论文部分内容阅读
高油价已成为现代原油市场体系的一个重要特征。高油价不仅是一种油价现象,更重要的是其背后市场机制的变化。采用存储理论模型,分析2005-2011年相关数据,发现原油库存与其期现货价格相关性低,而与调整价差相关性较高;且这种影响并不主要发生在当期,而是当期对下期库存预期影响着当期的调整价差;其Granger因果检验证明调整价差与库存之间互为因果。高油价下库存影响油价的方式与传统单一现货市场不同,具有明显的金融市场的特点。库存影响期现货市场价差的过程表明,期现货市场已成为辩证统一的现代原油市场体系。
High oil prices have become an important feature of the modern crude oil market system. High oil prices are not only a phenomenon of oil prices, but more importantly the changes in the market mechanism behind them. By using the storage theory model and analyzing the relevant data from 2005 to 2011, it is found that the correlation between crude oil inventories and its spot prices is low and the correlation with the adjustment spread is high. And this effect does not mainly occur in the current period, Expected to affect the current adjustment spread; its Granger causality test shows that adjusting the spread and the inventory of each other as a causal link. The way in which the oil price is high under the high oil price is different from that of the traditional single spot market and has obvious characteristics of the financial market. The process of inventory spot price spread during the impact period shows that the spot market has become a dialectical and unified modern crude oil market system.