Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice

能源市場與農產品市場之波動性外溢：對理論與應用的批判性評價

李怡穎(Li, Yi Ying)

指導教授 ： 馬可立

國立清華大學/科技管理學院/計量財務金融系/碩士(2015年)

https://doi.org/10.6843/NTHU.2015.00323

摘要

能源為影響全球經濟的關鍵因素，因此很多實證研究運用各種計量模型和研究方法，深入探討過主要能源商品之間的波動性外溢效果。類似的，文獻對於主要農產品之間的波動性外溢效果的研究也非常廣泛。隨著近年來環保成為全球性議題，以農產品為原料的生物乙醇和生物柴油等綠色能源也備受矚目，引領學界越來越多地關注並研究農產品市場與能源市場的波動性外溢效果，其中很多研究都發表在著名的學術週刊上。在這些研究中，波動性外溢的檢驗和估計主要採用BEKK與DCC兩種多元條件波動率模型。然而眾所周知，除非在特定假設之前提下，否則BEKK與DCC的QMLE（偽極大似然估計）均無漸進性質，故對於波動性外溢的統計檢驗相應亦是無效的。有鑑於此，本論文在對兩種多元條件波動率模型的隨機過程進行詳盡闡述基礎上，選取了近年發表的相關實證研究中的11篇，對這11篇研究從理論和應用兩個角度進行了批判性評價。此外，有別於過往研究中對波動性外溢效果的模糊定義，本文還原創性地定義了三種外溢效果，分別為full volatility, full covolatility spillovers, 以及 partial covolatility spillovers，並藉由此對如何運用有效的統計方法來檢驗外溢效果提出建議，對後續的外溢效果研究將是重要的參考依據。

關鍵字

能源市場 ； 農產品市場 ； 波動性外溢 ； 共動性外溢 ； 條件波動率模型 ； 外溢定義 ； BEKK ； DCC

並列摘要

Energy and agricultural commodities and markets have been examined extensively, albeit separately, for a number of years. In the energy literature, the returns, volatility and volatility spillovers (namely, the delayed effect of a returns shock in one asset on the subsequent volatility or covolatility in another asset), among alternative energy commodities, such as oil, gasoline and ethanol across different markets, have been analysed using a variety of univariate and multivariate models, estimation techniques, data sets, and time frequencies. A similar comment applies to the separate theoretical and empirical analysis of a wide range of agricultural commodities and markets. Given the recent interest and emphasis in bio-fuels and green energy, especially bio-ethanol, which is derived from a range of agricultural products, it is not surprising that there is a topical and developing literature on the spillovers between energy and agricultural markets. Modelling and testing spillovers between the energy and agricultural markets has typically been based on estimating multivariate conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi-Maximum Likelihood Estimates (QMLE) of a full BEKK matrix, which is typically estimated in examining volatility spillover effects, has no asymptotic properties, except by assumption, so that no statistical test of volatility spillovers is possible. Some papers in the literature have used the DCC model to test for volatility spillovers. However, it is well known in the financial econometrics literature that the DCC model has no regularity conditions, and that the QMLE of the parameters of DCC has no asymptotic properties, so that there is no valid statistical testing of volatility spillovers. The purpose of the paper is to evaluate the theory and practice in testing for volatility spillovers between energy and agricultural markets using the multivariate BEKK and DCC models, and to make recommendations as to how such spillovers might be tested using valid statistical techniques. Three new definitions of volatility and covolatility spillovers are given, and the different models used in empirical applications are evaluated in terms of the new definitions and statistical criteria.

並列關鍵字

Energy markets ； agricultural markets ； volatility spillovers ； covolatility spillovers ； conditional volatility models ； definitions of spillovers ； BEKK ； DCC

參考文獻

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