【摘要】 针对国际原油价格与天然气价格之间的相依性问题,提出了金融时间序列极端分位数回归模型,解决市场之间相依关系刻画问题。考虑到金融经济活动和极端危机事件可能会影响到原油和天然气市场之间的依赖程度,首先检测样本内的结构突变点,再引入虚拟变量,运用分位数回归理论时间序列模型进行实证分析。研究结果表明:国际原油价格与天然气价格之间存在动态相依关系,且在熊市和牛市期间两者之间均呈正相关,说明消费者和投资者在能源期货市场消费和投资行为存在显著的羊群效应;此外,原油价格波动引起天然气价格的变化在不同分位点表现出非对称效应,两者之间的动态相依关系受到极端金融危机事件和经济活动的影响,极端条件下依赖程度更强。更多还原

【Abstract】 This paper adopts an extreme quantile regression model of financial time series to explore the inter dependence between international crude oil price and natural gas price,comprehensively depicts the dependency relationship between the two markets.Considering the large international financial activities and the extreme crisis events which may affect the degree of dependence relationship between crude oil and natural gas market,we first detect the structural breaks within the sample,and then introduce dummy variables,use the quantile regression theory of time series model for empirical analysis.The results show that there is a dynamic correlation between the international crude oil price and the natural gas price,a positive correlation both in the bear market and the bull market,which shows that the consumption and investment behaviors of the consumers and investors in the energy future market are of significant Herd Effect.In addition,the price fluctuation of crude oil causes the change of natural gas price to show asymmetric effects at different quantiles.And the dynamic inter dependence between the two markets is related to the influence of extreme financial crisis or major economic activity.Under these extreme conditions,the degree of dependence is stronger.更多还原