Research on the volatility characteristics and evolutionary mechanism of the“Asian premium”for natural gas  

作　　者：Jian Chai Mingxiao Zhao Xiaokong Zhang Na Li Zhefei Zhang Zenghui Liu 

机构地区：[1]School of Economics and Management,Xidian University,Xi'an,710126,China [2]School of Economics and Finance,Xi'an Jiaotong University,Xi'an,710049,China [3]College of Business and Economics,Western Washington University,Bellingham,98225,USA

出　　处：《Journal of Management Science and Engineering》2024年第4期553-567,共15页管理科学学报(英文版)

摘　　要：The spread of natural gas in the main international natural gas markets shows charac-teristics of violent fluctuation,frequent mutation,and periodic evolution,which pose a great challenge to the safety and sustainable development of natural gas in China.First,this paper used the complete ensemble empirical mode decomposition with adaptive noise(CEEMDAN)model to decompose and reconstruct natural gas"Asian premium."Based on the evolution law of each subsequence,the"Asian premium"was decomposed into four parts:speculative,geographical,energy security,and fundamental.Second,this study adopts the Bayesian model averaging(BMA)method to extract the main factors and uses the TVP-SV-VAR(time varying parameter stochastic volatility vector autoregression)model to characterize the nonlinear relationships.The results showed that the speculative motivation of suppliers and the cross-regional transportation cost of natural gas were the main reasons for the fluctuations,and the influence of oil prices on"Asian premium"was gradually reduced.The impulse response results showed that when the financial crisis hit in 2008,the impact of energy security and economic fundamentals on the"Asian pre-mium"was more obvious.In the case of supply shortages,financial speculation and geographical factors played a more significant role in the"Asian premium"for natural gas.This study provides an important reference for price mechanism reform in China's natural gas market.

关 键 词：Natural gas Asian premium Speculative premium Energy security premium BMA TVP-SV-VAR 

分 类 号：F416.2[经济管理—产业经济]