上海原油期货与国际原油期货:联动机制和溢出效应

建立VECM—GARCH—BEKK—T模型,分析了上海原油期货价格与WTI、布伦特两大国际基准油价格之间的传导效应、均值溢出效应、波动溢出效应、BEKK交叉效应以及杠杆效应。研究发现,上海、WTI和布伦特原油期货三个市场存在显著的均值溢出和波动溢出效应。其中,上海原油期货上市重构了WTI和布伦特原油期货两个市场的均衡关系、主导影响因素、影响期限以及波动溢出效应;上海原油期货与国际油价有机联动,对WTI的正向影响要大于对布伦特的影响,但WTI、布伦特对上海的影响依然占主导地位。此外,短期内,当期上海原油期货价格与历史WTI和上海原油期货价格波动联系显著为正,而与历史布伦特原油期货价格则显著为负。因此,需要在持续提高上海原油期货参与者数量、提高国际参与度和认可度、完善原油期货区间波段管理机制、提升原油期货交易量、加快人民币国际化进程等方面努力。

Shanghai Crude Oil Futures and International Crude Oil Futures: Linkage Mechanism and Spillover Effect

A VECM - GARCH - BEKK - T model is established to analyze the transmission effect, mean spillover effect, volatility spillover effect, BEKK cross effect and leverage effect between Shanghai crude oil futures price and WTI and Brent. It is found that Shanghai, WTI and Brent crude oil futures markets have significant mean spillover and volatility spillover effects. Among them, the listing of Shanghai crude oil futures reconstructed the equilibrium relationship, dominant influencing factors, influencing duration and volatility spillover effect of WTI and Brent crude oil futures markets. The organic linkage between Shanghai crude oil futures and international oil prices has a greater positive impact on WTI than on Brent, but the impact of WTI and Brent on Shanghai is still dominant. In addition, in the short term, the correlation between current Shanghai crude oil futures price and historical WTI and Shanghai crude oil futures price volatility is significantly positive, while that with historical Brent crude oil futures price is significantly negative. Therefore, efforts should be made to continuously increase the number of participants in Shanghai crude oil futures, enhance international participation and recognition, improve the management mechanism of oil futures band range, enhance the trading volume of oil futures, and accelerate the process of RMB internationalization.