金融投机及国际原油价格关联性研究:基于“双阶段”马尔科夫区制转移模型

Study on the relationship between financial speculation and international crude oil price:based on the two-stage Markov area transfer model

摘要: 本文基于2000年2月～2016年8月金融投机及国际原油价格的周数据，运用“双阶段”马尔科夫区制(MS-VAR)转移模型捕捉和刻画金融投机及国际原油价格多阶段性的复杂动态变化过程，对金融投机及国际原油价格研究周期动态过程进行阶段性变迁识别和转移分析，最终论证了金融投机及国际原油价格之间存在的相关性。本文研究有利于更深入地了解金融投机与国际原油价格的内在关联性，探索通过矿产金融建设完善和优化国家石油资源的金融支持机制。

Abstract: Based on the weekly data of financial speculation and international crude oil price from February 2000 to August 2016, this paper uses the “two-stage” Markov area system (MS-VAR) transfer model to capture and describe financial speculation and international crude oil price multi-stage.The dynamic change process of financial speculation and international crude oil price cycle is analyzed, and the correlation between financial speculation and international crude oil price is finally demonstrated.This paper is helpful to understand the inherent relationship between financial speculation and international crude oil price, and explore the financial support mechanism to improve and optimize the national petroleum resources through mineral finance construction.