原油期货价格对现货价格的预测准确性分析  

Accuracy analysis of forecasting crude oil spot prices using futures prices

作　　者：程刚[1,2] 张珣[2,3] 汪寿阳[2,3] 

机构地区：[1]中国科学院研究生院数学科学学院,北京100049 [2]中国科学院数学与系统科学研究院,北京100190 [3]中国科学院研究生院管理学院,北京100190

出　　处：《系统工程理论与实践》2009年第8期11-18,共8页Systems Engineering-Theory & Practice

摘　　要：基于断点检验方法以及预测能力比较模型,对各种到期期限的原油期货价格在不同时期对相应到期日原油现货价格的预测准确性进行了分析.实证研究表明:2004年之前,原油期货价格对到期日现货价格的预测基本都是无偏的,能够为预测提供比较有效的信息;2004年之后,期货价格对相应到期日现货价格的预测显著有偏,普遍存在着正的"系统偏差"和绝对值小于1的"尺度偏差",表明此时期货市场对现货的预期存在着价格低估和风险高估.这对运用期货价格对现货价格的预测的调整和分析提供了方向性的指导.The predictive accuracy of 3-, 6-, 9-, and 12-month ahead crude oil futures prices for 1991.1-2007.2 is evaluated in this paper. Since there is a suspicion that the structure of the crude oil market has changed several times due to various political, military and economic events. We test the structure break points of the time series and. divide it into three sub-periods： 1991.1-1999.8, 1999.9-2003.12 and 2004.1-2007.2. In addition to testing for unbiasedness of each sub-period, a naive forecasting model is constructed to generate comparable forecasts, as benchmarks. Our empirical findings reveal that before 2004, futures prices and naive models are almost unbiased at all forecast horizons and they are almost biased in any forecast horizon after 2004. Conclusively, the futures prices provide effective information to predict related spot prices before 2004. After 2004, futures prices fail to help with the prediction of spot prices directly, but they demonstrate the sentiment of investors in the futures market and offer suggestions to researchers.

关 键 词：结构性断点 原油期货价格 市场有效性 预测 无偏性 

分 类 号：F031.1[经济管理—政治经济学]