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“石油-美元”动态关联的时变特征及影响因素研究 认领

Time-Varying Characteristics and Influencing Factors of“Oil-Dollar”Dynamic Correlation
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摘要 本文基于原油的商品和金融双重属性,系统剖析"石油-美元"动态关联的理论机制,并采用DCC-GARCH和门限回归方法实证检验"石油-美元"动态关联的时变特征及影响因素。结果表明:第一,"石油-美元"联动关系具有明显的时变特征,2000年以前相关系数在0值上下波动,2000年以后则长期显著为负。第二,原油金融属性增强、美元资产价格上涨和全球金融市场风险厌恶水平上升会产生"石油-美元"负向联动关系。第三,2000年以后原油金融属性大幅增强,既凸显了美元基于价值贮藏作用对油价的直接负向影响,又进一步增强了"石油-美元"间基于美元资产价格和金融市场风险厌恶水平变动的间接负向联动机制,成为导致"石油-美元"联动关系长期显著为负的主要原因。本文的研究对深入理解国际原油价格波动机理,以及科学研判油价走势并制定有效的能源风险管理策略具有重要启示。 The“oil-dollar”relationship is a key variable that affects the global political economy. For a long time, the “oil-dollar”relationship has not only been an important topic in the field of finance, but also a concern of global producers, investors and policymakers. The purpose of this study is to investigate the time-varying characteristics and influencing factors of the dynamic“oil-dollar”relationship. Based on the perspective of crude oil's commodity and finance dual attributes, this study systematically analyzes the theoretical mechanism of the“oil-dollar”dynamic correlation, and uses the DCC-GARCH model to examine the dynamic characteristics of the“oil-dollar”relationship, and further adopt the threshold regression to test the influencing factors of the “oil-dollar”relationship. The results show that the“oil-dollar”relation has undergone significant structural change in 2000. The“oil-dollar”correlation coefficient fluctuated around 0 before 2000, while after 2000, it has been consistently negative. The strengthening of the financial attribute of crude oil is an important reason for the structural change. Since 2000, the financial attribute of crude oil has been greatly enhanced, which not only highlighted the direct negative impact of the dollar exchange rate on oil prices via portfolio effect, but also further enhanced the indirect negative“oil-dollar”linkage via the changes in dollar-asset prices and in financial market risk aversion. The contributions of this study are as follows. Firstly, the paper analyzes the theoretical linkage between dollar exchange rate and oil prices, including the denomination, settlement and portfolio effects of dollar exchange rate on oil prices, the terms-of-trade and petrodollars recycling effects of oil prices on dollar exchange rate, and the indirect linkage between the two via the changes in third variable. Secondly, based on the perspective of the dual attributes of crude oil, the paper provides a theoretical explanation for the consisten
作者 王盼盼 夏婷 石建勋 何宗武 Wang Panpan;Xia Ting;Shi Jianxun;He Zongwu(School of Finance,Zhejiang Gongshang University;School of Finance,Guangdong University of Finance&Economics;School of Economics and Management,Tongji University;Graduate Institute of Global Business and Strategy,National Taiwan Normal University)
出处 《国际金融研究》 CSSCI 北大核心 2020年第11期35-44,共10页 Studies of International Finance
基金 浙江省哲学社会科学规划重点课题“政策不确定性与资产价格波动:来自中国外汇市场的证据”(21NDJC011Z) 浙江省自然科学基金项目“人民币汇率市场化进程中的汇率非线性波动机理、影响因素及预测研究”(LQ21G030005)资助。
关键词 美元汇率 原油价格 动态关联 DCC-GARCH 门限回归 Dollar Currency Rate Crude Oil Price Dynamic Correlation DCC-GARCH Threshold Regression
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