基于CARRX模型的NYMEX原油价格和美元指数的波动溢出研究

摘要

Exchange rate plays an important role in petroleum transaction.The relations between petroleum prices and exchange rates have gradually become a research focus in the recent years.An empirical results are concluded by adopting CARRX model to conduct related research on volatility spillover between crude oil prices and exchange rates,and assuming residual erro of model respectively obeying standard exponen-tial distribution,standard Weibull distribution and standardized and generalized Gamma distribution,which indicate that,first,there are volatility spillover relations between crude oil prices and exchange rates.Sec-ond,the effect of volatility spillover of exchange rates on crude oil prices is stronger than the effect of vola-tility spillover of crude oil prices on exchange rates.%汇率在石油交易中扮演着重要的角色,二者的关系在近年来逐渐成为研究热点.采用CARRX模型对原油价格和汇率之间的波动溢出进行相关研究,并假设模型残差项分别服从标准指数分布、标准Weibull分布和标准化的广义Gamma分布.实证结果表明:首先,原油价格与汇率之间存在波动溢出关系;其次,汇率对原油价格的波动溢出作用要强于原油价格对汇率的波动溢出.