黄金抗美元贬值避险能力的动态分析北大核心CSSCISSCI

在黄金价格大幅上涨、美元持续贬值及各金融市场联动效应加剧的背景下,有必要对黄金抗美元贬值的避险能力及其影响因素的时变性做出研究。本文首先运用DCC-GARCH模型考察黄金抗美元贬值的避险能力从1975年1月到2011年12月的变化情况,然后运用滚动VAR模型分析了国际油价、标准普尔指数、美国联邦基金利率和美国消费者价格指数对黄金避险能力影响的时变性。研究表明,近40年来,黄金抗美元贬值避险能力和影响因素在各阶段有所不同,2003年以后黄金避险能力明显提升,且受原油价格和联邦基金利率的影响大于另外两个因素。预计未来一段时间,原油价格收益率变动将同向驱动黄金避险水平,而联邦基金利率则相反。     

原油企稳 黄金遭遇空头

原油：油价大跌之后现大涨 上周四（10月23日）亚洲盘中国汇丰PMI与欧洲盘欧元区PMI均实现做好,表明全球经济总体仍然处在扩张状态,近期处在低位的原油价格因此受到刺激,出现大涨。收盘每桶81．85美元,涨幅为2．06%。     

卖空交易、市场行情与股价崩盘风险

本文构建了"暴涨暴跌"市场行情指数以区分股市异常波动与非异常波动行情,利用我国融资融券交易试点及五次扩容事件作为自然实验,精确分离出卖空交易对股价崩盘风险的独立效应。研究发现,虽然融资交易的杠杆效应会增大股价崩盘风险,但是卖空交易显著降低了股价崩盘风险;市场行情对卖空交易和融资交易的影响机制存在差异,"暴涨暴跌"市场行情加大了融资交易的杠杆效应对股价崩盘风险的增大程度,却显著提升了卖空交易对股价崩盘风险的降低作用。本文拓展了卖空交易经济功能的研究,并区分了股市异常波动(暴涨暴跌)和非异常波动行情对卖空交易降低股价崩盘风险功能的影响,研究结论对于完善融资融券制度、促进卖空交易功能发挥、完善资本市场监管具有重要的政策含义。     

GA-BP算法在黄金价格预测中的应用

基于遗传算法的神经网络模型能够发挥遗传算法具有较强搜索能力,同时结合神经网络学习能力,可以发挥两种算法各自的优势;本文采用美元指数、原油价格、美元十年国债收益率、美国CPI等宏观经济指标和黄金价格为样本来预测;仿真结果表明,该算法能够较好预测黄金价格的走势,并且实现了预测结果的稳定。     

GA-BP算法在黄金价格预测中的应用

基于遗传算法的神经网络模型能够发挥遗传算法具有较强搜索能力,同时结合神经网络学习能力,可以发挥两种算法各自的优势;本文采用美元指数、原油价格、美元十年国债收益率、美国CPI等宏观经济指标和黄金价格为样本来预测;仿真结果表明,该算法能够较好预测黄金价格的走势,并且实现了预测结果的稳定。     

近期国际原油价格调整原因及未来展望

<正>油价悬崖式下跌之后出现反弹。2014年6月以来,Brent原油及WTI原油价格指数均由110美元/桶左右的水平急剧下跌,并在2016年1月双双跌至30美元/桶以下,最大跌幅达到76%。此后开始大幅反弹,从低位上涨约40%,在3月中下旬突破40美元/桶,目前在该水平附近宽幅震荡。比较而言,与过去四十多年来的下跌周期相比,本轮油价下跌幅度大、持续时间较长。一、本轮油价调整原因     

原油冲击110美元

原油：原油逼近110美元 上周四,中国方面的制造业指数利好,原油市场交易商对积极的中国经济前景表示欢迎,虽然来自美国的制造业指数不及市场预期,造成原油价格一度走低,不过场内交易最后一个小时内,美股指数的上涨加上美元汇率走低帮助油价持续走高,还是使得当天的主力原油合约最终收高。     

基于变结构Copula模型的股市与汇市间波动溢出效应研究

本文采用变结构Copula模型对我国股、汇市间的波动溢出效应进行研究。利用二元正态Copula函数的时变相关系数得出美元对人民币汇率与沪深300指数间相关关系的变结构点,再利用混合Copula模型分段检验波动溢出效应。实证结果表明,汇改以来,美元对人民币汇率与沪深300指数间存在着长期而显著的波动溢出效应。在次贷危机发生期间,美元对人民币汇率与沪深300指数间相关关系的变结构点增多,尾部相关性增强,两市间的波动溢出效应显著增强。因此,应加强对波动溢出传导中介的管理,减轻波动溢出效应的负面影响。     

白银投资:价格涨跌现风险

日前,白银价格暴涨暴跌,投资者应充分认识投资的风险今年上半年,白银价格坐上了"过山车":1月28日,国际银价从26.35美元/盎司起跑,到4月26日上涨到49.78美元/盎司的历史高位;5月2日,白银价格从历史高点跳水,截至5月20日,国际银价为35.18美元/盎司。面对白银价格暴涨暴跌,投资者应该充分认识投资的风险。     

国际原油价格对国内原油价格的非线性冲击及其政策启示——基于STR模型的实证研究北大核心CSSCI

基于2000年1月至2016年5月国内外原油价格数据,运用非线性平滑转换回归(STR)模型实证研究国际油价对国内油价冲击的非线性特征。结论表明:国际油价对国内油价的冲击因国际油价增长率的差异而显著不同,二者的关系呈现分段特征,并在线性与非线性关系间转换;国内原油价格对国际原油价格变化的调整较快;国际油价冲击是国内油价波动的关键诱因,国内原油价格具有一定的惯性,由于政策调控的及时性,有效缓和了国内原油价格的上涨趋势。因此,政策制定者应关注国际原油价格对国内原油价格冲击效应的门槛值,把握主动权;国内原油价格水平与国际原油价格水平已实现充分接轨,当前石油定价机制调整的方向是使油价充分反映国内石油市场的供需变化;应尽快理顺我国原油价格与成品油价格的关系。     

美元贬值和石油价格变动相关性的实证分析

进入新世纪以来,由于各种因素导致美元不断贬值,与此形成鲜明对比的是,石油价格一路飙升。那么,美元汇率和石油价格之间是否存在着某种因果关系呢?由于期货市场具有价格发现功能。本文以最具代表性的美国纽约商品交易所的原油期货价格为研究对象,分析美元贬值和石油价格之间的关系。本文首先定性分析美元贬值导致石油价格上涨的传导机制,然后利用模型对相关数据进行实证分析。研究结果表明,石油期货价格的上涨,除了有美元指数的影响之外,更重要的原因是前期石油期货价格上涨对本期石油期货价格上涨有正向的推动作用。     

美元影响油价的国际货币职能视角

本文发现美元对油价的影响在2001年前不明显,2001年后明显增强。针对这种现象,我们重新考察了美元对油价的影响机制。认为美元主要通过其在国际上承担的三种职能来影响油价,其中计价与价值储存效应为负,结算效应为正;2001年以前,价值储存效应比较弱,计价与结算两者效应一负一正倾向于相互抵消;而2001以后,价值储存效应明显加大,三种效应两负一正,美元对油价的负面影响显著提高。另外,分析表明中国因素不重要。     

Cointegration test of oil price and us dollar exchange rates for some oil dependent economies

This study examines the long-run dynamics between oil price and the bilateral US dollar exchange rates for a group of oil-dependent economies before and after the 2008–2009 Global Financial Crises. Exchange rates are for the euro, Indian rupee, Russian ruble, South African rand, Ghanaian cedi and the Nigerian naira. The dependence on crude oil of these economies is either because fiscal revenues are primarily reliant on oil export receipts or because industrial production is heavily dependent on petroleum. Empirical results show evidence of a long run equilibrium relationship between oil price and exchange rate, especially for currencies of the key oil-exporting countries. This relationship is more evident in the post crisis period, which is also the period when both exchange rate volatility and the inverse relationship between oil price and exchange rate experienced a significant increase.     

Modelling systemic price cojumps with Hawkes factor models

Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating portfolios of highly liquid stocks, we find that there are a large number of high-frequency cojumps. We show that the dynamics of these jumps is described neither by a multivariate Poisson nor by a multivariate Hawkes model. We introduce a Hawkes one-factor model which is able to capture simultaneously the time clustering of jumps and the high synchronization of jumps across assets.     

Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market

Motivated by the recent currency crisis in Turkey, we investigate the role of portfolio flows and heterogeneous expectations on the high frequency stochastic jump behavior of the US dollar value against the Turkish lira, one of the most traded emerging market currencies in the world. We group the detected jumps into different types with respect to their direction (up and down) and timing (local and off-shore trading hours). For each type of jumps, we examine their relation with portfolio flows (in the form of equity and bond flows, and carry trade activity), and dispersion in beliefs for the future exchange rate level and key macroeconomic variables. We find that inflows to both equity and bond markets, and increasing carry trade activity significantly reduce the size of jumps and (partially) their intensity. On the other hand, heterogeneous expectations for the future exchange rate level, consumer price index and gross domestic product are found to increase the number of jumps and the average jump size.     

Systematic risk, and oil price and exchange rate sensitivities in Asia-Pacific stock markets

This paper examines the relationship between beta risk and realized stock index return in the presence of oil and exchange rate sensitivities for 15 countries in the Asia-Pacific region using the international factor model. Thirteen of the 15 countries have the expected beta signs and show significant sensitivity to domestic risk when the world stock market is in both up and down modes. In terms of oil sensitivity, only the Philippines and South Korea are oil-sensitive to changes in the oil price in the short run, when the price is expressed in local currency only. Basically no country shows sensitivity to oil price measured in US dollar regardless whether the oil market is up or down. Nine countries are affected by changes in the exchange rate. In terms of relative factor sensitivity distribution, one is willing to conclude that these stock markets are more conditionally sensitive to local currency oil price changes than to beta risk wherever the relationships are significant.     

Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks

Oil markets are subject to extreme shocks (e.g. Iraq’s invasion of Kuwait), causing the oil market price exhibits extreme movements, called jumps (or spikes). These jumps pose challenges on oil market volatility forecasting using conventional volatility dynamic models (e.g. GARCH model) This paper characterizes dynamics of jumps in oil market price using high frequency data from three perspectives: the probability (or intensity) of jump occurrence, the sign (e.g. positive or negative) of jumps, and the concurrence with stock market jumps. And then, the paper exploits predictive ability of these jump-related information for oil market volatility forecasting under the mixed data sampling (MIDAS) modeling framework. Our empirical results show that augmenting standard MIDAS model using the three jump-related information significantly improves the accuracy of oil market volatility forecasting. The jump intensity and negative jump size are particularly useful for predicting future oil volatility. These results are widely consistent across a variety of robustness tests. This work provides new insights on how to forecast oil market volatility in the presence of extreme shocks.     

国际金融市场与国际原油期货市场溢出效应实证检验——基于VAR-BEKK模型的分析

文章通过构建VAR模型和BEKK模型对道琼斯股票市场、美元/欧元汇率市场与国际原油期货市场的动态关系进行了实证检验。结果表明：道琼斯股票市场与WTI原油期货市场存在双向的价格溢出效应,以及前者向后者的单向波动溢出效应;美元/欧元汇率市场存在向WTI原油期货市场单向的价格溢出效应和波动溢出效应。所以,国际原油期货市场与国际金融市场联系紧密,国际原油的金融属性日益体现,其价格变动更多受外部国际金融市场风险影响。     

Nonlinear effects of climate policy uncertainty and financial speculation on the global prices of oil and gas

With the acceleration of global energy transition and financialization, intense climate policy uncertainty and financial speculation have significant impacts on the global energy market. This paper uses TVP-VAR-SV models to analyze the nonlinear effects of climate policy uncertainty (CPU), financial speculation, economic activity, and US dollar exchange rate on global prices of crude oil and natural gas respectively, and then compare the time-varying response of oil prices and gas prices to six representative CPU peaks. The results show that responses of energy prices to various shocks have significant nonlinear effects: the time-varying effect of CPU on energy prices from positive to negative over time is significant, and financial speculation has the opposite effects on oil and gas prices. The effect from economic activity is mainly positive, while the effects of US dollar exchange are negative and stable. These results provide important implications for policymakers and investors dealing with high levels of climate policy uncertainty, financial speculation, and global economic activity.