原油期货投机对国际油价的影响

发布时间：2018-06-16 19:27

本文选题：投机 + 协方差分析　；参考：《南京财经大学》2013年硕士论文

【摘要】：2002年以来国际油价快速上涨，在2008年7月达到每桶147美元的历史高位，短短几个月的时间又迅速跌至40美元附近。如此剧烈的波动仅用供给需求、美元贬值等传统影响因素很难给出合理的解释，很多人开始将矛头指向原油期货市场。他们认为大量资金进入原油期货市场进行投机导致了油价泡沫，但是投机对油价变动到底有没有影响一直存在争议，而且缺乏实证分析。本文就是以此为出发点解决以下几个问题：第一、原油期货投机对油价到底有没有显著影响；第二、短期内原油期货投机对油价的影响程度有多大，长期内哪种因素占据主导地位；第三、传统影响因素和投机因素共同作用如何影响国际油价；第四、在传统影响因素以及投机因素共同影响下国际油价将如何变动。本文利用最新数据，运用协方差分析、脉冲响应分析、方差分解、协整和VEC模型以及BP神经网络分别对上述问题进行实证分析，最终得到以下结论：短期内原油期货投机对油价有显著影响，原油期货投机对油价的冲击可使油价上涨15美元左右，而且投机因素对油价变动的贡献度可以达到60%；长期来看供给需求和美元贬值对油价的影响依然占据主导地位，其中供给需求对油价的贡献度达到40%，，美元贬值的贡献度在20%左右，原油期货投机贡献度在5%左右。另外通过协整分析得知油价与影响因素之间存在长期稳定的协整关系，而且向量误差修正模型符合反向修正机制，短期内考虑原油期货投机作用可有效的预测较大的油价波动。通过相关性分析、对比分析并且借助于图表分析得知商品指数基金在长期内能够促进油价持续上涨，但是油价的大幅波动主要是由于非商业持仓追涨杀跌所致，而且投机资金规模不断扩大，已经具备左右国际油价的能力。高油价加剧了全球通货膨胀，对全球经济造成很大影响。我国石油对外依存度已超过50%，油价的剧烈波动严重危及我国的经济发展，本文在相关研究的基础上对有关部门提出以下合理的建议：期货交易所应该加大对非商业持仓的监管力度，可适当提高保证金限制投机炒作；国内应该推动原油期货商品的上市进程，石油公司也应抓住机遇扩大商业库存，加大海洋石油开发投资，并且不断完善国内成品油定价机制。
[Abstract]:International oil prices have risen rapidly since 2002, reaching an all-time high of $147 a barrel in July 2008, before falling to around $40 in just a few months. With such sharp volatility using only supply demand, traditional factors such as a weaker dollar are hard to justify, many people are starting to blame the crude oil futures market. They argue that speculation in crude oil futures markets led to a bubble in oil prices, but whether speculation has an impact on oil prices has been controversial, and there is a lack of empirical analysis. This paper takes this as a starting point to solve the following problems: first, whether speculation in crude oil futures has a significant impact on oil prices; and second, how much impact oil futures speculation has on oil prices in the short term. In the long run, which factors occupy the dominant position; third, how the traditional factors and speculative factors affect the international oil price; fourthly, how will the international oil price change under the influence of the traditional factors and speculative factors. In this paper, we use the latest data, covariance analysis, impulse response analysis, variance decomposition, cointegration and VEC model and BP neural network to analyze the above problems. Finally, the following conclusions are drawn: in the short term, speculation in crude oil futures has a significant impact on the oil price. The impact of speculation on oil prices can make the oil price rise by about $15, and the contribution of speculative factors to the change of oil price can reach 60%. In the long run, supply demand and the depreciation of the dollar still play a dominant role in the oil price. The contribution of supply demand to oil price is 40%, the contribution of dollar depreciation is about 20%, and the contribution of speculation in crude oil futures is about 5%. In addition, the cointegration analysis shows that there is a long-term stable cointegration relationship between oil price and influencing factors, and the vector error correction model accords with the reverse correction mechanism. In the short term, considering the speculative effect of crude oil futures can effectively predict large oil price fluctuations. Through correlation analysis, comparative analysis and chart analysis, we can see that commodity index funds can promote the oil price rising continuously in the long run, but the large fluctuation of oil price is mainly caused by non-commercial positions chasing after the rise and down. And the scale of speculative funds continues to expand, already have the ability to control the international oil price. High oil prices have exacerbated global inflation and have had a great impact on the global economy. The degree of dependence on foreign oil in China has exceeded 50%, and the sharp fluctuation of oil prices seriously endangers the economic development of our country. Based on the relevant research, this paper puts forward the following reasonable suggestions to the relevant departments: the futures exchange should strengthen the supervision of non-commercial positions, which can appropriately increase margin to limit speculation; China should promote the listing process of crude oil futures commodities, and oil companies should seize the opportunity to expand commercial inventory, increase investment in offshore oil development, and constantly improve the pricing mechanism of domestic refined oil products.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F416.22;F831.53

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