Measure Crude Oil Market Risk Under US Dollar Index And Futures Speculation Shocks With Change Point AAVS-CAViaR Model

As the main raw material for chemical industry and the most important fossil fuels currently,the oil obviously plays an important role in the economic society.In recent years,the international crude oil price has experienced several "roller coaster" ups and downs.China is the world’s second largest oil consuming country and its foreign oil dependence is as high as 60%,so the frequent and wide fluctuations of oil price have a significant effect on China’s economy and people’s life.In order to solve this problem and improve the management level of China’s oil market risk,this paper starts the research with the development of crude oil pricing mechanism and the financial background of the oil price analysis.Based on the summary of a large number of relevant literatures,it was found that the important reason of oil price fluctuation lies in the dollar index and futures speculation.Then this paper analyses the acting path of these two factors qualitatively,which showed that the crude oil futures market is an important medium for the dollar index and futures speculation factors to affect international oil prices.So just before the quantitative analysis of the influence of dollar index and futures speculation on oil price,the essay verifies the effectiveness of the futures market.On the basis of this,it does a quantitative study of the impact of the dollar exchange rate and futures speculation on the oil price in the price level and volatility risk level.The result of Granger causality test and cointegration test shows that,in the price level,the dollar index and futures speculation are the Granger reasons for the fluctuations of international crude oil price and have significant impacts on it.For the risk analysis methods commonly used cannot adapt to the mutation in the oil price fluctuations in recent years,this paper uses a CAViaR model which has structural change to adapt to the present oil market risk management practice.In addition,through the introduction of exogenous variables such as dollar index and futures speculation,it builds a more complex change point CAVia R quantile regression equation,breaking the restriction that CAViaR only establishes the model for single variable sequence.The results show that the CPAAVS-CAViaR model with structural change point can measure the oil market VaR better than no change point equation,and it can satisfy the need of the risk management in the condition of oil price fluctuation.The empirical analysis shows that the pattern of international oil price risk evolution has obvious structural change point effect in the second half of 2014.After the change point,the impacts of dollar index and futures speculation factors on oil price are enhanced,and the effects of positive and negative impact are asymmetric.The specific performance is that in the stage that oil price is relatively stable;the impact of previous rise of dollar index on the oil market risk is greater than the dollar index decline.This may be due to that in the high oil price stage the rise of dollar index in a short period of time leads to significant decline in oil price,which brings increase in oil price market risk.After the change point,in which period the oil price fluctuates sharply,the impact of previous decline of dollar index on the oil market risk is greater than the dollar index rise.It shows that the effect of the change of dollar index influence oil price volatility significantly and the rise of dollar index this stage is an important reason for sharp decline in oil price.Once the dollar index falls slightly,the oil prices will rebound strongly in short-term,bringing the increase in oil price market risk.Similar to the dollar index,the oil price volatility is normal before the change point,and the impact of the increase in the previous futures speculation on the oil market risk is greater than the impact of decline of futures speculation,because in the period of high oil price,investment enthusiasm of speculators in crude oil futures market is so high that is extremely easy to be influenced by previous increase in crude oil futures speculation and increase their speculation.As a result,the fluctuation of oil price increases as well as the market risk.While in the stage that after the change point,the reverse seems to be the case.This is because after a sharp drop in oil price,the behavior of speculators in crude oil futures market is rather cautious and the light decline in previous futures speculation may hit investors’ confidence in the market,which leads to the sharp drop in oil price in a short period of time and the increase in oil market risk.Therefore,corresponding measures should be taken to improve the risk management level of the oil market such as reducing the dependence on oil,improving the pricing power of oil and strengthening the supervision of the oil futures market.