金融海嘯前後三大原油市場動態關聯性

Abstract

金融海嘯以來，造成全球景氣急凍，股市及商品投資也產生結構性的轉變，原油市場中西德州原油價格走勢由長期對布蘭特原油的正價差，轉為逆價差走勢，價格的偏離可能使政府、跨國公司，甚至個人投資更難預測能源成本，經濟預測也可能因此出現問題。本文為瞭解金融海嘯前後三大原油市場之動態關係，以2008年10月隔成兩大區間，並採用VAR(4)-MVGRACH(1,1)-BEKK模型分析西德州原油、布蘭特原油與杜拜原油現貨報酬率之間的動態關係。 實證研究發現在平均報酬率方面，三者差距明顯在金融海嘯後擴大；報酬率標準差在海嘯後僅西德州原油市場單獨顯著增加，顯示報酬率波動度上升，也反應在VAR自身落後期中負向影響當期報酬率轉變成金融海嘯後正向的影響；報酬外溢中，西德州與布蘭特原油報酬相互影響程度較強烈，杜拜原油與布蘭特原油報酬次之，西德州與杜拜原油報酬最弱；其中發現杜拜原油市場報酬在金融海嘯後受到其餘兩市場報酬影響增加；西德州原油報酬受到布蘭特原油報酬影響在金融海嘯後降低；杜拜原油報酬對西德州原油報酬影響也在金融海嘯後增加。 波動外溢效果方面，金融海嘯前，布蘭特原油報酬波動的GARCH效應最明顯，杜拜原油報酬波動的ARCH效應最明顯；海嘯後以杜拜原油報酬波動的GARCH效應最明顯，西德州原油報酬波動的ARCH效應最明顯。最後在衝擊反應函數部分，金融海嘯後油價的衝擊反應期間均明顯拉長，大致由海嘯前平均10天反應期拉長為平均20天；而西德州原油報酬反應在面對布蘭特原油市場衝擊時，反應明顯於金融海嘯後降低，而面對來自自身市場衝擊時，西德州原油報酬反應明顯在海嘯後增加。研究證明金融海嘯前後原油報酬動態關係差異性極大，值得做為市場參與者參考。

The global boom freeze since the financial tsunmai has resulted in structural changes in the stock market and commodity investment, whereas the movement of crude oil prices for West Texas Intermediate in the petroleum market has shifted from the long-term Brent crude oil contango to the backwardation trend. The price deviation could result in more difficulties with the prediction of energy costs for government, multinational corporations and even individual investments. As result, there may be problems with the economic forecasts. The paper in intended to understand the relationship between the movements in the three crude oil markets by separating October 2008 into two intervals, adopting VAR(4)-MVGRACH(1,1)-BEKK model to analyze the movements between return of spots in West Texas Intermediate, Brent Crude Oil and Dubai Crude Oil return of spot. Empirical studies show that the average returns between the three significantly expanded after the financial tsunmai, whereas only the standard deviation for the rate of return in West Texas Intermediate significantly increased after the financial tsunmai, indicating a rise in the return volatility and reflecting the VAR’s own lags negatively affecting the current rate of return has transformed to a positive influence after the financial crisis. The returns on West Texas Intermediate and Brent Crude Oil affect each other intensively in the return spillover effect, followed by the return on Dubai Crude Oil and Brent Crude Oil, whereas the return on West Texas Intermediate and Dubai Crude Oil appeared to be weakest. In which, Dubai Crude Oil return was increased subject to the influence from the remaining two market returns after the financial crisis. The West Texas Intermediate Crude Oil was also reduced subject to the influence of Brent Crude Oil after the financial tsunmai. The influence of Dubai Crude Oil return on West Texas Crude oil also increased after the financial tsunmai. With regards to volatility spillover effect, the GARCH effect was most significant on the Brent Crude Oil return volatility before the financial tsunmai, the ARCH effect was most significant, on the Dubai Crude Oil, the GARCH effect was most significant, on the Dubai Crude Oil after the financial tsunmai, and the ARCH effect was most significant on West Texas Crude Oil return volatility. Finally with regards to the impulse response functions, the impulse response period of oil prices after the financial crisis was significantly extended, whereas the impulse response period extended from the average of 10 days before the financial tsunmai to the average of 20 days. When the West Texas Crude Oil return response faced with the impact from Brent Crude Oil Price, the response was significantly lowered after the financial tsunmai. The West Texas Crude oil return response was significantly increased after the financial tsunmai, when faced with the market impulse. The study showed that the difference of the movements between the relationship of crude oil return is extremely different and should be used as reference for market participants.