人民币原油期货国际地位研究——基于多元传递熵的复杂网络分析
The Role of Shanghai Crude Oil Futures in International Crude Oil Futures Markets——Complex Network Analysis Based on Multivariate Transfer Entropy
施楠 1任再萍2
作者信息
- 1. 上海社会科学院信息研究所,上海 200235
- 2. 上海对外经贸大学金融管理学院,上海 200336
- 折叠
摘要
近年来原油期货计价货币由美元垄断转向逐渐出现多元化的趋势,为了科学评估上期所人民币原油期货(SC原油)在国际原油期货市场中的地位,本文通过基于多元传递熵的信息溢出网络分析,构建国际原油期货市场信息溢出网络,检验原油期货市场的重要性.实证证据显示,孟买、东京等非美元原油期货市场有较大的信息溢出,与美元原油市场存在显著的独特信息溢出关系,但SC原油的独特信息溢出不显著.与其他非美元原油期货不同,SC原油与人民币汇率之间没有显著的独特信息溢出关系,揭示原油期货市场与外汇市场之间的信息传递较弱.本文的发现对人民币国际化发展带来启示,应加强人民币在多元化的国际货币体系中的作用,加快人民币原油期货市场发展,进一步完善人民币汇率衍生品市场,与人民币原油市场实现协同发展.
Abstract
During the last 20 years,currency diversification tends to replace the monopoly of the dollar in invoicing crude oil.In order to scientifically evaluate the role of Shanghai Crude Oil in international crude oil markets.This paper utilizes multivariate transfer entropy to analyze the network of information spillover.Empirical evidence shows that non-dollar oil futures markets such as Mumbai and Tokyo have large spillover over dollar oil futures markets.There also exists significant unique information spillover between non-dollar and dollar oil markets.However,The unique information spillover of renminbi oil market is insignificant.Different from other non-dollar market,SC crude does not have significant unique information spillover with renminbi exchange rate.The findings of this paper has implications for renminbi internationalization.The role of renminbi in diversified global currency system should be strengthened.The renminbi crude oil futures market should fasten.The renminbi derivative market should be strengthened in coordination with SC crude oil market.
关键词
国际货币/计价货币/多元化/原油期货/人民币国际化Key words
International Currency/Invoice Currency/Diversification/Crude Oil Futures/Renminbi Internationalization引用本文复制引用
基金项目
国家自然科学基金青年项目(71703102)
上海市金融学会 2021年青年课题()
出版年
2024
NETL
NSTL
万方数据