Quantitative Analysis of the Permanent and Transitory Components of Crude Oil Returns with the Unobserved Component Markov Switching Model

以無法觀測的項目馬可夫轉換模型分解國際原油價格報酬率的恆常項目及暫時性項目的變異狀態

陳仕偉(Shyh-Wei Chen) ； 林師模(Shih-Mo Lin) ； 秦宗春(Chun-Tsun Chin)

《中國統計學報》 51卷4期 (2013/12) Pp. 500-529

摘要

本文旨在探討Brent及WTI國際原油價格報酬率的動態行為，我們利用無法觀測的項目馬可夫轉換模型（the unobserved component Markov switching model，UC-MS），以1982－2011原油價格報酬率月資料進行實證分析。UC-MS模型的優點是允許我們分解異質波動的恆常項目及暫時性項目。實證結果顯示暫時性項目的變異程度顯著地小於恆常項目的變異程度，而且恆常項目及暫時性項目的高變異狀態持續期間很短，會很快地回復到一般的變異狀態。

關鍵字

原油 ； 恆常項目 ； 暫時性項目 ； 馬可夫轉換模型

並列摘要

In this paper, we examine the dynamics of crude oil returns using monthly data for the period 1982-2011. Our main innovation is that we examine the stochastic behavior of the returns of Brent and WTI crude oil by using the unobserved component Markov switching (UC-MS) model. This approach endogenously permits the volatility to switch as the date and regime change and allows us to decompose the permanent and transitory components of returns at monthly frequencies. The empirical evidence clearly shows that the overall variance of the transitory component is significantly smaller than the corresponding variance for the permanent component. The durations of the high-variance regimes for both the fundamental and transitory components are short-lived and revert to normal levels quickly.

並列關鍵字

crude oil ； permanent component ； transitory component ； Markov switching model

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