摘要
通过对能源金融市场风险特征的分析,遴选了能源金融市场风险的基本经济金融指标,通过主成分分析定义了能源金融市场风险强度,计算了中国2002~2013年的能源金融市场风险强度,应用ARMA模型对中国2014年的能源金融市场风险强度进行了预测,认为当前我国的能源金融市场风险处于较大风险区间,并有进一步增加的趋势。
Based on energy financial risk and the definition of the concept of risk early warning, this paper pres- ents the basic economic and financial index of energy financial risk early warning, and proposes PCA＆ARMA mod- el. Using the model, the paper first defines the intensity of energy financial risk through the principal component a- nalysis, then calculate the 2002 -2013 of China＇ s intensity of energy financial risk. Finally using the ARMA model China＇ s 2014 energy financial risk intensity is forecasted. It is concluded that China＇ s energy financial risk is at greater risk range, with the trend of further increase.
出处
《经济问题》
CSSCI
北大核心
2015年第2期52-57,共6页
On Economic Problems
基金
中国石油大学(北京)优秀青年教师基金项目(2462012KYJJ0809)
关键词
能源金融市场
风险预警
风险强度
energy financial market
risk early warning model
intensity of energy financial risk
