WTI-布伦特原油价差解析及新一价定律  

Analysis of WTI-Brent spread and the new law of one price

作　　者：张峥 许经彤 ZHANG Zheng;XU Jingtong(COFCO Futures Co., Ltd.;The Export-Import Bank of China)

机构地区：[1]中粮期货有限公司 [2]中国进出口银行

出　　处：《国际石油经济》2019年第9期67-79,共13页International Petroleum Economics

摘　　要：WTI-布伦特原油价差是石油市场的重要指标.通过引入美湾地区的LLS原油,将WTI-布伦特价差进行分解,证明跨区供需不均是驱动WTI-布伦特价差变动的根本原因.跨区供需、跨区价差和跨区套利三者之间形成负反馈,跨区供需不均引发价差变动和跨区套利,最终推动跨区供需和价差回归均衡.在一价定律的基础上提出新一价定律,WTI-布伦特价差的套利边界由主要消费地决定,包括运费差和品质差,且会随着主要消费地的转移而变化.The WTI-Brent spread is an key indicator of the international crude oil market. By introducing LLS crude oil from the Gulf Coast, cross-regional imbalance is proved to be the cause of WTI-Brent spread. Negative feedback is formed between cross-regional supply and demand, spreads and arbitrage. Cross-regional imbalance triggers spread changes and cross-regional arbitrage, which repairs cross-regional imbalance and spread in turn. On the basis of the law of one price, this paper proposes the new law of one price, namely the major consumer markets would determine the arbitrage boundary of WTI-Brent spread, including the difference in freight rates and quality, and the arbitrage boundary would vary with the transfer of major consumer markets.

关 键 词：WTI-布伦特价差 原油价格 一价定律 跨区套利 套利边界 供需均衡 

分 类 号：F416.22[经济管理—产业经济] F764.1