【摘要】：隨著能源金融一體化的不斷推進(jìn)，能源與金融的相互滲透融合對(duì)全球經(jīng)濟(jì)發(fā)展作用日趨明顯。尤其是兩個(gè)市場的反常波動(dòng)交互影響，相應(yīng)也給世界帶來了不可忽略的安全隱患。為了有效的防范這種風(fēng)險(xiǎn)，維護(hù)能源安全與金融穩(wěn)定，清晰認(rèn)識(shí)能源與金融市場是如何進(jìn)行價(jià)格信息交互傳導(dǎo)和影響顯得尤為重要。本文嘗試構(gòu)建以價(jià)格為主線的能源與金融市場的信息交互機(jī)制。 本文從價(jià)格的視角出發(fā)，對(duì)能源市場與金融市場的相關(guān)概念和理論進(jìn)行了界定和梳理。其中，能源市場以能源價(jià)格為核心展開討論，能源價(jià)格涵蓋了內(nèi)部能源價(jià)格和外部能源價(jià)格，而金融市場則從貨幣市場和資本市場兩個(gè)脈絡(luò)展開。從宏觀層面出發(fā)，基于實(shí)體經(jīng)濟(jì)的路徑討論分析能源與金融市場的價(jià)格信息交互機(jī)制。在此基礎(chǔ)上，分析了能源與金融市場的現(xiàn)實(shí)關(guān)聯(lián)，尤其是非穩(wěn)健條件下兩大市場的價(jià)格風(fēng)險(xiǎn)傳導(dǎo)路徑。 基于能源與金融市場的價(jià)格信息交互機(jī)制理論和現(xiàn)實(shí)關(guān)聯(lián)，選取1990年至2012年的相關(guān)數(shù)據(jù)為樣本期進(jìn)行實(shí)證研究。在利用灰色關(guān)聯(lián)度分析方法測(cè)算能源和金融市場價(jià)格信息的相關(guān)度基礎(chǔ)上，運(yùn)用協(xié)整方法、格蘭杰因果檢驗(yàn)、脈沖響應(yīng)函數(shù)和狀態(tài)空間模型等方法測(cè)量兩大市場單變量、單渠道的長期、短期、時(shí)變以及分時(shí)段效力，研究兩個(gè)市場的傳導(dǎo)方向與速度。并基于此，，進(jìn)一步采用系統(tǒng)動(dòng)力學(xué)的方法，構(gòu)建能源與金融市場的價(jià)格信息交互影響和多元反饋模型，以系統(tǒng)思考的觀點(diǎn)來界定機(jī)制的組織邊界、運(yùn)作及信息傳遞流程，構(gòu)建“金融市場—能源市場”的“大系統(tǒng)”。 最后，本文結(jié)合定性和定量分析結(jié)果，提出促進(jìn)能源與金融市場共生發(fā)展及重點(diǎn)防范兩大市場價(jià)格風(fēng)險(xiǎn)傳導(dǎo)的對(duì)策建議。囿于研究的不足，還提出了全面把握二者的關(guān)聯(lián)機(jī)理，構(gòu)建全面具體、切實(shí)可行的能源與金融市場風(fēng)險(xiǎn)傳染防范體系的期望。
[Abstract]:With the development of the integration of energy and finance, the mutual penetration of energy and finance plays an increasingly important role in the development of global economy. In particular, the abnormal fluctuations of the two markets interact with each other and bring the world a potential security hazard. In order to effectively prevent this kind of risk, maintain energy security and financial stability, it is particularly important to understand clearly how energy and financial markets conduct and influence price information interactively. This paper attempts to build a price-based information interaction mechanism between energy and financial markets. This paper defines and combs the related concepts and theories of energy market and financial market from the perspective of price. Among them, the energy market focuses on the energy price, which covers the internal and external energy prices, while the financial market starts from the money market and the capital market. Based on the path of real economy, the mechanism of price information interaction between energy and financial market is discussed from the macro level. On this basis, the paper analyzes the real relationship between energy and financial markets, especially the price risk transmission paths of the two major markets under non-robust conditions. Based on the theoretical and practical relevance of price information interaction mechanism between energy and financial markets, the empirical study is carried out in the sample period from 1990 to 2012. On the basis of calculating the correlation degree of price information between energy and financial market by using the method of grey correlation analysis, this paper uses cointegration method, Granger causality test, impulse response function and state space model to measure two major market single variables. The long-term, short-term, time-varying and time-divided effectiveness of single channel, the transmission direction and speed of the two markets are studied. Based on this, the system dynamics method is used to construct the price information interaction and multivariate feedback model between energy and financial market, and to define the organizational boundary, operation and information transfer process of the mechanism from the viewpoint of system thinking. Build "big system" of "financial market-energy market". Finally, combining the results of qualitative and quantitative analysis, this paper puts forward countermeasures and suggestions to promote the symbiotic development of energy and financial markets and to guard against the transmission of price risks in the two major markets. Due to the lack of research, the author also puts forward the expectation of comprehensively grasping the related mechanism of the two and constructing a comprehensive and practical energy and financial market risk contagion prevention system.
【學(xué)位授予單位】：中國礦業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F426.2;F832

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