多重結構變動下恐慌指標與國際油價的動態關係

The Dynamic Relationships between Fear Gauges and Crude Oil Price under Multiple Structural Changes

國際重大政經事件會造成油價的經濟行為發生結構性的變動，若未考慮結構性變動，將使得模型檢定結果產生偏誤，有可能導致錯誤的解釋及推論。本文旨在探討結構性變動下油價與原油波動指標(OVX) 及股市波動指標(VIX) 間的長短期動態關係，研究結果檢測出6個結構變動點，並分割為7個子期間，各期間皆有重大國際政經事件發生。研究發現：在樣本全期間油價與VIX具有共整合關係，分別檢測7個子期間第二、三、四、六及第七子期間具共整合關係；油價與OVX在第二、四及第六子期間具共整合關係。其次，在樣本全期間油價與OVX為雙向領先-落後關係，但在同一期間油價僅單向領先VIX；再分別檢測7個子期間的因果關係，第一、二子期間僅VIX領先油價，第五、六子期間僅OVX單向領先油價。最後，在樣本全期間油價與OVX彼此受到各自落後15期的影響，VIX受到油價落後8期的影響；就7個子期間而言，在第一、二子期間VIX分別受到油價落後2期、3期的影響；在第五、六子期間油價皆受到OVX落後2期的影響，其經濟意涵是：恐慌指標提供的資訊在樣本子期間相對於樣本全期間的市場效率較高。因此，本文建議國際原油市場投資人，除了必須留意國際重大政經事件對油價為利多或利空的影響外，在短期尚需考慮油價與其波動性的短期動態關係。

 

Global political and economic events usually cause the structural changes of crude oil price behavior. If this problem concerning structural changes is not considered, the testing result would produce estimation bias which leads to incorrect explanation and inference. This paper investigates the long-run and short-run dynamic relationships between crude oil price and Crude oil volatility index (OVX) and between the price and stock market volatility index (VIX). The empirical result finds six structural change points by which further divide into seven sub-periods that relevant events occurred per sub-period. This study also finds that, because of the structural changes there exists the ARDL-ECM co-integrating relationship between oil price and VIX. If the seven sub-period data are inspected one by one, this relationships hold for the 2nd, 3rd, 4th, 6th and 7th sub-periods, while this relationships between oil price and OVX hold for the 2nd, 4th and 6th sub-periods. Furthermore, for the entire observation period, the two-way Granger causality holds for the price, but the price Granger causes VIX only. If the seven sub-period data are inspected again, VIX Granger causes the price only for the 1st and 2nd sub-period, but OVX Granger causes the price only for the 5th and 6th sub-periods. Finally, for the entire observation period, the price and OVX are affected by their 15 period lags each other, but VIX is affected by 8 period lag of the price. If the seven sub-period data are examined, VIX is affected by 2 period lag and 3 period lag of the price for the 1st and 2nd sub-period, respectively, while the price is affected by 2 period lag of OVX for both the 5th and 6th sub-periods. This finding implies that, the fear gauges provide the investors with the more market efficiency during the sub-periods than during the whole sampling period. Therefore, this paper suggests that, not only do the investors in the petroleum market take care of the impacts of crucial global political and economic events on the crude oil price, but they also consider the short-run dynamic relationships between the price and its volatility.