| Economic globalization makes the risk transfer between markets faster and faster,more and more intensity,and also showing a non-normal,non-linear and asymmetric,so the study of different financial markets,namely the risk spillover effect,function described by Copula has its unique advantages on the correlation of financial.With the increasing openness of Chinese financial market,the linkage between Chinese financial market and international financial market is also growing,especially in the futures market,this correlation is more significant.Methanol is one of the important raw materials in chemical industry,the range of its application is very wide,it can be used as the production of formaldehyde,two methyl ether,acetic acid,synthetic rubber and other organic chemical products of raw materials.As the world's largest producer and consumer of methanol,methanol futures as a new breed of futures listed in October 28,2011.With the rising of methanol futures trading volume,the Zhengzhou commodity exchange is rising,and the linkage effect between other commodity futures have become more and more significant,so the research on methanol futures also is quite important.Due to the high leverage ratio of the futures market,the impact of the economic body will be amplified with the leverage,so the risk management in the methanol futures market is particularly important.As the intermediate link of the industry chain,which is more vulnerable to the impact from the upstream energy industry.In addition,due to the important role played in the chemical structure of raw materials,the relationship between oil and methanol is more and more closely.In 2014,due to the US shale oil revolution,OPEC organizations competing for increased production and other reasons,since June crude oil prices fell continuously to the end of 2014 crude oil futures fell below $ 60 a barrel.Because crude oil is the upstream product in the industrial chain,can be used to directly extract olefin,therefore,with the continued spread of low prices,olefin industry got a boost,and compared with methanol to olefins industry,low price of crude oil to olefins is more economical.So the decline in the price of the downstream olefin industry will lead to the decline in the price of domestic methanol,and then have a strong negative impact on methanol.Thus,as the crude oil fell,the price of methanol futures fell panic.On the other hand,the decline in crude oil also led to the decline in the price of natural gas related energyproducts,because the use of low-cost natural gas to produce more economical,and then make the foreign market,methanol prices generally fell.Imported methanol showed a price advantage,a large number of cheap methanol poured into the Chinese market,the domestic import and export have a greater impact.According to 2015's data,China's annual methanol imports of 5 million 539 thousand tons,an increase of 25.8%.This triggered the spot price chain effect,resulting in methanol futures contract prices affected by the impact of the crude oil.But how about the effect of crude oil futures and methanol Futures Risk Spillover this risk? Whether the spillover effect is the same before and after the crude oil slump,the academic research on these issues is very little.Therefore,the research on the spillover effect between the crude oil futures and the methanol futures,as well as the correlation of the downstream industry chain in the methanol futures,the research of this paper can play a beneficial role.At the same time,due to the methanol in the industry chain is in an important link,not only related to the healthy development of China's economy,but also related to China's methanol futures in the global methanol industry pricing.To reduce the impact caused by foreign countries,and to determine whether we can firmly control the pricing power,has significant practical significance.Based on the current research results,this paper uses the knowledge of finance,statistics and risk management,combines theory with practice,combines normative analysis with empirical analysis,combines the methods of qualitative and quantitative,chooses the daily return rate of the methanol futures on Zhengzhou Commodity Exchange and the Brent crude oil futures with higer status in the daily international market as the research object,and studies the linkage effect and risk spillover of these two markets.In addition,in order to make a more significant comparison between the two markets in different periods of linkage effects and spillover strength,the two market sample time is divided into oil boom and oil slump period,and then describe the two markets in different periods spillover value.This paper mainly through the Eviews,Matlab and other software,using Copula as the starting point,fitting the daily yield of methanol futures and Brent crude oil futures rate data,analyzes the relationship between the methanol futures and crude oil futures,and fitted the model of optimal Copula,using CoVaR(conditional value at risk)of this method,And then measure the Copula algorithm of CoVaR between China's methanol futures market and international crude oil futures market.The advantage of this model is that the correlation between methanol futures and crude oil futures is described by Copula,which can not only describe the linear relationship,but also depict the nonlinear relationship between the two.The CoVaR method can also give a more intuitionistic view of the risk spillover in different periods.Compared with the traditional VaR method,the research results show that CoVaR can more clearly and fully reflect the actual value of the product.From the risk spillover direction,methanol futures is positive influence on crude oil futures,crude oil futures on the methanol futures effect is also positive,that is to say the methanol futures market and crude oil futures market price is in the same direction,when the methanol futures rose oil futures also rose,crude oil futures rose when methanol futures rose;crude oil futures fell when methanol futures fell,crude oil futures fell when methanol futures fell.In addition,not only crude oil futures have spillover effect on the methanol futures,methanol futures also have a spillover effect on crude oil futures.Secondly,according to the effect of spillover intensity,the risk spillover intensity of Brent crude oil futures to methanol futures is greater than that of the oil boom period during the oil slump.The main reasons are as follows:(1)During the oil boom,the high oil price will raise the cost of methanol production.Methanol imports also will be reduced,resulting in domestic methanol futures market and the international crude oil futures market linkage is low.(2)when crude oil prices plummeted,the foreign production of methanol with natural gas and domestic production of methanol than coal,the cost is lower,the spread will expand.In addition,the cost of producing olefins in crude oil is lower than the cost of domestic coal to olefins.Resulting in increased imports of cheap foreign methanol,the domestic demand for methanol began to reduce,and then suppress the price of domestic methanol,leading to international crude oil futures and domestic methanol futures more interlocking,the risk spillover intensity also increased.In addition,compared with the Brent crude oil and methanol spill intensity found,whether in 14 years in June began the oil slump period or before the boom period,Brent crude oil on the impact of methanol should be significantly greater than the effect of methanol on Brent crude oil. |
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