石油市场结构性转变与价格驱动机制演变过程研究
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摘要
2000年以来,国际石油市场格局已经发生了重大的变化。直到2008年全球经济危机爆发之前,全球经济呈现高速增长的趋势,这带动了石油需求的持续增长,使石油生产国组织—欧佩克的产能利用率提高到前所未有的水平,同时,非欧佩克国家产量份额不断提高,使欧佩克对油价的控制力不断下降,石油市场全球化趋势进一步加强。另外,石油期货市场的蓬勃发展和金融衍生工具创新使石油市场与宏观经济、金融市场的关系日益紧密,金融属性凸显,石油价格已不完全受制于自身供求基本关系的影响,而是一个受诸多因素影响的金融学概念,供需基本面仅成为影响油价走势的一个基本因素。在此背景下,本文采用结构性改变模型、协整技术、Granger因果检验方法、体制转换模型等工具考察了2000年后石油市场价格机制的演变过程,以及不同市场机制下的油价驱动因素,并开展了一系列研究,论文主要完成了以下几个工作：
(1)基于市场机制可以随时间而改变(结构性转变)的思想,建立了基于结构性改变的石油市场分析框架,主要考虑三类油价影响因素：石油供需基本面、石油的金融属性和地缘政治事件,并假设不同时期油价的影响因素可以不同,作为本文研究的分析框架,并在此框架下开展了一系列的石油市场价格机制改变过程和油价影响因素的研究。
(2)借助于结构性改变检验工具和结构性断点监控方法,对油价的结构性改变特征进行判断和监控,进一步探索了油价波动规律。
(3)基于结构性改变模型和多因素回归模型,考察了石油市场机制的演变过程,以及不同市场机制下油价的主要影响因素,厘清了不同时期影响油价的主要因素和作用关系。
(4)基于体制转换模型,考察了2000年以来国际油价波动的体制转换特征,以及在不同的价格波动体制下,油价的波动特点和规律。
(5)采用多因素模型和Granger因果检验方法,考察了在不同结构性改变时期,投机因素对油价波动的影响。
(6)基于事故树仿真的方法对油气田开发过程中的事故概率风险进行了定量分析。
通过以上的研究工作,本文得到以下的主要结论,第一,采用内生结构性改变方法,本文发现石油市场在2000年以后经历了三次重大的市场机制调整过程,存在3个结构性改变点,分别对应2004年3月12日、2008年7月4日和2010年4月26日,对应3个结构性改变点,将石油市场划分为四个阶段,分别是“市场相对平静”时期、“市场泡沫累积”时期、“全球经济危机”时期和“后经济危机”时期。本文从全球经济增长和石油市场基本面的角度分析了导致市场结构性改变点出现的原因,并通过考察不同市场机制内油价的主要影响因素,厘清了供需基本面和金融市场因素等因素和油价相互作用机制的演变过程,拓展了Miller and Ratti(2009)的研究。结果证实,相关金融市场因素的确在2008年之前的“市场泡沫累积”时期和2010年之后的“后经济危机”时期对油价改变产生重要影响,但作用方式有所不同。
第二,通过结构性改变模型和Markov体制转换模型,发现石油市场价格波动过程存在明显的结构性(体制)转变特征。在不同的结构性(体制)时期内,市场价格的波动方式不同,引起油价改变的影响因素也不尽相同,存在不同的价格波动规律。
第三,通过石油价格结构性改变特征判断和监控方法,发现自1974年2月一2008年10月之间,石油价格出现了4次显著的均值漂移过程,而且导致每次价格均值漂移的原因都不相同。前两次均值漂移和战争因素和石油危机紧密相关,可以归咎于石油供给侧的原因,最近两次均值漂移和经济基本面紧密相关,可以归咎于石油需求侧的原因,这反映了石油市场的一个重要变化,即石油定价权从石油供给方逐渐向石油需求方转移,市场化程度越来越高,使石油供给寡头垄断组织OPEC难以像七八十年代一样几乎完全控制油价的涨跌。
第四,投机因素是石油金融属性的一个集中体现,本文对投机因素的研究显示,投机因素是2008年之前油价波动和上涨的主要影响因素,同时也是2010年4月以后“后经济危机”时期油价波动的重要影响因素。Granger因果检验结果显示,投机力量推动了2008年之前石油远期期货价格的上涨,并在2008年7月2010年4月金融危机期间撤出了石油期货市场,但随着全球经济的复苏和资金避险需求下,投机力量重新回到石油期货市场,成为了价格的追随者,根据油价的涨跌来决定采取买多还是卖空策略,体现了投资者的避险情绪。
第五,通过油气开采过程中事故风险的考察,从石油供给侧考察了石油供给过程中事故风险概率计算的不确定性,将贝叶斯修正引入到事故概率计算中,提高了事故概率估计的可靠性,通过Monte Carlo仿真求解概率分布降低了事故概率计算的不确定性。
本文的主要创新点有,第一,采用市场结构性检验模型对石油价格进行建模,结合石油市场基本面和全球经济增长情况,研究了石油市场的结构性改变特征和结构性转变点的监控问题,并对价格驱动机制的演变过程进行了研究。第二,厘清了在市场机制的演变过程中,油价的主要驱动因素,以及不同因素对油价的作用方式和程度。第三,通过对比回归分析和Granger因果检验,厘清了投机力量在金融危机前后以及“后经济危机”时期在油价波动中发挥的作用,是对石油金融属性研究的一个重要补充。第四,提出了我国油气田开采过程中事故风险概率分布的计算方法,部分上弥补了事故基础统计资料不足在事故概率计算中的缺陷。
Since2000, the international oil market has undergone significant changes. Before the outbreak of the global economic crisis in2008, the global economy presented the trend of rapid growth, which led to the constant growth of global oil demand. The capacity utilization of Organization of the Petroleum Export Countries—OPEC rose to an unprecedented level. And the control power over oil price declined constantly. Because of booming international trade and the information technology revolution, world oil markets have been gradually unifying into a global market. Second, the oil markets are becoming increasingly related to the macroeconomic and financial markets, exhibiting a prominent financial attribute. Oil prices are no longer fully subject to the impact of the supply and demand relationship, but are determined by many factors as a financial concept, of which the supply and demand fundamentals are merely one of many fundamentals affecting the oil price. Therefore, in this paper, we investigated the evolution of the oil market price mechanism, as well as different driving factors of oil prices under different market mechanisms by means of the tools of structural change model, co-integration, Granger causality test method, regime switching model. We performed a series of research work for oil price and related affecting factors. This paper mainly completed several work as follows:
(1) Establishing the general analytical framework of oil market based on structural change theory of market mechanism. Under the framework, we assume that the main factor affecting oil price could be different in the different market mechanism, and mainly consider two kinds of factors:Supply-demand fundamental and financial attribute of oil product since2000. We examine the relationship of these two kinds of factors in the different market mechanism under this framework.
(2) Examining the structural change features and exploring the law of oil price fluctuation by means of structural change test tools and monitoring methods.
(3) Examining the evolution process of market mechanism and the main affecting factors of oil price in the different mechanism based on structural change model and multifactor model.
(4) Investigating the regime switching feature of international oil price since2000based on regime switching model, and oil price fluctuation feature.
(5) Investigating the effect of speculative factor on oil price changes under different structural change period based on multiple factor model and Granger Causality Test.
(6) Analyzing quantitatively the accident probability risk during the oil field development stage based on accident tree simulation method.
This paper gets the conclusion as follows:firstly based on endogenous structural change model, this paper finds that the oil market mechanism undergoes three great market adjustment process, which correspond to March12,2004, July4,2008and April26,2010and divide the oil market into four different stages.
Secondly, based on structural change model and Markov regime switching model, this paper finds the obvious structural change feature in petroleum market. In the different structural change period, the fluctuation way of oil price and the causes which lead to structural break points are different.
Thirdly, through the judgement and monitoring of structural change points, this paper finds the oil price has price mean shifts for four times. The former two shifts are related to the war and petroleum crisis and are attributed to the reason of oil supply side. The latter two shifts are tightly related to the economic fundamental and could be attributed to the reason of oil demand side, which show that OPEC is difficult to completely control the oil price like1970s and1980s.
Fourthly, this paper finds that before the outbreak of financial crisis in2008, speculation was the important factor affecting oil price change, and the explanatory ability of the model (R2) increased significantly. The Granger causality test shows that during this period speculation was the Granger cause of oil price return rate in oil future market rather than oil spot market. After the outbreak of financial crisis in2008, the results show that speculative fund withdrawed the oil future market in the initial period (July4,2008—April26,2010), but with the recovery of global economy gradually the speculative fund returned the oil future market again. But at this time, the speculative traders became the follower of oil price
Fively, this paper described the mechanism of the accidents using fault tree analysis (FTA), and then made use of Bayesian method; The results show that the method could effectively reduce the uncertainty arisen from limited sample data and judge difference from experts.
The innovation points of the paper are as follows:firstly, this paper characterizes the oil market price, and investigates the structural change feature and the monitoring issues, and the evolving process of oil mechanism based on the oil fundamental and global economic growth. Secondly the paper makes clear the main driving factors and the influence way and extent in the different market mechanisms. Thirdly by comparing the regression analysis and Granger causality test, the paper makes clear the role of speculation on oil price before and after the financial crisis. Forthly, this paper proposes the accident probability measurement method during the oil and gas field development stage and partly make up for the default of the lack of actual accident statistics.
(1)基于市场机制可以随时间而改变(结构性转变)的思想,建立了基于结构性改变的石油市场分析框架,主要考虑三类油价影响因素：石油供需基本面、石油的金融属性和地缘政治事件,并假设不同时期油价的影响因素可以不同,作为本文研究的分析框架,并在此框架下开展了一系列的石油市场价格机制改变过程和油价影响因素的研究。
(2)借助于结构性改变检验工具和结构性断点监控方法,对油价的结构性改变特征进行判断和监控,进一步探索了油价波动规律。
(3)基于结构性改变模型和多因素回归模型,考察了石油市场机制的演变过程,以及不同市场机制下油价的主要影响因素,厘清了不同时期影响油价的主要因素和作用关系。
(4)基于体制转换模型,考察了2000年以来国际油价波动的体制转换特征,以及在不同的价格波动体制下,油价的波动特点和规律。
(5)采用多因素模型和Granger因果检验方法,考察了在不同结构性改变时期,投机因素对油价波动的影响。
(6)基于事故树仿真的方法对油气田开发过程中的事故概率风险进行了定量分析。
通过以上的研究工作,本文得到以下的主要结论,第一,采用内生结构性改变方法,本文发现石油市场在2000年以后经历了三次重大的市场机制调整过程,存在3个结构性改变点,分别对应2004年3月12日、2008年7月4日和2010年4月26日,对应3个结构性改变点,将石油市场划分为四个阶段,分别是“市场相对平静”时期、“市场泡沫累积”时期、“全球经济危机”时期和“后经济危机”时期。本文从全球经济增长和石油市场基本面的角度分析了导致市场结构性改变点出现的原因,并通过考察不同市场机制内油价的主要影响因素,厘清了供需基本面和金融市场因素等因素和油价相互作用机制的演变过程,拓展了Miller and Ratti(2009)的研究。结果证实,相关金融市场因素的确在2008年之前的“市场泡沫累积”时期和2010年之后的“后经济危机”时期对油价改变产生重要影响,但作用方式有所不同。
第二,通过结构性改变模型和Markov体制转换模型,发现石油市场价格波动过程存在明显的结构性(体制)转变特征。在不同的结构性(体制)时期内,市场价格的波动方式不同,引起油价改变的影响因素也不尽相同,存在不同的价格波动规律。
第三,通过石油价格结构性改变特征判断和监控方法,发现自1974年2月一2008年10月之间,石油价格出现了4次显著的均值漂移过程,而且导致每次价格均值漂移的原因都不相同。前两次均值漂移和战争因素和石油危机紧密相关,可以归咎于石油供给侧的原因,最近两次均值漂移和经济基本面紧密相关,可以归咎于石油需求侧的原因,这反映了石油市场的一个重要变化,即石油定价权从石油供给方逐渐向石油需求方转移,市场化程度越来越高,使石油供给寡头垄断组织OPEC难以像七八十年代一样几乎完全控制油价的涨跌。
第四,投机因素是石油金融属性的一个集中体现,本文对投机因素的研究显示,投机因素是2008年之前油价波动和上涨的主要影响因素,同时也是2010年4月以后“后经济危机”时期油价波动的重要影响因素。Granger因果检验结果显示,投机力量推动了2008年之前石油远期期货价格的上涨,并在2008年7月2010年4月金融危机期间撤出了石油期货市场,但随着全球经济的复苏和资金避险需求下,投机力量重新回到石油期货市场,成为了价格的追随者,根据油价的涨跌来决定采取买多还是卖空策略,体现了投资者的避险情绪。
第五,通过油气开采过程中事故风险的考察,从石油供给侧考察了石油供给过程中事故风险概率计算的不确定性,将贝叶斯修正引入到事故概率计算中,提高了事故概率估计的可靠性,通过Monte Carlo仿真求解概率分布降低了事故概率计算的不确定性。
本文的主要创新点有,第一,采用市场结构性检验模型对石油价格进行建模,结合石油市场基本面和全球经济增长情况,研究了石油市场的结构性改变特征和结构性转变点的监控问题,并对价格驱动机制的演变过程进行了研究。第二,厘清了在市场机制的演变过程中,油价的主要驱动因素,以及不同因素对油价的作用方式和程度。第三,通过对比回归分析和Granger因果检验,厘清了投机力量在金融危机前后以及“后经济危机”时期在油价波动中发挥的作用,是对石油金融属性研究的一个重要补充。第四,提出了我国油气田开采过程中事故风险概率分布的计算方法,部分上弥补了事故基础统计资料不足在事故概率计算中的缺陷。
Since2000, the international oil market has undergone significant changes. Before the outbreak of the global economic crisis in2008, the global economy presented the trend of rapid growth, which led to the constant growth of global oil demand. The capacity utilization of Organization of the Petroleum Export Countries—OPEC rose to an unprecedented level. And the control power over oil price declined constantly. Because of booming international trade and the information technology revolution, world oil markets have been gradually unifying into a global market. Second, the oil markets are becoming increasingly related to the macroeconomic and financial markets, exhibiting a prominent financial attribute. Oil prices are no longer fully subject to the impact of the supply and demand relationship, but are determined by many factors as a financial concept, of which the supply and demand fundamentals are merely one of many fundamentals affecting the oil price. Therefore, in this paper, we investigated the evolution of the oil market price mechanism, as well as different driving factors of oil prices under different market mechanisms by means of the tools of structural change model, co-integration, Granger causality test method, regime switching model. We performed a series of research work for oil price and related affecting factors. This paper mainly completed several work as follows:
(1) Establishing the general analytical framework of oil market based on structural change theory of market mechanism. Under the framework, we assume that the main factor affecting oil price could be different in the different market mechanism, and mainly consider two kinds of factors:Supply-demand fundamental and financial attribute of oil product since2000. We examine the relationship of these two kinds of factors in the different market mechanism under this framework.
(2) Examining the structural change features and exploring the law of oil price fluctuation by means of structural change test tools and monitoring methods.
(3) Examining the evolution process of market mechanism and the main affecting factors of oil price in the different mechanism based on structural change model and multifactor model.
(4) Investigating the regime switching feature of international oil price since2000based on regime switching model, and oil price fluctuation feature.
(5) Investigating the effect of speculative factor on oil price changes under different structural change period based on multiple factor model and Granger Causality Test.
(6) Analyzing quantitatively the accident probability risk during the oil field development stage based on accident tree simulation method.
This paper gets the conclusion as follows:firstly based on endogenous structural change model, this paper finds that the oil market mechanism undergoes three great market adjustment process, which correspond to March12,2004, July4,2008and April26,2010and divide the oil market into four different stages.
Secondly, based on structural change model and Markov regime switching model, this paper finds the obvious structural change feature in petroleum market. In the different structural change period, the fluctuation way of oil price and the causes which lead to structural break points are different.
Thirdly, through the judgement and monitoring of structural change points, this paper finds the oil price has price mean shifts for four times. The former two shifts are related to the war and petroleum crisis and are attributed to the reason of oil supply side. The latter two shifts are tightly related to the economic fundamental and could be attributed to the reason of oil demand side, which show that OPEC is difficult to completely control the oil price like1970s and1980s.
Fourthly, this paper finds that before the outbreak of financial crisis in2008, speculation was the important factor affecting oil price change, and the explanatory ability of the model (R2) increased significantly. The Granger causality test shows that during this period speculation was the Granger cause of oil price return rate in oil future market rather than oil spot market. After the outbreak of financial crisis in2008, the results show that speculative fund withdrawed the oil future market in the initial period (July4,2008—April26,2010), but with the recovery of global economy gradually the speculative fund returned the oil future market again. But at this time, the speculative traders became the follower of oil price
Fively, this paper described the mechanism of the accidents using fault tree analysis (FTA), and then made use of Bayesian method; The results show that the method could effectively reduce the uncertainty arisen from limited sample data and judge difference from experts.
The innovation points of the paper are as follows:firstly, this paper characterizes the oil market price, and investigates the structural change feature and the monitoring issues, and the evolving process of oil mechanism based on the oil fundamental and global economic growth. Secondly the paper makes clear the main driving factors and the influence way and extent in the different market mechanisms. Thirdly by comparing the regression analysis and Granger causality test, the paper makes clear the role of speculation on oil price before and after the financial crisis. Forthly, this paper proposes the accident probability measurement method during the oil and gas field development stage and partly make up for the default of the lack of actual accident statistics.
引文
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