国际石油金融性虚拟性实证分析及定价模式变更  

An Empirical Research on the Financial Virtual Properties and the Pricing Model of the Oil

作　　者：崔楠楠[1] 萧琛[1] 

机构地区：[1]北京大学经济学院,北京100871

出　　处：《广义虚拟经济研究》2012年第2期87-96,共10页Research on the Generalized Virtual Economy

基　　金：广义虚拟经济研究专项资助项目[项目编号:GX2010-1002(Z)]

摘　　要：2007年至2009年,国际石油价格的大幅波动充分显露出国际原油价格的的虚拟性和金融性。鉴于相关数据缺失,国际石油价格虚拟化的论断虽然已成为整个世界社会的共识,但却一直难以在实证分析中予以检验。本文利用CFTC新版持仓报告的变动数据,SVAR模型及其基础上的格兰杰因果检验和脉冲响应函数,验证期货投机净头寸对原油期货价格的影响。并进一步构建了自相关模型,论证了2000年之后原油价格的定价,已经脱离了由供需决定的大宗商品定价模式,而转型成由金融市场所主导的金融品定价模式。最后,论文简略分析和预判了国际油价虚拟化对于未来世界经济格局及中国经济所造成的冲击和影响。From 2007 to 2009, oil price＇s fluctuating significantly revealed its financial properties ofoil. However, due to lack of relevant data, although oil＇s financialization has become the consensus of the whole community, it is difficult to be confirmed in the empirical analysis. The paper takes advantage of the adjustment of CFTC report, verifies the impact of net speculative positions in oil futures on oil prices with the SVAR models, the Granger causality test and impulse response function. Furthermore, the paper uses AR model to demonstrate oil＇s pricing has become financial products pricing from commodity＇s, which isdominated by the financial markets. Finally, the paper briefly analyzes and predicts the influence ofoil financialization on the world and Chinese economy.

关 键 词：国际原油期货 国际原油价格 国际油价金融化 国际油价虚拟化 

分 类 号：F416.22[经济管理—产业经济] F831