中国燃料油价格国际市场相关性的实证研究  

Correlation Analysis between Domestic and Foreign Fuel Oil Prices

作　　者：李海英[1] 唐衍伟[2] 罗婷[2] 

机构地区：[1]同济大学经济与管理学院,上海200092 [2]青岛大学,青岛266071

出　　处：《资源科学》2007年第1期196-202,共7页Resources Science

基　　金：国家软科学计划项目(编号:2005DGS3D082);上海市社科基金项目(批准号:2006BJL011)

摘　　要：上海燃料油期货合约上市之后,在参照新加坡市场走势的同时,也参照了国际原油市场的走势,价格发现功能得到一定程度发挥,改变了过去新加坡市场在国内燃料油现货市场独一无二的作用,上海燃料油期货价格成为上海、新加坡、NYMEX等多方作用的结果。本文采用协整理论、基于向量自回归(VAR)的Granger因果关系检验以及向量误差修正模型(VECM),从多变量的角度对燃料油期货上市前后国内外燃料油价格的相关性进行实证分析。协整检验结果显示:燃料油期货上市后,新加坡燃料油价格波动对国内燃料油价格波动的影响显著减小,弹性从燃料油期货上市前的0.68减少到上市后的0.57,同时NYMEX原油期货对国内燃料油价格的价格影响也有所体现(弹性值为0.22)。这说明燃料油期货上市后,市场定价机制得到一定改善,但是上海燃料油市场价格仍然不能摆脱国际市场的影响;要使其充分反映国内的供求情况,必须要在增加国家软实力的基础上,不断完善期货市场价格发现体系。After the establishment of the Shanghai fuel oil functions have achieved a measure of success. Not only futures in China, the referring to the price futures＇ price discovery of Singapore, but also referring to the world oil price, Shanghai Fuel oil market has reversed the tide that Singapore market had put a great deal of effect on the domestic fuel oil. Shanghai fuel oil price has been the result of Shanghai, Singapore and NYMEX. By adopting the ＂Cointegration Theory＂, ＂Granger Causality Test＂ and ＂Vector Error Correction Model＂-based on VAR, this article analyzed the correlation of domestic and foreign fuel oil markets before and after the establishment of the fuel oil futures in Shanghai from a multi-vector viewpoint, which could help to provide a theoretical support for avoidance of trading risks. The ＂Cointegration Equation＂ shows that after the establishment of the fuel oil futures in Shanghai, the influence of Singapore to domestic fuel oil market began to shrink considerably. The elastic coefficient of Singapore price to Shanghai fuel oil prices decreased from 0.68 which was before the establishment of the fuel oil futures to 0.57. At the same time, the NYMEX oil futures brought some impact on domestic fuel oil price, whose elastic coefficients was 0.22. But the effect of NYMEX oil futures on Shanghai futures oil market is much less than that of Singapore market. The result shows that after the establishment of the fuel oil, Shanghai＇s pricing system of fuel oil has improved a lot, but can＇t get rid of the effect of the international market. We must build up China＇s soft power and improve the price discovery system continuously. Only in this way, could China＇s market run independently. Finally this article set a VEC model based on the Shanghai futures oil price. With featuring desirable forecast accuracy and precision, this model can accurately forecast the daily and weekly fluctuations and trends of Shanghai future fuel oil prices, thus providing a reference for future domestic

关 键 词：燃料油价格 相关性 协整检验 VAR误差修正模型 

分 类 号：F724.5[经济管理—产业经济]