之而下跌,原油价格如果下跌,甲醇也会随之下跌。不仅原油期货对甲醇期货有溢出效应,甲醇期货对原油期货也有溢出效应。其次,根据溢出强度的效果来说,石油暴跌期间,布伦特原油期货对甲醇期货的风险溢出强度大于石油繁荣期的强度。究其原因,主要有以下两点,(1)石油繁荣期间,高昂的石油价格会抬高天然气制甲醇的价格,相比于国内的煤制甲醇,成本上并无优势可言,因此国内对甲醇的进口也随之降低,造成国内甲醇期货市场与国际原油期货市场的联动性较低。(2)而当原油价格暴跌时,国外市场上天然气制甲醇与国内煤制甲醇的价差扩大,而原油制烯烃的成本,与国内煤制甲醇,再制烯烃的成本相比也更低,造成对国外廉价甲醇的进口日益增多,对国内甲醇的需求减少,进而打压国内甲醇的价格,导致国际原油期货与国内甲醇期货的联动性更强,风险溢出强度也随之增强。除此之外,将布油与和甲醇的溢出强度进行对比,可以发现,不管是在14年6月开始的石油暴跌期还是之前的是由繁荣期,布油对甲醇的影响都要明显要大于甲醇对布油的影响。
[Abstract]:The economic globalization makes the risk in the market transfer faster, efforts are also more and more strong, and showing a non normal, nonlinear and non symmetry, so transfer studies in different financial market price risk, namely the risk spillover effect, function described by Copula has its unique advantages on the correlation between financial markets the. With the increasing openness of China financial market, the linkage between China financial market and international financial market is also growing, especially in the futures market, this correlation is more significant. Methanol is an important raw material in chemical raw materials, its wide range of applications, which can be used as production formaldehyde, two ether, acetic acid, synthetic rubber and other organic chemical products of raw materials. As the world's largest producer and consumer of methanol, methanol futures as an emerging futures Traded in October 28, 2011. With the rising of methanol futures trading volume, the Zhengzhou commodity exchange is rising, and the linkage effect between other commodity futures have become more and more significant, so the research on methanol futures is very important. Because of the higher leverage futures market, influence the economy will enlarge with the leverage ratio, so the risk management in the methanol futures market is very important. As the middle part of the industrial chain, the more vulnerable to the impact from the upstream energy industry. Because of the important role played in chemical raw materials in the structure, the relationship between oil and methanol is more and more closely.2014, because the us shale oil revolution, because OPEC to increase crude oil prices since June, fell to the end of 14, crude oil futures fell below $60 a barrel (1). In the crude oil industry as the upstream product, can be used to directly extract olefin, therefore, with the continued spread of low prices, olefin industry got a boost, and compared with methanol to olefins industry, low price of crude oil to olefins is more economical. Therefore lower down the price of olefin industry will lead to the domestic methanol prices fall and produce strong negative effects on methanol. Thus, methanol futures prices fell as crude oil plummeted and panic. On the other hand, crude oil fell also brought related energy products of natural gas prices fell through because of cheap gas to methanol is more economic, and the general decline in the price of methanol the foreign market appeared. A large number of cheap imported methanol, methanol into the Chinese market, have a greater impact on the domestic import and export. According to the 15 years data in China Methanol imports year to 5 million 539 thousand tons, an increase of 25.8% (2). The spot price linkage effects arising therefrom, also makes the methanol futures contract price by the crude oil prices plunged. But how about the effect of crude oil futures and methanol Futures Risk Spillover? The Risk Spillover Effect in crude oil is the same before and after the crash? The study of these problems, academic achievements are few. Therefore, research on spillover effects between crude oil futures and methanol futures, as well as the relationship between the upstream and downstream industry chain in the methanol futures, this study can also play a useful complementary role. At the same time, because methanol occupies an important link in the industrial chain, not only related to the stable and healthy development of China's economy, but also related to China's methanol futures voice in global methanol industry. To reduce the impact caused by foreign countries, and China's judgment Can firmly control pricing, has great significance. In this paper, the current research results based on the use of finance, statistics and risk management related knowledge, theory and reality combination, the combination of normative analysis and empirical method, combining the method of qualitative and quantitative, selected rate the return series has a higher status of the Zhengzhou Mercantile Exchange, methanol futures and the international market of London cloth oil futures, as the research object, the linkage effect of the two market and the risk of spillover related aspects. In addition, in order to compare the more significant the two markets in the linkage effect and spillover strength the two period, the market rate of return series is divided into the oil boom and the oil slump of the two market in different period is described. In this paper, the main overflow value Through Eviews, Matlab and other software, using Copula as the starting point, on the yield data fitting of methanol futures and Brent crude oil futures, futures and methanol dependent analysis of crude oil futures, and the optimal fitting model of Copula, after using the Co VaR (conditional value at risk) this way, and then measure the risk index Co VaR the Copula algorithm between China's methanol futures market and the international crude oil futures market. The advantage of this model is the first through the correlation between Copula of methanol futures and crude oil futures are described, not only can describe the linear relationship, also can describe the nonlinear relationship between the two. And on this basis, using the method of Co VaR, can more intuitive given in different periods of the Risk Spillover value. The results of the study showed that compared with the traditional VaR method, Co VaR can more clearly and comprehensively reflect the actual goods contained The value at risk. From the Risk Spillover direction, methanol futures is a positive influence on crude oil futures, crude oil futures on the methanol futures effect is also positive, that is to say the methanol futures market and crude oil futures market price is in the same direction, we can infer that with methanol prices improve the price of crude oil will also rise, crude oil prices go up will also drive the price of methanol float; with methanol futures prices, the price of crude oil would fall, if the price of crude oil fell, methanol would be as crude oil futures fell. Not only have spillover effect on methanol methanol futures, futures also have overflow effect of crude oil futures. Secondly, according to the strength of the spillover effects, the oil during the slump, Brent Crude Oil Futures Risk Spillover intensity of methanol futures is greater than the oil boom of the strength of the original. Because, there are two main, (1) the oil boom, high oil prices will raise the price of natural gas, methanol, coal to methanol compared to the domestic cost, no advantage at all, so the domestic imports of methanol is reduced, resulting in the domestic methanol linkage between the futures market and the international crude oil futures market low. (2) when crude oil prices plummeted, the foreign market and domestic coal gas methanol methanol to olefins and the crude oil price spreads, the cost of domestic coal methanol, olefins are lower than the cost of reproduction, resulting in imports of foreign cheap methanol increased in domestic methanol the reduction in demand, and thus suppress the domestic methanol prices, resulting in a stronger linkage between international crude oil futures and domestic methanol futures, the risk overflow strength also increases. In addition, compared with the overflow strength cloth oil and methanol, It can be found that whether the oil slump period started in 14 June or before is the boom period, the effect of cloth oil on methanol is obviously greater than that of methanol on the oil distribution.

【学位授予单位】：浙江财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F764.1;F767;F724.5

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