Study On The Price Information Interaction Mechanism Of Energy And Financial Market

With the continuous advance of energy financial integration, energy andfinancial integration is becoming more and more apparent effects on thedevelopment of the global economy. Especially the abnormal fluctuation of twomarket interaction also brought the world security risks which cannot be ignored inorder to preventing the effective risks, maintaining financial and energy stability.This paper attempts to construct the energy and financial market informationinteraction mechanism with price as the main line.This paper defined the concept of energy market and financial market from theperspective of the price, then separately from two angles of theory and realityanalysis, provide theoretical and practical basis for the empirical analysis of priceinformation interaction mechanism of energy and financial market. In this paper,energy prices mainly refer to the internal and external energy prices, and thefinancial market can be divided into the money market, capital market and real estatemarket. On the micro level, energy financial industry has developed rapidly, theenergy market and financial market emerged industrial symbiosis, energy andfinancial market information exists on the macro level interaction mechanism.According to the practical situation, the paper explored the correlation about energyand financial market in reality, especially the transformed path under the non-robustmarket condition.Based on the theory of price information interaction mechanism of energy andfinancial market and the reality, the paper makes an empirical study with the datafrom1990to2012. First of all, in the use of gray correlation analysis method tocalculate the correlation based energy and financial market price information,respectively using cointegration tests, granger causality test, impulse response, statespace model of the single variable, the single channel measurement of lo ng, shortand time-varying effect; the impulse response function of the transmission directionof two markets and speed. As the stage and the economic environment is different,policy focus are different. The paper focuses on the time-varying effect, and judgesthe difference operation mechanism under different prices. Then using the method ofsystem dynamics to build price information interaction energy and financial marketand multiple feedback models, with the view of systems thinking, the paper definesthe boundary of the operation mechanism and Information transfer process andconstruction the large system about the financial market and energy market. Finally, combining the results of qualitative and quantitative analysis, this paperput forward to promoting two market symbiosis development policy effectively andpreventing price risk transmission between the two markets, and then put forwardthe expectation which is to construct the risk contagion prevention system aboutenergy and financial market.