王朝阳,陈宇峰,金曦.国际油价对中国新能源市场的传导效应研究[J].数量经济技术经济研究,2018,(4):131-146 |
国际油价对中国新能源市场的传导效应研究 |
Research on the Effect of International Oil Prices Pass-through onthe China‘s New Energy Market |
|
DOI: |
中文关键词: 国际油价 新能源股票价格 溢出效应 多元GARCH模型 |
英文关键词: International Oil Prices Stock Prices of New Energy Companies Spillover Effect Multiple GARCH Models |
基金项目:本文受到国家自然科学基金(71673250)、国家社会科学基金(15BJY161)、浙江省杰出青年科学基金(LR18G030001)、教育部人文重点研究基地重大项目(14JJD790019)、浙江省哲学社会科学基金(18NDJC184YB)等项目经费资助。 |
|
中文摘要: |
研究目标:探讨国际油价与中国新能源股票价格之间的波动溢出效应。研究方法:VAR模型和多元GARCH模型,包括BEKK模型、静态条件相关(CCC)模型和动态条件相关(DCC)模型。研究发现:国际油价对中国新能源股票价格存在单向的均值溢出效应,新能源股票价格对国际油价的变化比较敏感,而国际油价则基本不受中国新能源股票价格收益率变化的影响。研究创新:将以往研究中通常分别采用的VAR模型和多元GARCH模型相结合,运用于分析国际油价与新能源股票价格之间的溢出效应。研究价值:政府部门应通过征收能源税以及对企业进行补贴来支持中国新能源产业发展;市场投资者可利用本文计算出的波动率进行套期保值,降低价格波动的风险。 |
英文摘要: |
Research Objectives:The paper investigates the spillover effect between the volatility of Chinese new energy companies‘ stock prices and international oil prices. Research Methods:The paper uses VAR and multiple GARCH models, including BEEK model, CCC model and DCC model. Research Findings:There are one-way mean spillover effects of international oil prices to Chinese new energy stock prices; the stock prices of Chinese new energy companies are sensitive to the change of international oil prices, while the international oil prices are basically not affected by the change of Chinese new energy stock price. Research Innovations:The VAR model and the multiple GARCH models, which are commonly used separately in previous studies, are combined to analyze the spillover effect between the international oil price and the new energy stock price. Research Value:The government should support the development of new energy industry in China by imposing energy taxes and providing subsidies for enterprises. Investors may use the volatility rate calculated in the paper to hedge and reduce the risk of price fluctuation |
查看全文 |