石油金融化、投资者预期与“石油-美元”机制的结构变动——基于原油双重属性视角的研究  

Oil Financialization,Investor Expectation and the Structural Change of Dollar-Oil Nexus:Research Based on Dual Attributes of Crude Oil

作　　者：王盼盼 WANG Panpan(School of Finance,Zhejiang Gongshang University,Hangzhou 310018)

机构地区：[1]浙江工商大学金融学院,杭州310018

出　　处：《系统科学与数学》2021年第6期1585-1609,共25页Journal of Systems Science and Mathematical Sciences

基　　金：浙江省哲学社会科学规划重点课题(21NDJC011Z);浙江省自然科学基金项目(LQ21G030005)资助课题。

摘　　要：基于原油的商品和金融双重属性视角,在区分美元汇率影响原油价格的计价、结算和资产组合效应基础上,通过在油元关系的VAR框架中嵌入结构变化和石油金融化的门限变量,研究油元关系的结构变动特征以及石油金融化对油元关系的非对称影响,并进一步基于自适应预期模型考察石油金融化条件下投资者预期对油元关系的影响特征.结果表明:第一,油元关系在2001年前后发生了显著结构变动;第二,石油金融化是油元关系结构变动的重要原因,2001年后石油金融化程度加深使资产组合效应成为美元影响油价的主导效应,美元在长期和短期内均对油价产生显著负向影响;第三,在石油金融化条件下,投资者预期也显著影响油元关系.美元大幅波动会极大强化投资者对美元汇率的单边走势预期,从而进一步增强资产组合效应,提高美元对油价的负影响程度.This study examines the dynamic relationship between the US dollar exchange rate and oil prices.Based on the commodity and financial attributes of crude oil,we first theoretically analyze the pricing,settlement and portfolio effects of the US dollar exchange rate on crude oil prices.To account for the asymmetric impacts of structural break and oil financialization on dollar-oil nexus,we then embed the dollar-oil relation to a VAR framework with structural breaks and oil financialization thresholds.We further investigate the impact of investor expectations on dollar-oil nexus under the condition of oil financialization using investor self-adaptive expectation model.The results show that:First,the dollar-oil relationship has undergone significant structural change in 2001.Second,the deepening oil financialization is important reason for the structural change.The deepening oil financialization after 2001 makes the portfolio effect become the dominant effect of dollar exchange rate on oil prices.No matter in the long run or short run,the unidirectional negative causation from dollar exchange rate to oil prices is found significant.Third,under the condition of oil financialization,the impact of investor expectations on dollar-oil relation is substantial.A sharp increase in dollar exchange rate volatility largely strengthens investors’unilateral expectation to the future trend of dollar exchange rate,which will further enhance the portfolio effect,resulting in an even larger negative effect of dollar exchange rate on oil prices.

关 键 词：美元汇率 原油价格 结构变动 石油金融化 投资者预期 

分 类 号：F416.22[经济管理—产业经济] F827.12F764.1F831