美元指数与原油价格暴涨暴跌的交互刺激研究
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摘要
采用具有相互刺激特征的Hawkes过程探究美元指数与原油价格暴涨暴跌的交互刺激作用。结果表明:在暴涨暴跌幅度均服从广义帕累托分布的基础上,Hawkes过程对美元指数与原油价格的暴涨暴跌均拟合得较好;美元指数和原油价格的暴涨暴跌具有明显的自我刺激效应,且原油价格的暴涨暴跌会单向刺激美元指数暴涨暴跌的发生,即交叉刺激效应具有非对称性。同时,实证发现Hawkes过程对美元指数与原油价格的暴涨暴跌的预测能力要优于泊松过程。
This paper uses the Hawkes process with self-excitement and cross-excitement features to explore the cross-excitement effects between the jumps and slumps of the US dollar index and crude oil price.The results show that the Hawkes process can well describe the occurrences of the jumps and the slumps of the US dollar index and the crude oil price,when the sizes of the jumps and the slumps are fitted by the general Pareto distribution.Besides,it is obvious that there exists the self-excitement effect of the jumps and slumps of the US dollar index as well as the crude oil price;the occurrence of an extreme event in crude oil price will stimulate the extreme events to occur in the US dollar index,that is,the cross-excitement effect is asymmetric.Finally,we find that the Hawkes process is advantageous over the Poisson process in predicting the jumps and slumps of the US dollar index and crude oil prices.
This paper uses the Hawkes process with self-excitement and cross-excitement features to explore the cross-excitement effects between the jumps and slumps of the US dollar index and crude oil price.The results show that the Hawkes process can well describe the occurrences of the jumps and the slumps of the US dollar index and the crude oil price,when the sizes of the jumps and the slumps are fitted by the general Pareto distribution.Besides,it is obvious that there exists the self-excitement effect of the jumps and slumps of the US dollar index as well as the crude oil price;the occurrence of an extreme event in crude oil price will stimulate the extreme events to occur in the US dollar index,that is,the cross-excitement effect is asymmetric.Finally,we find that the Hawkes process is advantageous over the Poisson process in predicting the jumps and slumps of the US dollar index and crude oil prices.
引文
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[14]Li X P,Zhou C Y,Wu C F.Jump spillover between oil prices and exchange rates[J].Physica A:Statistical Mechanics and its Applications,2017,486:656-667.
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[22]胡根华.金融市场波动跳跃、跳跃相依与跳跃风险:基于股指高频数据的研究[J].统计与信息论坛,2017,32(11):34-41.
[23]沐年国.GARCH-Jump模型对跳行为捕捉能力的讨论[J].上海理工大学学报,2007(1):32-36.
[24]Hawkes A G.Spectra of some self-exciting and mutually exciting point processes[J].Biometrika,1971,58(1):83-90.
[25]Chavez-Demoulin V,McGill J A.High-frequency financial data modeling using Hawkes processes[J].Journal of Banking&Finance,2012,36(12):3415-3426.
[26]Bormetti G,Calcagnile L M,Treccani M,Corsi F,Marmi S,Lillo F.Modelling systemic price cojumps with Hawkes factor models[J].Quantitative Finance,2015,15(7):1137-1156.
[27]Coles S,Bawa J,Trenner L,Dorazio P.An introduction to statistical modeling of extreme values[M].London:Springer,2001.
[28]Daley D J,Vere-Jones D.An introduction to the theory of point processes:volume II:general theory and structure[M].Berlin:Springer Science&Business Media,2007.
[29]Aǐt-Sahalia Y,Cacho-Diaz J,Laeven R J A.Modeling financial contagion using mutually exciting jump processes[J].Journal of Financial Economics,2015,117(3):585-606.
[30]Chavez-Demoulin V,Davison A C,McNeil A J.Estimating value-at-risk:apoint process approach[J].Quantitative Finance,2005,5(2):227-234.
[2] Breitenfellner A,Cuaresma J C.Crude oil prices and the USD/EUR exchange rate[J].Monetary Policy&The Economy,2008(4):102-121.
[3] Novotny F.The link between the Brent crude oil price and the US dollar exchange rate[J].Prague Economic Papers,2012,(2):220-232.
[4] Bhar R,Malliaris A G.Oil prices and the impact of the financial crisis of 2007-2009[J].Energy Economics,2011,33(6):1049-1054.
[5]李治国,杨俊杰,裴辉.国际原油价格、黄金价格与美元指数的互动关系研究[J].价格理论与实践,2012(1):66-67.
[6] Reboredo J C,Rivera-Castro M A,Zebende G F.Oil and US dollar exchange rate dependence:A detrended cross-correlation approach[J].Energy Economics,2014,42:132-139.
[7]吴丽丽.美元指数与原油价格的相关关系研究[J].价格理论与实践,2015(3):78-80.
[8]张倩,张款慧.基于MGARCH-BEKK模型的石油市场波动溢出效应研究[J].统计与决策,2013(13):130-132.
[9]林征,林雅娜,黄晓玲.黄金、美元、石油市场间溢出效应研究——基于3元BEKK-GARCH模型的实证分析[J].经济研究导刊,2015(11):196-199.
[10]马郑玮,张宇擎,邹良萍,蔡天娇.国际石油价格与美元指数的相关关系研究[J].价格理论与实践,2016(1):133-135.
[11]郭名媛,蒲赢健.基于CARRX模型的NYMEX原油价格和美元指数的波动溢出研究[J].甘肃科学学报,2016,28(3):109-112.
[12]叶五一,张浩,缪柏其.石油和汇率间风险溢出效应分析——基于MV-CAViaR模型[J].系统工程学报,2018,33(1):55-64.
[13]Zhang Y J,Fan Y,Tsai H T,Wei Y N.Spillover effect of US dollar exchange rate on oil prices[J].Journal of Policy Modeling,2008,30(6):973-991.
[14]Li X P,Zhou C Y,Wu C F.Jump spillover between oil prices and exchange rates[J].Physica A:Statistical Mechanics and its Applications,2017,486:656-667.
[15]Jorion P.On jump processes in the foreign exchange and stock markets[J].The Review of Financial Studies,1988,1(4):427-445.
[16]Vlaar P J G,Palm F C.The message in weekly exchange rates in the European monetary system:mean reversion,conditional heteroscedasticity,and jumps[J].Journal of Business&Economic Statistics,1993,11(3):351-360.
[17] Daal E,Naka A,Yu J S.Volatility clustering,leverage effects,and jump dynamics in the US and emerging Asian equity markets[J].Journal of Banking&Finance,2007,31(9):2751-2769.
[18]陈浪南,孙坚强.股票市场资产收益的跳跃行为研究[J].经济研究,2010,45(4):54-66.
[19]Andersen T G,Bollerslev T,Diebold F X,Ebens H.The distribution of realized stock return volatility[J].Journal of Financial Economics,2001,61(1):43-76.
[20]Andersen T G,Bollerslev T,Diebold F X.Roughing it up:Including jump components in the measurement,modeling,and forecasting of return volatility[J].The Review of Economics and Statistics,2007,89(4):701-720.
[21]柳会珍,顾岚,胡啸兵.极端波动、跳跃和尾部风险——基于已实现波动率的股票市场风险动态预测[J].数理统计与管理,2014,33(1):158-169.
[22]胡根华.金融市场波动跳跃、跳跃相依与跳跃风险:基于股指高频数据的研究[J].统计与信息论坛,2017,32(11):34-41.
[23]沐年国.GARCH-Jump模型对跳行为捕捉能力的讨论[J].上海理工大学学报,2007(1):32-36.
[24]Hawkes A G.Spectra of some self-exciting and mutually exciting point processes[J].Biometrika,1971,58(1):83-90.
[25]Chavez-Demoulin V,McGill J A.High-frequency financial data modeling using Hawkes processes[J].Journal of Banking&Finance,2012,36(12):3415-3426.
[26]Bormetti G,Calcagnile L M,Treccani M,Corsi F,Marmi S,Lillo F.Modelling systemic price cojumps with Hawkes factor models[J].Quantitative Finance,2015,15(7):1137-1156.
[27]Coles S,Bawa J,Trenner L,Dorazio P.An introduction to statistical modeling of extreme values[M].London:Springer,2001.
[28]Daley D J,Vere-Jones D.An introduction to the theory of point processes:volume II:general theory and structure[M].Berlin:Springer Science&Business Media,2007.
[29]Aǐt-Sahalia Y,Cacho-Diaz J,Laeven R J A.Modeling financial contagion using mutually exciting jump processes[J].Journal of Financial Economics,2015,117(3):585-606.
[30]Chavez-Demoulin V,Davison A C,McNeil A J.Estimating value-at-risk:apoint process approach[J].Quantitative Finance,2005,5(2):227-234.