国际原油价格的中国影响机制研究
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摘要
原油被称之为“工业血液”,它的价格波动一直受到各方面的关注。进入21世纪之后,国际油价大幅攀升,并且波动剧烈。中国是世界上原油第二大进口国,2009年原油对外依存度达到51.3%，对国际原油价格存在不容忽视的影响。本文以此为立足点,研究探讨了中国因素对国际原油价格起着怎样的影响,影响方向和程度又是怎样的。
本文第一部分总结了有关国际原油价格的理论研究,归纳了影响国际原油价格的影响因素,包括供给需求、原油期货市场影响、货币政策这几大类。
第二部分则从以上几个方面出发,分别研究了国际原油市场上的供需平衡、原油期货市场对价格形成的影响、一国的货币政策对国际原油价格的影响。货币政策方面,更是创新性的引用了大宗商品的超调模型,分别解释货币供给量与真实利率对国际原油价格的影响。最后还提出股市可能与国际原油价格存在联系。
第三部分从供需与货币政策出发,以中国工业生产总值与狭义货币供给量为代表,分析了中国因素对国际原油价格影响的传导机制。最后更是讨论了与中国宏观经济密切相关的H股指数与国际原油市场之间可能存在的联系。
第四部分为实证部分,以Frankel模型为基础,在模型中添加了中国因素的影响,分别作了当期因素对国际原油价格影响的多元线性回归、带滞后阶数的多元线性回归模型、VAR模型与VEC模型。实证结论是,短期看来,中国因素对国际原油价格的影响并不显著；长期看来,中国的工业生产总值会对国际原油价格形成一个正向的冲击,但冲击程度与美国对原油价格的影响因素相比不大。
最后一个部分总结了前文的研究结论,建议中国在制定原油战略的时候可以将长期的原油价格作为内生变量考虑,并对未来的研究方向进行了展望。
本文的创新之处在于将中国的宏观经济变量与美国的宏观经济变量置于一个统一的框架中研究它们对国际原油价格的影响方向与影响程度；货币政策方面,利用超调模型研究,提出货币供给的增加会使原油价格“超调”,解释了宽松的货币政策对油价的影响；首次讨论了与中国相关的股价水平与国际原油市场之间可能存在的联系。
由于数据条件和作者水平有限,本文所做的分析尚有肤浅和疏漏之处,需修正完善。希望在有条件的情况下,能够关注于影响国际原油价格的某一类中国因素进行更加深入的讨论。
Crude oil, which is called "blood of industry ", its price volatility is always all aspects of attention. After entering the 21st century, the international oil prices soared and fluctuated strongly. China is the world's second-biggest importer of crude oil, whose influence on international crude oil price can't be ignored. This paper tries to discuss the factors play what influences on international crude oil prices.
The first part of this paper summarizes the theoretical research on the international oil price influence factors, including demand and supply, futures market, monetary policy,etc
The second part is studied on the supply and demand balance, crude oil futures market and impact from a country's monetary policy. Using "overshooting model" to explain why looser monetary policy could lead to higher oil price. Finally also puts forward a stock market with the international oil prices may contact between.
The third part is studied on how Chinese factors impacting on international crude oil price, especially Chinese GIP and M1. Finally discussed the likely connection between H-shares index and crude oil price.
The fourth part for empirical part, based on the Frankel model, added Chinese factors, respectively for international oil prices current factors affect multiple linear regression, multiple linear regression model with some lagged quantities, VAR model and VEC model. Conclusion is, in the short run, Chinese factors on the influence of international oil prices is not significant. In the long run, China's industrial gross domestic product on international oil prices will form a positive impact, but the degree is much lower than the impact from America.
The last part summarizes the above research conclusion, suggests when China considering its crude oil strategy, long-term oil prices can be considered as an endogenous variable, and the future research direction was discussed.
The innovations of this paper are:1) laying the macro economic variables of China with macro economic variables of America in a unified framework to study their effects of international oil prices; 2) using "overshoot model" to study how loose monetary policy "overshooting" the crude oil price; 3) discussing the connections between relevant Chinese stock index and international oil markets.
Since the data conditions and the author in this paper level is limited, the analysis of still superficial and inaccuracies, need to be fixed perfected. Hope in the conditional circumstance, can focus on influence international oil price one kind of Chinese factors are more in-depth discussion.
本文第一部分总结了有关国际原油价格的理论研究,归纳了影响国际原油价格的影响因素,包括供给需求、原油期货市场影响、货币政策这几大类。
第二部分则从以上几个方面出发,分别研究了国际原油市场上的供需平衡、原油期货市场对价格形成的影响、一国的货币政策对国际原油价格的影响。货币政策方面,更是创新性的引用了大宗商品的超调模型,分别解释货币供给量与真实利率对国际原油价格的影响。最后还提出股市可能与国际原油价格存在联系。
第三部分从供需与货币政策出发,以中国工业生产总值与狭义货币供给量为代表,分析了中国因素对国际原油价格影响的传导机制。最后更是讨论了与中国宏观经济密切相关的H股指数与国际原油市场之间可能存在的联系。
第四部分为实证部分,以Frankel模型为基础,在模型中添加了中国因素的影响,分别作了当期因素对国际原油价格影响的多元线性回归、带滞后阶数的多元线性回归模型、VAR模型与VEC模型。实证结论是,短期看来,中国因素对国际原油价格的影响并不显著；长期看来,中国的工业生产总值会对国际原油价格形成一个正向的冲击,但冲击程度与美国对原油价格的影响因素相比不大。
最后一个部分总结了前文的研究结论,建议中国在制定原油战略的时候可以将长期的原油价格作为内生变量考虑,并对未来的研究方向进行了展望。
本文的创新之处在于将中国的宏观经济变量与美国的宏观经济变量置于一个统一的框架中研究它们对国际原油价格的影响方向与影响程度；货币政策方面,利用超调模型研究,提出货币供给的增加会使原油价格“超调”,解释了宽松的货币政策对油价的影响；首次讨论了与中国相关的股价水平与国际原油市场之间可能存在的联系。
由于数据条件和作者水平有限,本文所做的分析尚有肤浅和疏漏之处,需修正完善。希望在有条件的情况下,能够关注于影响国际原油价格的某一类中国因素进行更加深入的讨论。
Crude oil, which is called "blood of industry ", its price volatility is always all aspects of attention. After entering the 21st century, the international oil prices soared and fluctuated strongly. China is the world's second-biggest importer of crude oil, whose influence on international crude oil price can't be ignored. This paper tries to discuss the factors play what influences on international crude oil prices.
The first part of this paper summarizes the theoretical research on the international oil price influence factors, including demand and supply, futures market, monetary policy,etc
The second part is studied on the supply and demand balance, crude oil futures market and impact from a country's monetary policy. Using "overshooting model" to explain why looser monetary policy could lead to higher oil price. Finally also puts forward a stock market with the international oil prices may contact between.
The third part is studied on how Chinese factors impacting on international crude oil price, especially Chinese GIP and M1. Finally discussed the likely connection between H-shares index and crude oil price.
The fourth part for empirical part, based on the Frankel model, added Chinese factors, respectively for international oil prices current factors affect multiple linear regression, multiple linear regression model with some lagged quantities, VAR model and VEC model. Conclusion is, in the short run, Chinese factors on the influence of international oil prices is not significant. In the long run, China's industrial gross domestic product on international oil prices will form a positive impact, but the degree is much lower than the impact from America.
The last part summarizes the above research conclusion, suggests when China considering its crude oil strategy, long-term oil prices can be considered as an endogenous variable, and the future research direction was discussed.
The innovations of this paper are:1) laying the macro economic variables of China with macro economic variables of America in a unified framework to study their effects of international oil prices; 2) using "overshoot model" to study how loose monetary policy "overshooting" the crude oil price; 3) discussing the connections between relevant Chinese stock index and international oil markets.
Since the data conditions and the author in this paper level is limited, the analysis of still superficial and inaccuracies, need to be fixed perfected. Hope in the conditional circumstance, can focus on influence international oil price one kind of Chinese factors are more in-depth discussion.
引文
[1]Augustus Sauerbeck. Prices of Commodities and the Precious Metals [J]. Journal of the Statistical Society of London,1886, Vol.49, No.3:581-648.
[2]Boriss Siliverstovs, Guillaume L'He'garet, Anne Neumann, Christian von Hirschhausen. International market integration for natural gas? A cointegration analysis of prices in Europe,North America and Japan [J]. Energy Economics,2005,27:603-615.
[3]Cathy L. Jabara, Nancy E. Schwartz. Flexible Exchange Rates and Commodity Price Changes:The Case of Japan [J]. American Journal of Agricultural Economics,1987,Vol.69, No.3:580-590.
[4]Ederington, L, LEE, JH., "Who trades futures and how:evidence from the heating oil future market"[J]. The economics of Energy,2002.(2):75
[5]Errera, S., Brown, S., "Fundamentals of trading energy futures and options" [M]. Tulsa, Penn Well Corp. c,2002,(!):371-475
[6]Hillard C..Huntington. Crude Oil Prices and U.S. Economic Performance:Where Does the Asymmetry Reside [D]. The United States:Stanford University,1998:
[7]Hotelling, H., "The economics of exhaustable resources"[J]. Journal of Political Economy.1931, (2):137-75
[8]James D. Hamilton. Oil and the Macroeconomy since World War Ⅱ [J]. The Journal of Political Economy,1983,Vol.91, No.2:228-248.
[9]James D. Hamilton. Oil and the Macroeconomy [D]. The United States:University of California,2005:
[10]Jeffrey A. Frankel. Expectations and Commodity Price Dynamics:The Overshooting Model [J]. American Journal of Agricultural Economics,1986, Vol.68, No.2:344-348.
[11]Jeffrey A. Frankel. THE EFFECT OF MONETARY POLICY ON REAL COMMODITY PRICES [D]. The UK:Cambridge University,2006:
[12]Jeffrey A. Frankel. Andrew K., Determinants of Agricultural and Mineral Commodity Prices[EB]. HKS Faculty Research Working Paper Series,2010
[13]Robert B. Barsky and Lutz Kilian. Oil and the Macroeconomy since the 1970s [j]. The Journal of Economic Perspectives.2004, Vol.18, No.4:115-134.
[14]Rosenberg, N., "Historical Relationship between Energy and Economic" [J]. The Economics of Energy.1980,(1):135-150
[15]RudigerDornbusch. EXCHANGE RATES AND PRICES [D]. The UK:Cambridge University,1985:
[16]Weiqi Tang. Libo Wu, ZhongXiang Zhang. Oil price shocks and their short-and long-term effects on the Chinese economy [J]. Energy Economics.2010,32:3-14.
[17]顾列铭.原油价格的脆弱平衡[J]. Observation,2009,6月号：58-60.
[18]张映红.马宝玲.国际原油价格的主控因素分析[J].中外能源,2009,第15卷：12－17.
[19]陈益芬,徐诺.国际原油价格市场波动的模型分析[J].甘肃联合大学学报(自然科学版),2010,Vo1.24NO.2：36-39.
[20]李敬辉,范志勇.利率调整和通货膨胀预期对大宗商品价格波动的影响[J].经济研究,2005,第6期：61－68.
[21]张翼.国际大宗商品期货价格与中国物价变动的关系研究[J].南京审计学院学报,2009,第6卷第1期：12－18.
[22]赵元兵,黄健.价格理论与实践[J].分析预测,2010,1：32-33.
[23]李畅,杨再斌.国际石油价格波动特点及影响因素的实证分析[J].资源科学,2007,29卷第1期：178－183.
[24]杨建辉,潘虹.国际原油价格、人民币实际汇率与中国宏观经济研究[J].系统工程理论与实践,2008,第1期：1－8.
[25]金滋.国际原油价格波动影响因素分析[J].现在经济信息,2009,12：62-62.
[26]吴力波, 华民,Wu Libo, Hua Min国际原油价格上涨对中国、美国和日本宏观经济的影响[J].国际石油经济,2008,16(1)：32-45.
[27]郭海涛,Guo Hai-tao国际原油价格形成中的美国影响机制研究[J].北京工商大学学报(社会科学版),2009,24(2)：6-11.
[28]周向彤.国际原油市场回顾[M].中国远洋航务,2010,(7)：90-91.
[29]李新颜,王嘉,高丽亚.国内原油价格与国际原油价格的相互关系[J].统计观察,2005,10：73-75.
[30]潘慧峰,张金水,Pan Huifeng, Zhang Jinshui基于ARCH类模型的国内油价波动分析[J].统计研究,2005,4：16-20.
[31]陈远亮.基于供求模型的国际油价走势研究[D].厦门：厦门大学,2009：
[32]宋玉华, 林治乾, 孙泽生.期货市场、对冲基金与国际原油价格波动[J].国际石油经济,2008,16(4)：9-17.
[33]李辉, 黄礼军.浅谈国际原油价格体系的构成[J].油气田地面工程,2009,28(7)：66-67.
[34]管清友, 张弛.投机、操纵与国际油价[J].国际石油经济,2008,16(9)：1-7.
[35]孙泽生,管清友.投机与国际石油价格波动[J].国际经济评论,2009,3：57-59.
[36]程伟力.影响国际石油价格因素的定量分析[J].国际石油经济,2005,13(8)：40-43.
[37]杜伟.原油期货投机与油价变动的关系[J].国际石油经济,2007,15(4)：35-40.
[38]陈果,刘志忠.高油价下的中国股市[J].银行家,2008,9(9)：19-20.
[39]黄付生,王蕾.原油价格屡创新高的助推因素及影响[J].国际石油经济,2007,15(11)：1-5
[2]Boriss Siliverstovs, Guillaume L'He'garet, Anne Neumann, Christian von Hirschhausen. International market integration for natural gas? A cointegration analysis of prices in Europe,North America and Japan [J]. Energy Economics,2005,27:603-615.
[3]Cathy L. Jabara, Nancy E. Schwartz. Flexible Exchange Rates and Commodity Price Changes:The Case of Japan [J]. American Journal of Agricultural Economics,1987,Vol.69, No.3:580-590.
[4]Ederington, L, LEE, JH., "Who trades futures and how:evidence from the heating oil future market"[J]. The economics of Energy,2002.(2):75
[5]Errera, S., Brown, S., "Fundamentals of trading energy futures and options" [M]. Tulsa, Penn Well Corp. c,2002,(!):371-475
[6]Hillard C..Huntington. Crude Oil Prices and U.S. Economic Performance:Where Does the Asymmetry Reside [D]. The United States:Stanford University,1998:
[7]Hotelling, H., "The economics of exhaustable resources"[J]. Journal of Political Economy.1931, (2):137-75
[8]James D. Hamilton. Oil and the Macroeconomy since World War Ⅱ [J]. The Journal of Political Economy,1983,Vol.91, No.2:228-248.
[9]James D. Hamilton. Oil and the Macroeconomy [D]. The United States:University of California,2005:
[10]Jeffrey A. Frankel. Expectations and Commodity Price Dynamics:The Overshooting Model [J]. American Journal of Agricultural Economics,1986, Vol.68, No.2:344-348.
[11]Jeffrey A. Frankel. THE EFFECT OF MONETARY POLICY ON REAL COMMODITY PRICES [D]. The UK:Cambridge University,2006:
[12]Jeffrey A. Frankel. Andrew K., Determinants of Agricultural and Mineral Commodity Prices[EB]. HKS Faculty Research Working Paper Series,2010
[13]Robert B. Barsky and Lutz Kilian. Oil and the Macroeconomy since the 1970s [j]. The Journal of Economic Perspectives.2004, Vol.18, No.4:115-134.
[14]Rosenberg, N., "Historical Relationship between Energy and Economic" [J]. The Economics of Energy.1980,(1):135-150
[15]RudigerDornbusch. EXCHANGE RATES AND PRICES [D]. The UK:Cambridge University,1985:
[16]Weiqi Tang. Libo Wu, ZhongXiang Zhang. Oil price shocks and their short-and long-term effects on the Chinese economy [J]. Energy Economics.2010,32:3-14.
[17]顾列铭.原油价格的脆弱平衡[J]. Observation,2009,6月号：58-60.
[18]张映红.马宝玲.国际原油价格的主控因素分析[J].中外能源,2009,第15卷：12－17.
[19]陈益芬,徐诺.国际原油价格市场波动的模型分析[J].甘肃联合大学学报(自然科学版),2010,Vo1.24NO.2：36-39.
[20]李敬辉,范志勇.利率调整和通货膨胀预期对大宗商品价格波动的影响[J].经济研究,2005,第6期：61－68.
[21]张翼.国际大宗商品期货价格与中国物价变动的关系研究[J].南京审计学院学报,2009,第6卷第1期：12－18.
[22]赵元兵,黄健.价格理论与实践[J].分析预测,2010,1：32-33.
[23]李畅,杨再斌.国际石油价格波动特点及影响因素的实证分析[J].资源科学,2007,29卷第1期：178－183.
[24]杨建辉,潘虹.国际原油价格、人民币实际汇率与中国宏观经济研究[J].系统工程理论与实践,2008,第1期：1－8.
[25]金滋.国际原油价格波动影响因素分析[J].现在经济信息,2009,12：62-62.
[26]吴力波, 华民,Wu Libo, Hua Min国际原油价格上涨对中国、美国和日本宏观经济的影响[J].国际石油经济,2008,16(1)：32-45.
[27]郭海涛,Guo Hai-tao国际原油价格形成中的美国影响机制研究[J].北京工商大学学报(社会科学版),2009,24(2)：6-11.
[28]周向彤.国际原油市场回顾[M].中国远洋航务,2010,(7)：90-91.
[29]李新颜,王嘉,高丽亚.国内原油价格与国际原油价格的相互关系[J].统计观察,2005,10：73-75.
[30]潘慧峰,张金水,Pan Huifeng, Zhang Jinshui基于ARCH类模型的国内油价波动分析[J].统计研究,2005,4：16-20.
[31]陈远亮.基于供求模型的国际油价走势研究[D].厦门：厦门大学,2009：
[32]宋玉华, 林治乾, 孙泽生.期货市场、对冲基金与国际原油价格波动[J].国际石油经济,2008,16(4)：9-17.
[33]李辉, 黄礼军.浅谈国际原油价格体系的构成[J].油气田地面工程,2009,28(7)：66-67.
[34]管清友, 张弛.投机、操纵与国际油价[J].国际石油经济,2008,16(9)：1-7.
[35]孙泽生,管清友.投机与国际石油价格波动[J].国际经济评论,2009,3：57-59.
[36]程伟力.影响国际石油价格因素的定量分析[J].国际石油经济,2005,13(8)：40-43.
[37]杜伟.原油期货投机与油价变动的关系[J].国际石油经济,2007,15(4)：35-40.
[38]陈果,刘志忠.高油价下的中国股市[J].银行家,2008,9(9)：19-20.
[39]黄付生,王蕾.原油价格屡创新高的助推因素及影响[J].国际石油经济,2007,15(11)：1-5