中国原油期货保证金比例的实证研究
An Empirical Research of the Oil Future Margin Ratio in China
Abstract
本文在我国原油期货即将推出之际,关注原油期货上市交易风险管理控制的第一道屏障----保证金制度,通过对原油期货这一金融资产交易风险相关的评估,得出我国原油期货上市交易的保证金理论水平和动态调整机制,保证原油期货市场稳定,不断推进我国原油定价权,为我国原油储备等国民基础性物质提供保障。 本文通过研究BRENT原油期现货价格间的长期均衡关系,构建二元t-Copula函数模型,发现BRENT原油期现货价格以及胜利油田原油现货价格两两间不仅存在高度的线性相关关系,同时存在较强的非线性相关关系,且资产尾部相关性较高,对极端事件的反应趋势较为一致,协同程度相对较高。从而构造了基于原油期现货收益率序列下的... The article is attention to theimportment barrier of the risk control of oil future which will be listing transaction in the near future in China.We appraised the risk of oil future’s transaction,one kind of the financial assets,found the theoretical level of oil future margin ratio and dynamic adjustment mechanism,to ensure the market stability,promote the pricing power of China in the internatio...