国际油价、美国经济不确定性和中国股市的波动溢出效应研究

2008年金融危机以来的全球股市震荡，油价波动剧烈和经济的不确定性使得研究不同市场间的风险传导效应具有重要的意义。在综合评价现有研究的缺陷和既有改进方法的情况后，本文借鉴Diebold and Yilmaz （2012）的研究方法探索国际原油价格、美国经济不确定性和中国股市的波动溢出效应。本文选取1986年1月到2016年12月原油价格、美国经济不确定性指数和中国股票价格的月度数据，分别研究了静态波动溢出指数，动态波动溢出指数并做出了非线性检验。实证结果表明：变量国际油价解释了大部分的波动。方向性溢出指数是双向的和非对称的。在整个样本阶段系统的波动主要来自其他变量的冲击，变量国际油价的溢出效应占比重较大。变量国际油价、美国经济不确定性和中国股价对其他变量的波动溢出都存在非线性效应，前两者的正向变量的溢出效应较大，负向变量的溢出效应较小；后者的正向变量的溢出效应较小，负向变量的溢出效应较大。

International Transmission of Volatility Among Crude Oil Prices,Economic Uncertainty and the Stock Market

Since the 2008 financial crisis,global stock market volatility, oil prices fluctuations and economic uncertainty have made it important to study risk conduction effects between different markets.After a comprehensive evaluation of shortcomings of existing researches and new improvement methods, a fresh method proposed by Diebold and Yilmaz (2012) is used in this paper to investigate the international transmissionamong crude oil prices, the US economic uncertainty and China's stock market. In this paper, we use the monthly data of crude oil prices, the US economic uncertainty index and China's stock price from January 1986 to December 2016 are used and the static volatility spillover index, dynamic volatility spillover index analysis and nonlinear test are studied respectively.The empirical results show that international oil prices explain most of the fluctuations. The directional spillover index is bidirectional and asymmetric. In the whole sample stage, the fluctuation of the system mainly comes from the impact of other variables, and the spillover effect of the international oil price is the largest. There are nonlinear effects of international oil prices, the US economic uncertainty and volatility spillover of China's stock price to other variables. For the former two variables, the spillover effect of positive variables is larger than that of negative variables. For the latter variable, the result is exactly opposite, i.e. the spillover effect of negative variables is larger than that of positive variables.