Threshold Cointegration and Dynamics of Crude Oil Futures Volatility and Financial Speculation

本文以門檻向量誤差修正模型（TVECM）探討紐約商品交易所（NYMEX）原油期貨波動性和投機之間門檻共整合動態關係。門檻的區間係由模型內生決定，並定義誤差修正項在門檻下（上）之（非）一般區間。我們以原油期貨交易量相對未平倉合約數作為投機變數。此外，以原油期貨報酬絕對值與高低價差分別作為波動衡量變數。實證結果顯示，在二個門檻區間，原油期貨波動和投機各自朝向長期均衡有不同的調整速度以及顯著不對稱性結果。此外，我們也發現誤差修正項在門檻下之一般區間，除報酬絕對值波動受投機影響外，波動影響投機的單向因果關係，表示市場具有相對效率。而誤差修正項在門檻上之非一般區間，兩者有回饋現象，代表市場不穩定的惡化現象，具有緩和的傾向。整體上，雖然紐約商品交易所（NYMEX）的原油期貨市場存在門檻效果，但現有制度使原油期貨市場展現大致良好的效率性。

關鍵字

金融性投機；原油期貨波動；門檻共整合；因果相關；市場不穩定

並列摘要

This paper investigates threshold cointegration and dynamics of New York Mercantile Exchange (NYMEX) crude oil futures volatility and speculation in the framework of a threshold vector error correction model (TVECM). Two regimes are determined by the model and divided into the usual and unusual regime. We use the ratio of volume over open interest as speculation variable while we consider two volatilities measures, absolute return and high-low volatilities. Our findings present different and strong asymmetric error correction effects of volatility and speculation in the speed of adjustment to the long-run equilibrium in two regimes. In addition of speculation leading volatility based on former measure, speculation following volatility is found in the usual regime, suggesting relative market efficient. Bidirectional causalities of speculation and different volatilities measures in the unusual regime suggest that market instability mitigated in the unusual regime. In sum, crude oil futures markets seem to work well with the existence of threshold cointegration.

並列關鍵字

Financial Speculation ； Crude Oil Futures Volatility ； Threshold Cointegration ； Granger Causality ； Market Instability

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