管理评论

管理评论 ›› 2023, Vol. 35 ›› Issue (9): 262-273.

• 风险与应急管理 • 上一篇    下一篇

基于混合Clayton Copula模型的原油价格与油轮市场的风险传染效应研究

薛凯丽1,2, 匡海波1,3, 尹航4, 孟斌1,3   

  1. 1. 大连海事大学综合交通运输协同创新中心, 大连 116026;
    2. 大连海事大学交通运输工程学院, 大连 116026;
    3. 大连海事大学航运经济与管理学院, 大连 116026;
    4. 中国人民银行大连市中心支行, 大连 116000
  • 收稿日期:2021-12-07 出版日期:2023-09-28 发布日期:2023-10-31
  • 通讯作者: 匡海波(通讯作者),大连海事大学航运经济与管理学院教授,博士生导师,博士。
  • 作者简介:薛凯丽,大连海事大学交通运输工程学院博士研究生;尹航,中国人民银行大连市中心支行经济师,博士;孟斌,大连海事大学航运经济与管理学院副教授,博士生导师,博士。
  • 基金资助:
    国家重点研发计划资助项目（2019YFB1600400）；国家自然科学基金项目（71831002；72174035；71672016；72072018）；辽宁省“兴辽英才计划”（XLYC2008030）。

Study on the Risk Contagion Effect of Crude Oil Prices and Tanker Market Based on Mixed Clayton Copula Model

Xue Kaili1,2, Kuang Haibo1,3, Yin Hang4, Meng Bin1,3   

  1. 1. Collaborative Innovation Center for Transport Studies, Dalian Maritime University, Dalian 116026;
    2. College of Transportation Engineering, Dalian Maritime University, Dalian 116026;
    3. School of Maritime Economics and Management, Dalian Maritime University, Dalian 116026;
    4. Dalian Central Sub-branch, the People's Bank of China, Dalian 116000
  • Received:2021-12-07 Online:2023-09-28 Published:2023-10-31

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摘要： 原油价格波动与油轮市场紧密相关，新冠疫情发生以来，国际原油价格和油轮运价波动剧烈，投资风险加剧。因此，研究疫情对原油价格与油轮市场的影响是疫情环境下控制风险、优化投资策略的重要方式之一。本文通过偏t分布ARMA-GARCH-混合Clayton Copula模型分析新冠疫情发生前后原油价格和油轮整体市场及其细分市场的依赖关系变化及尾部风险变化。首先，通过偏t分布ARMA-GARCH模型来捕获原油价格和油轮整体市场及其细分市场各自收益序列的波动性特征；其次，应用混合Clayton Copula模型来描述收益序列间的非线性依赖关系，并运用尾部风险系数揭示新冠疫情发生前后原油价格对油轮市场的风险传染情况。研究表明，各样本期间原油价格对油轮市场的负相关性均强于正相关性，疫情发生后，原油价格对油轮市场的正相关性降低，负相关性增强，其中，WTI原油期货对VLCC型油轮运价的负相关性增幅最大。此外，各样本期间原油价格对油轮整体市场及其细分市场间均存在风险传染效应，且同向风险远远小于反向风险。新冠疫情发生后原油价格对油轮市场的同向风险降低，反向风险传染大大加剧，其中，下上尾风险增加程度小于上下尾风险。投资者及其利益相关者在进行油轮相关业务时应关注国际原油价格有利消息的发生，以期最大限度降低损失，同时关注原油价格不利消息的发生，以期获得最大收益。

关键词: 原油价格, 油轮市场, 风险传染, 混合Clayton Copula模型

Abstract: Since the outbreak of COVID-19, the international shipping market structure and demand have changed dramatically, and crude oil prices and tanker freight rates have fluctuated dramatically. The fluctuation of crude oil price is closely related to the tanker market, and the risk of tanker investment is intensified. Therefore, one of the important ways to control risks and optimize investment strategies under the current environment is to study the impact of COVID-19 on crude oil prices and tanker market. In this paper, the mixed Clayton copula model is used to analyze the dependence and tail risks of crude oil prices and tanker market before and during the outbreak of COVID-19. Firstly, the ARMA-GARCH-Skewed-t model is used to capture the volatility characteristics of the return series. Secondly, the mixed Clayton copula model is applied to describe the nonlinear dependence between the return series of the crude oil prices and tanker market. Meanwhile, the tail dependence is used to reveal the law of risk contagion between crude oil prices and tanker market under COVID-19. The study shows that the negative correlation between crude oil prices and the tanker market is stronger than the positive correlation in all sample periods. The positive correlation between crude oil prices and the tanker market decreases while the negative correlation increases under COVID-19. In particular, the negative correlation between VLCC tanker freight and WTI increases the most. In addition, there is a risk contagion effect of crude oil price on the tanker market in each sample period, and the positive risk is far less than the negative risk. The positive risk of crude oil price on the tanker market decreases, and the negative risk increases significantly.

Key words: crude oil prices, tanker market, risk contagion, mixed Clayton copula model