全球主要石油市场间的信息溢出效应分析.pdf

: F204 : A : 1002- 9753( 2011) 02- 0009- 29 : : ( ; / 2110 ) ) ) , : 000- / 0 : ( 1975- ), , , , , : Inform ation Spillover Analysis am ong G lobalM ain OilMarkets 潘慧峰 PAN H ui- feng : , , Granger , , , , , , , , , Granger, : ; ; Granger Abstract:w e c oose mean, variance and quantile as t e proxy variab le of inform ation and t en utilitize granger causality test to exam ine t e inform ation spillover effect among d ifferen tm arket groups of globalm ain oilm arkets. A fter filtering t e granger causality in m ean, t is paper places em p asis on t e volatility spillo- ver effect to identify t e d irection of inform ation flow. Base on t e volatility sp illover, extrem e risk sp illover effect in bot upside and ups ide are also discussed. W e propose t e concept of asymm etric risk sp illover and app ly it in oilm arkets. T e results s ow t at inform ation goes from t e efficientm arket to inefficientm arket, t e ups ide information transm iss ion speed is faster t an t e downside one, evidence of strong risk spillover is pervasive, and risk sp illover in erits t em ain features of volatility spillover, revealing t at granger causality in variance is t e m ain cause of risk spillover. T e distinct features bewt een volatility spillover and risk spilloverm ean t at granger causality in ig er order mom ents can also lead to risk spillover. K ey words: O ilM arket; Inform ation Sp illover; G ranger C ausality Test 2011102 9 经济发展 , , , , , , Granger , (Hsiao 1981[ 2] ) Granger ( H ong , 2001[ 3] ) G ranger ( Hong