三大原油市場之動態關連性探討

The Study of Dynamic Relationship of Three Crude Oil Markets

林惠娜(Hui-Na Lin) ； 鄭婉秀(Wan-Hsiu Cheng) ； 陳坤宏(Kun-Hong Chen)

《真理財經學報》 16期 (2007/06) Pp. 71-91

https://doi.org/10.29963/TOJEB.200706.0004

摘要

本文結合VAR與多變量GARCH模型分析西德州、布蘭特與杜拜等三大原油市場之動態關係，並將樣本期間區隔成起漲前與起漲後兩大區間，深入分析三者間之動態關係，最後並利用衝擊反應函數分析市場反映資訊的情形。實證研究發現在報酬方面，布蘭特原油與西德州原油報酬之相互影響程度較強烈，且兩者之相互影響力在油價起漲後增加；杜拜原油報酬對其於兩原油市場之影響力較弱。在波動性方面，大漲後油價波動性明顯增加，起漲前以西德州原油之波動性最首，起漲後則以杜拜原油之波動性居首。另外，在外溢效果方面，油價大漲前個別市場之未預期衝擊皆對另一市場之波動多產生正向影響，但油價大漲後，結果產生不一致的情形。最後，在衝擊反應函數部分，本文發現在油價大漲後，各原油市場面對其他或自身市場衝擊的反應期間均拉長，明顯高於大漲前的反應期間。由此證明油價大漲前後動態關係之差異性極大，值得做為市場參與者參考。

關鍵字

原油 ； 外溢效果 ； 多變量GARCH ； 衝擊反應函數

並列摘要

This study analyze the dynamic relationships among three crude oil markets, including West Texas, Brent, and Dubai, by using VAR and multivariate GARCH model. The sample period is divided into two sub-periods of before-uptrend and uptrend period for investigating the dynamic relationships. Also, the impulse response function is used to analyze the markets' reflection while facing the unexpected innovations from other markets. The empirical results show that the strong relationship appears between the return of Brent oil and West Texas oil especially during uptrend period, whereas the relative weakly relationship between Dubai oil returns and other else. Moreover, the volatility is increasing in uptrend period. The volatility of West Taxes and Dubai oil is the greatest in before-uptrend and uptrend period respectively. Furthermore, the spillover effects are positive between each of two markets in before-uptrend period, however the effects become inconsistent in uptrend period. Finally, in the results of impulse response functions, this paper finds that the length period of reactions are longer while facing any unexpected innovation during uptrend period. In conclusion, the dynamic relationships are significantly different in before-uptrend and uptrend periods, and all the results are worth to be references for market participations.

並列關鍵字

Crude oil ； Spillover effect ； Multivariate GARCH ； Impulse response function

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