基于TVP-VAR模型的油价、卢布汇率与RTS股指动态关系研究
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引用本文:罗 瑾1,2,刘文翠1.基于TVP-VAR模型的油价、卢布汇率与RTS股指动态关系研究[J].财经理论与实践,2020,(4):46-51
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罗 瑾1,2,刘文翠1 (1.新疆财经大学 金融学院新疆 乌鲁木齐 830000 2.中南林业科技大学 经济学院湖南 长沙 410004) 
中文摘要:依据2000-2018年月度数据,运用TVP-VAR模型,考量国际油价、卢布汇率和俄罗斯RTS指数三者之间的互动关系。结果表明:三者之间具有明显的时变性互动关系,且因时间、背景而异。三者间的联动及溢出效应可能危及金融体系安全,中国应审慎推进资本项目开放,优化汇率制度安排,以自主创新引领产业结构调整与转型升级,防范和化解金融风险。
中文关键词:油价  卢布汇率  RTS指数  TVP-VAR模型
 
Research on the Dynamic Relationship Between Oil Price, Ruble Exchange Rate and RTS Stock Index based on a TVP-VAR Model
Abstract:Based on monthly data from 2000 to 2018, this paper uses the TVP-VAR model to study the interaction among the international oil price, the ruble exchange rate and the Russian RTS index. The results show that there is an obvious time-varying interaction among them, and it varies with time and the background. The interaction and the spillover effects may endanger the security of the financial system. China should prudently promote the opening of capital Account, optimize the arrangements of exchange rate system, lead the adjustment and upgrading of industrial structure with independent innovation, prevent and resolve financial risks.
keywords:oil price  Ruble Exchange Rate  RTS Stock Index  TVP-VAR Model
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