基于Copula-GARCH模型的原油市场和股票市场相关性研究

由于原油市场和股票市场之间的联动性日益增强,因此研究两个市场之间的关联特征,分析原油价格波动对股市的影响,有助于规避风险,保证经济持续平稳地增长.采用Copula-GARCH模型对WTI原油价格的收益率序列和NASDAQ股指的收益率序列进行实证分析.结果表明,GARCH(1,1)-t模型拟合两个序列的条件边缘分布效果最好,时变SJC Copula模型比常相关Copula模型能更好地刻画两个市场之间的相关关系.两个收益率序列之间存在正的相关关系,且相关关系具有时变性,相关结构具有一定的不对称性,上尾相关系数小于下尾相关系数,即两个市场同时出现价格极端下跌的可能性更大.这为中国金融市场风险管理,规避油价波动对股市的冲击提供一定的参考依据.     

Oil Price Shocks and the Credit Default Swap Market

We investigate the impact of supply and demand shocks in the global crude oil market on the CDX spread, in the context of a structural VAR model based on monthly data, over the period from November 2003 to October 2015. We find that the reaction of the CDX spread to changes in the real price of crude oil differs considerably depending on the sources of shocks. In the long run, crude oil supply shocks, aggregate demand shocks, and oil-specific demand shocks together account for nearly 90% of the variation of the CDX spread.     

印度扩展非洲石油市场份额的策略

经济快速发展导致的能源需求大增以及国内石油资源储产量有限无法满足需要的现实,加剧了印度对海外石油的依赖,石油外交成为新时期印度维护石油供给安全的主要路径选择。随着非洲石油资源储产量的持续上升,在世界石油供给市场上作用的凸现,非洲成为印度新时期石油外交的重点地区之一。探究印度在非洲石油外交的背景、路径、成效及挑战,对客观评价印度对非洲石油外交的态势以及印非关系现状定有裨益。     

煤炭行业的发展及其润滑油市场的开发

通过对国内煤炭行业基本状况、未来发展趋势和润滑油脂应用现状的分析,就如何运用现代营销手段与服务方式来开发维护煤炭行业这一巨大润滑油市场进行了讨论,认为润滑油行业应帮助煤炭行业建立完善的润滑管理体系,并与煤炭行业强技术领域合作,共同开发新产品及推进用油国产化。下游产品开发是煤炭行业今后重要的利润增长点,近期发展迅速,润滑油行业应密切关注其相关产业链设备的引进情况,及时提供所需润滑油品。     

Competition and Local Market Conditions on the Belgian Retail Gasoline Market

The Belgian retail gasoline network is one of the densest in the world and is characterised by a maximum price agreement between the government and the oil industry. Using price data covering almost 500 points of sale located all over Belgium, the price competition among Belgian gas stations is analysed. We observe that stations located along a highway always charge the maximum price. On local markets that are sufficiently competitive, prices are below the maximum price. The analysis further suggests that the number of local competitors does not have a large impact on retail gasoline prices. However, competition is fiercer in the presence of independent gasoline retailers.     

Reinvestigating the Oil Price–Stock Market Nexus: Evidence from Chinese Industry Stock Returns

The present study investigates the influence of international oil prices on China's stock market returns across 29 different industries. The paper attempts to account for any structural breaks and nonlinearity in this relationship. The results reveal that the effect of changes in the international price of oil on stock returns differs substantially across industries. The stock returns of the coal, chemical, mining and oil industries are found to be positively affected by crude oil price movements. Conversely, electronics, food manufacturing, general equipment, pharmaceuticals, retail, rubber and vehicle industries are found to be negatively affected by movements in the price of crude oil. The results of the estimations also suggest that the majority of Chinese industries have been significantly affected by oil prices since 2004. The influence of international oil prices on Chinese stocks also has a stronger effect in the presence of high volatility but the effect varies across industries.     

粮食能源化趋势的市场效应及其应对

近年来,石油短缺、油价昂贵导致世界生物能源产业,如燃料乙醇产业迅猛扩张。而乙醇产量的迅猛增长,消耗了大量粮食类农产品(特别是玉米),从而造成全球性的"粮食能源化"问题。为应对能源危机和粮食危机的同时出现,我国应调整燃料乙醇的原料结构,采用非口粮类能源作物、庄稼废料、城市垃圾等,实现能源与粮食的双丰收,推动经济社会的可持续发展。     

后WTO时代如何应对成品油终端销售市场竞争

文章对当前我国石油成品油终端销售市场格局做了简要分析。针对国外石油巨头进入中国市场对我国成品油市场产生的影响提出了应对市场变化的措施。     

A Price-Earnings Index for the Danish Stock Market

Abstract

Price-earnings ratios are part of the toolkit used for assessing the valuation of individual firms on the stock market as well as the entire market itself. This paper presents consistent P/E series for the liquid Danish shares adjusted for share buy-backs. The results show that over the period from 1969 to 2003, the average (trailing) P/E equals 13.5. The P/E reaches its lowest level in 1980, which is likely to be due to a soaring oil price, high wage increases and interest rates approaching 20 per cent. Notwithstanding optimistic equity pricing also in Denmark in the late 1990s, the upturn in Danish valuations was more moderate than in the USA. The subsequent correction that set in reversed essentially the gains in the Danish P/E in the 1990s.     

流动性风险和市场风险相依性下期货动态风险研究

文章从期货品种的流动性和合约的流动性视角出发,采用了一种新的综合性流动性指标L’,考虑流动性风险与市场风险的相关性,将流动性风险纳入GARCH—VaR模型中,并应用于交易保证金的动态设置。采用了豆油期货数据,分剐实证了不考虑流动性风险、考虑流动性指标L（Demsetz模型）和考虑流动性指标L＇（新的综合性流动性指标）的动态期货交易保证金模型,结果表明,考虑流动性指标L＇的模型不仅在覆盖风险上优于另两种模型,也在降低保证金收取水平上占优势,是相对合理全面的动态交易保证金模型。     

Models for Predicting Prices in the Moscow Residential Real Estate Market

The paper presents the results of modeling the pricing mechanism in the residential real estate market (by using Moscow as an example). The key factors that influence the monthly and annual dynamics of real estate prices are revealed; their quantitative impact is assessed using regression analysis methods. The close dependence of the real estate price on the change in the US dollar-ruble exchange rate in a monthly model with a distributed lag is revealed. In the annual model, the best explanatory force is possessed by factors such as the dynamics of the Urals oil prices and the change in the average cost of basic materials, parts, and structures purchased by construction companies in the current year. The study also proposes a new indicator, which, is believed by the authors to approximate the change in the propensity to save in high-income groups of the population.     

美国金融危机对俄罗斯经济及房地产市场的影响

美国金融危机已经蔓延到俄罗斯,不仅冲击着金融体系,还波及到包括油气、冶金、汽车、建筑、房地产等行业在内的实体经济。由于金融系统流动性不足,进入2008年下半年以来,俄罗斯房地产市场已出现拐点。预计在未来2～3年内,受经济增速放缓、高通货膨胀率、卢布贬值等不利影响,房价将步入下行通道,但政府救市措施的出台、居民需求刚性、高建设成本等因素将使得房价不会急剧无量下跃。     

市场资产与市场绩效

以品牌和企业名称为核心的市场资产不仅将特定的企业及其产品和其他的企业,产品明确地区分开来了,而且向顾客传递了商品的质量信息,提高了市场绩效,给其所有者带来了丰厚的超额利闪园利益,本文以博弈论为基本工具,采取对比的方法对此进行了揭示。     

The Competitive Impact of International Trade: The Case of Import Liberalization of the Japanese Oil Product Market

This paper analyzes the competitive impact of the recent import liberalization of the Japanese oil product market. In response to the import liberalization in March 1996, not only did the market price of gasoline decline sharply but also its domestic production kept rising and did not decline relative to imports. Moreover, its price fell substantially before the actual liberalization of the import. This paper demonstrates both theoretically and empirically that the theory of implicit cartel can explain such features of the impact of import liberalization very well. The paper also identifies the significantly positive welfare impact of such liberalization due to the expansion of supply in a market with a large tax wedge between price and cost and, possibly more importantly, due to the transformation of competitive conduct from unproductive investment for cartel-rent shifting into price cuts. J. Japan. Int. Econ., December 1999, 13(4), pp. 397–423. Hitotsubashi University; and Keio University. Copyright 1999 Academic Press.Journal of Economic Literature Classification Numbers: L40, F12, K21.     

中国股票市场、基金市场及国债市场间的协整关系研究

文章以上证综合指数、上证基金指数和上证国债指数为研究对象，通过协整检验、误差修正模型和因果关系检验考察中国股票市场、基金市场和国债市场在股市由下跌向上扬过渡行情中的长期均衡关系及短期波动的影响，研究中国股票市场、基金市场和国债市场的运行相关性特征。     

开放市场体系下市场准入机制的建立

改革开放初期,中国的外汇储备仅有几千万美元,到2006年,中国的外汇储备已接近一万亿,成为全球外汇储备额最高的国家。同时,中国经济对外贸的依存度也由最初的5%左右上升到今天的60%以上,特别是出口依存度始终高于进口依存度十个百分点以上,在上海、深圳、广州、温州等城市,外贸     

原生市场、转型市场与经济特区——兼论经济特区的性质

原生市场起源的内在规律同样支配着转型时期市场经济的形成.市场内在化起源于共同体的边界和尽头,特区模式是我国非均衡、渐进式对外开放和转型市场形成的帕累托改进.作为内地共同体的"人拟边界",特区充当了共同体与外部世界的"市场集聚地"和"交换中介".而作为"公共产品",特区既要为转型市场提供试验,又需迅速成为渐进市场化"诱致极点".特区功能的实现取决于旧体制能否生产出具有"改革家精神"的"改革家".因为"改革家"是中国式转型经济的独特增长要素,是"经济增长的国王".     

艺术品市场供给锁定型市场结构研究

]艺术品和其它商品一样都具备商品的基本属性——使用价值和价值,但作为商品的艺术品区别于一般的商品,受艺术品本身因素和艺术品外部因素影响,其价格形成与波动具有特殊性。通过对艺术品市场的研究,发现艺术品价格形成与波动的原因,不仅与艺术品本身的价值以及投资者行为有关,更重要的是与艺术品市场的市场结构有关。艺术品市场不是完全竞争市场,也不是一般的垄断市场,而是一种特殊的市场结构——供给锁定型市场。     

扩大内需应充分利用市场功能

扩大内需在进一步降低政府干预,充分利用市场功能的基础上进行,才有可能实现最优的配置和安排;而脱离市场,人为扩大消费的政策实不足取。这是本文对上一轮经济周期和第一次扩大内需政策分析得出的主要结论。为推动扩大内需战略的实施,公共政策需要做出相应的调整:加快财政制度改革,政府承担起提供公共消费品的责任;转变政府职能、构建公共服务型政府及完善宏观调控等。