石油价格波动与我国油气行业价格风险管理研究
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摘要
石油是现代经济社会有效运转必不可少的能源和工业原料。随着我国经济的快速增长,石油的需求也迅速增加,但由于国内资源相对匮乏,我国越来越依赖国际市场。然而,当前的国际石油市场却始终处于剧烈波动中。这一方面是由于石油作为重要战略物资固有的希缺性,另一方面是各种市场力量投机的结果。国际石油资源不论从储量还是产量看都极不平衡,石油的产地和主要消费市场相分离,使其从生产到消费的每一个环节都可能引起油价的波动。而作为期货市场的标的,投机力量的作用使油价常常背离其价值,在实现期货市场价格发现功能的同时,也加剧了油价的波动。
石油工业是一国国家经济的支柱,产业链条长,彼此衔接紧密,油价的波动必然对国家的经济稳定产生严重的影响。世界各国无不积极采用各种措施保障自身的石油安全,如推行节能措施、建立战略石油储备等;大型跨国石油公司则充分利用自己在经营上的优势主动管理油价波动风险,不仅利用期货市场进行套期保值交易,而且通过准确把握油价的涨落趋势牟取投机收益。
对于我国来说,油气行业的价格风险管理是由于国际油价的剧烈波动而自然产生的问题。为了保障国家石油安全,我国油气行业开始了国际化经营,怎样估计国际油价波动,如何有效地管理价格风险成为新的问题出现在我们面前。在我国国内,市场化的期货定价机制尚未建立,由于历史原因现行石油定价机制存在诸多弊端,成品油价格的调整常常滞后于原油价格波动。2008年12月成品油定价机制实施了进一步市场化改革,怎样管理成品油价格波动风险,降低国际油价波动对我国经济的冲击,也是油气行业的一个迫切需要解决的问题。
本文采用了定性分析和定量分析相结合的研究方法。第一,对前人的研究工作进行考察,进而分析了国际原油市场的运行状况,包括国际石油市场各参与方、期货定价机制和石油市场的运行以及石油企业的套期保值与投机等,之后研究了我国的石油市场和油气行业的状况,对三大国家石油公司的经营进行了分析;第二,选取WTI和Brent市场的相关数据,以GARCH模型为工具度量了国际石油市场的价格风险;第三,在现行成品油定价机制下,以组合风险管理的思想研究了我国成品油定价和价格风险管理问题,利用GARCH模型模拟相关数据,提出了以国际石油市场的价格风险估计为基础的我国成品油指数加权定价风险最小化模型,并用蒙特卡罗模拟法进行了实证验证。这些分析同时形成了我国油气行业价格风险管理的分析框架。
本文认为:石油的价格是自然禀赋和国际政治、经济力量综合作用的结果,期货定价机制下国际油价常常剧烈波动,表现出物质金融二重属性。国际石油市场既存在相互联系和相似性,又具有自身的特征;GARCH模型可以有效地刻画WTI和Brent市场的价格波动风险,模型在扰动项条件正态分布和GED分布假设下能够较好地估计市场的VaR值,而条件t分布假设会得到过于保守的结果。由于我国石油对外依存度加深,我国成品油定价以Brent、Dubai、Minas三地原油价格的加权价格为基础,在我国成品油指数加权定价风险最小化模型下,我国应当选取三地权重比为0.2389: 0.5759: 0.1852的定价策略,此时,成品油价格波动达到最小值,能够实现成品油价格风险最小化的目标。
Oil is essential energy and raw materials to modern economy and society. With China’s economic growing, it is rapid growth in oil demand. Because of the relative scarcity of domestic resources, China has to depend on international markets. However, current international oil markets have been at sharp fluctuations. This is because oil as strategic materials is inherently scarce, also is the result of speculation. For oil resources are extremely unbalanced and the produce and markets are separated, price volatility be caused. Oil prices often deviated from its value for speculation, realizing the price discovery function of futures market and increasing volatility meanwhile.
The oil industry, with its long connected industrial chain is the foundation of economy. So the volatility of oil prices inevitably weakens the economic stability. All countries try to protect its oil security by measures such as implementing energy conservation, establishing reserves, etc. Multinational oil companies manage oil price volatility actively in operating, not only do hedging but also reap speculative gains by following the oil prices accurately.
In China’s oil and gas industry, the price risks management is an occurring problem. To protect oil security, China’s enterprises began international operation, how to estimate the volatility and manage price risks become new problems. Domestically, the futures market pricing system has not been established and there are many disadvantages being in current system, thus, time lag exists in the volatility of refined oil prices home to international markets. Further market-oriented reforms were carried out in pricing in Dec 2008, how to manage refined oil price risks to reduce the shocks is also an urgent problem.
In this paper, qualitative and quantitative methodology was adopted. First, we reviewed previous studies, then described the running of international oil markets, including the participants, futures pricing, market running and oil companies’hedging and speculation, following we did research on China’s oil market and industry, some analysis was made about the three national oil companies. Second, we measured price risks by GARCH model in the data of WTI and Brent markets. Third, we did research on the problem of refined oil pricing and price risks management based on the portfolio idea under current refined oil pricing system. We proposed China’s refined oil exponential weighted pricing of risk minimization model and test the results by Monte Carlo simulation. The analysis also formed price risk management analysis framework in China's oil and gas industry.
Follow the views. The price of oil is the result brought by endowments interplaying with international political and economic forces. International oil prices are at fluctuations, showing properties on material and finance. Although interrelation and similarities exist, each market has its own characteristic. We can effectively describe the volatility and estimate VaR of WTI and Brent oil markets by GARCH model at the assumption the disturbances were subjected to conditional normal and GED distribution, while Student’s t distribution was overly conservative. As China’s oil dependence growing, refined oil pricing has been based on weighted prices of crude oil in Brent, Dubai and Minas markets. In the exponential weighted model mentioned above, China should set the pricing weight ratio of 0.2389: 0.5759: 0.1852, at that moment the price volatility of refined oil reaches the minimum.
石油工业是一国国家经济的支柱,产业链条长,彼此衔接紧密,油价的波动必然对国家的经济稳定产生严重的影响。世界各国无不积极采用各种措施保障自身的石油安全,如推行节能措施、建立战略石油储备等;大型跨国石油公司则充分利用自己在经营上的优势主动管理油价波动风险,不仅利用期货市场进行套期保值交易,而且通过准确把握油价的涨落趋势牟取投机收益。
对于我国来说,油气行业的价格风险管理是由于国际油价的剧烈波动而自然产生的问题。为了保障国家石油安全,我国油气行业开始了国际化经营,怎样估计国际油价波动,如何有效地管理价格风险成为新的问题出现在我们面前。在我国国内,市场化的期货定价机制尚未建立,由于历史原因现行石油定价机制存在诸多弊端,成品油价格的调整常常滞后于原油价格波动。2008年12月成品油定价机制实施了进一步市场化改革,怎样管理成品油价格波动风险,降低国际油价波动对我国经济的冲击,也是油气行业的一个迫切需要解决的问题。
本文采用了定性分析和定量分析相结合的研究方法。第一,对前人的研究工作进行考察,进而分析了国际原油市场的运行状况,包括国际石油市场各参与方、期货定价机制和石油市场的运行以及石油企业的套期保值与投机等,之后研究了我国的石油市场和油气行业的状况,对三大国家石油公司的经营进行了分析;第二,选取WTI和Brent市场的相关数据,以GARCH模型为工具度量了国际石油市场的价格风险;第三,在现行成品油定价机制下,以组合风险管理的思想研究了我国成品油定价和价格风险管理问题,利用GARCH模型模拟相关数据,提出了以国际石油市场的价格风险估计为基础的我国成品油指数加权定价风险最小化模型,并用蒙特卡罗模拟法进行了实证验证。这些分析同时形成了我国油气行业价格风险管理的分析框架。
本文认为:石油的价格是自然禀赋和国际政治、经济力量综合作用的结果,期货定价机制下国际油价常常剧烈波动,表现出物质金融二重属性。国际石油市场既存在相互联系和相似性,又具有自身的特征;GARCH模型可以有效地刻画WTI和Brent市场的价格波动风险,模型在扰动项条件正态分布和GED分布假设下能够较好地估计市场的VaR值,而条件t分布假设会得到过于保守的结果。由于我国石油对外依存度加深,我国成品油定价以Brent、Dubai、Minas三地原油价格的加权价格为基础,在我国成品油指数加权定价风险最小化模型下,我国应当选取三地权重比为0.2389: 0.5759: 0.1852的定价策略,此时,成品油价格波动达到最小值,能够实现成品油价格风险最小化的目标。
Oil is essential energy and raw materials to modern economy and society. With China’s economic growing, it is rapid growth in oil demand. Because of the relative scarcity of domestic resources, China has to depend on international markets. However, current international oil markets have been at sharp fluctuations. This is because oil as strategic materials is inherently scarce, also is the result of speculation. For oil resources are extremely unbalanced and the produce and markets are separated, price volatility be caused. Oil prices often deviated from its value for speculation, realizing the price discovery function of futures market and increasing volatility meanwhile.
The oil industry, with its long connected industrial chain is the foundation of economy. So the volatility of oil prices inevitably weakens the economic stability. All countries try to protect its oil security by measures such as implementing energy conservation, establishing reserves, etc. Multinational oil companies manage oil price volatility actively in operating, not only do hedging but also reap speculative gains by following the oil prices accurately.
In China’s oil and gas industry, the price risks management is an occurring problem. To protect oil security, China’s enterprises began international operation, how to estimate the volatility and manage price risks become new problems. Domestically, the futures market pricing system has not been established and there are many disadvantages being in current system, thus, time lag exists in the volatility of refined oil prices home to international markets. Further market-oriented reforms were carried out in pricing in Dec 2008, how to manage refined oil price risks to reduce the shocks is also an urgent problem.
In this paper, qualitative and quantitative methodology was adopted. First, we reviewed previous studies, then described the running of international oil markets, including the participants, futures pricing, market running and oil companies’hedging and speculation, following we did research on China’s oil market and industry, some analysis was made about the three national oil companies. Second, we measured price risks by GARCH model in the data of WTI and Brent markets. Third, we did research on the problem of refined oil pricing and price risks management based on the portfolio idea under current refined oil pricing system. We proposed China’s refined oil exponential weighted pricing of risk minimization model and test the results by Monte Carlo simulation. The analysis also formed price risk management analysis framework in China's oil and gas industry.
Follow the views. The price of oil is the result brought by endowments interplaying with international political and economic forces. International oil prices are at fluctuations, showing properties on material and finance. Although interrelation and similarities exist, each market has its own characteristic. We can effectively describe the volatility and estimate VaR of WTI and Brent oil markets by GARCH model at the assumption the disturbances were subjected to conditional normal and GED distribution, while Student’s t distribution was overly conservative. As China’s oil dependence growing, refined oil pricing has been based on weighted prices of crude oil in Brent, Dubai and Minas markets. In the exponential weighted model mentioned above, China should set the pricing weight ratio of 0.2389: 0.5759: 0.1852, at that moment the price volatility of refined oil reaches the minimum.
引文
①林永生.能源价格对经济主体的影响及传导机制[J].北京师范大学学报(社会科学版), 2008,1.P127-133
①姬广坡.期货市场风险控制论[M].北京:中国财政经济出版社,2000,9. P12-94
①黄长征.投机经济学[M].北京:中国社会科学出版社,2003,9. P57-134
②王洲,马燕林.国际石油价格时间序列的混沌分析与预测[J].资源科学,2008.30(12).P1791-1795
③Timothy J. Considine, Donald F. Larson. Uncertainty and the Price for Crude Oil Reserves[EB/OL].http://www.ssrn.com, 1996,9.2009.6.20
④Planos Varangis, Don Larson. Dealing with Commodity Price Uncertainty[EB/OL]. http://www.ssrn.com, 1996,10. 2009.6.20
⑤Alessandro Mauro. Price Risk Management in the Energy Industry: The Value at Risk Approach[EB/OL]. http://www.ssrn.com, 1999,6. 2009.6.20
⑥Christian Egenhofer, Kyriakos Gialoglou, Giacomo Luciani. Market-based Options for Security of Energy Supply[EB/OL]. http://www.ssrn.com, 2004, 9.2009.6.20
⑦Anil Markandya, Valeria Costantini, Francesco Gracceva and Giorgio Vicini. Security of Energy Supply: Comparing Scenarios From a European Perspective [EB/OL].http://www.ssrn.com, 2005, 6. 2009.7.15
①JamesS.Doran. Estimation of the Risk Premiums in Energy Markets[EB/OL]. http://www.ssrn.com, 2005, 4.2009.7.15
②JamesS. Doran. The Influence of Tracking Error on Volatility Risk Premium Estimation[EB/OL].http://www.ssrn.com, 2006, 5. 2009.7.15
③HarryM.Kat, RoelC.A.Oomen. What Every Investor Should Know About Commodities Part I: Univariate Return Analysis[EB/OL]. http://www.ssrn.com, 2006, 1. 2009.7.15
④DanielP.Ahn. Fat Tails and Futures Markets Illiquidity: Theory and Evidence from Crude Oil and Natural Gas [EB/OL]. http:// w- ww.ssrn.com, 2007, 11. 2009.7.15
⑤Shaun K.Roache. Commodities and the Market Price of Risk [EB/OL]. http://www.ssrn.com, 2008, 9. 2009.9.19
⑥JamesS.Doran, EhudI.Ronn. Computing the Market Price of Volatility Risk the Energy Commodity Markets[EB/OL]. http://www. ssrn.com, 2008, 1. 2009.9.19
⑦Jean Hu. Generalized Secant Hyperbolic Increments: Empirical Study of Speculative Energy Markets[EB/OL]. http://www. ssrn. com, 2008, 12. 2009.9.19
⑧Chia-Lin Chang,Michael McAleer, Roengchai Tansuchat.Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets[EB/OL]. http://www.ssrn.com, 2009,5. 2009.12.11
⑨Chia-Lin Chang, Michael McAleer, Roengchai Tansuchat. Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets[EB/OL]. http://www.ssrn.com, 2009,5. 2009.12.11
⑩Erkko Etula. Broker-Dealer Risk Appetite and Commodity Returns[EB/OL]. http://www.ssrn. com, 2008,11. 2010, 2.5
①潘慧峰,周建,张金水.石油市场波动溢出模型研究[J].中国软科学,2005,8,P152-157
②黄运成,李畅,马卫锋.中国石油价格风险管理的困境与选择[J].世界经济研究, 2005,10. P 22-26
③张丽峰.中国能源供求预测模型及发展对策研究.首都经济贸易大学博士学位论文,2006,4.P39-50, P120-124, P192-200
④张跃军,范英,魏一鸣.基于GED-GARCH模型的中国原油价格波动特征分析[J].数理统计与管理,2007,26(3),P398-406
⑤魏巍贤,陈智文,王建军.三状态马尔可夫机制转换模型研究——在世界油价波动分析中的应用[J].财经研究,2006,6. P120-131
⑥师博.国际油价波动、能源效率与经济增长—基于中国数据的实证研究[J].经济问题探索,2007,11,P14-18
⑦赵惟,范海兰.石油价格波动规律及其预警识别体系研究[J].中国工业经济,2008,11.P66-77
⑧魏一鸣,焦建玲,梁强,范英.油价长期高位对我国社会经济的影响与对策[J].中国科学院院刊,2008,23(1).P11-15
⑨王小川.我国成品油市场管理的改革和发展[J].国际石油经济, 2008,4. P22-25
⑩孙仁金,马杰,王琳旋.“双向有效”的成品油定价机制调整方法研究[J].价格理论与实践, 2009,7. P39-40
①Johnson,L.The theory of hedging and speculation in commodity futures[J].Review of Economics Studies,1960,27.P139-151
①周庆凡.我国石油资源分布与勘探情况[J].石油科技论坛,2008,6. P13-17
①本节数据来源于中石油股份有限公司2006-2008年报.
①本节数据来源于中石化股份有限公司2006-2008年报.
①本节数据来源于中国海油2006-2008年度报告.
①高铁梅.计量经济分析方法与建模[M].北京:清华大学出版社,2006.P171-200
①P. Kupiec. Techniques for Verifying the Accuracy of Risk Management Models[J]. Journal of Derivatives,1995,3:P73-84
①http: //tonto.eia.doe.gov/dnav/pet/pet_pri_wco_k_w.htm
【1】林永生.能源价格对经济主体的影响及传导机制[J].北京师范大学学报(社会科学版), 2008,1. P127–133
【2】姬广坡.期货市场风险控制论[M].北京:中国财政经济出版社,2000,9. P12–94
【3】黄长征.投机经济学[M].北京:中国社会科学出版社,2003,9. P57–134
【4】Timothy J. Considine, Donald F. Larson. Uncertainty and the Price for Crude Oil Reserves [EB/OL].http://www.ssrn.com, 1996,9.2009.6.20
【5】Planos Varangis, Don Larson. Dealing with Commodity Price Uncertainty[EB/OL]. http:// www.ssrn.com, 1996,10. 2009.6.20
【6】Alessandro Mauro. Price Risk Management in the Energy Industry: The Value at Risk Approach[EB/OL].http://www.ssrn.com, 1999,6. 2009.6.20
【7】Christian Egenhofer, Kyriakos Gialoglou, Giacomo Luciani. Market-based Options for Security of Energy Supply[EB/OL]. http://www.ssrn.com, 2004, 9.2009.6.20
【8】Anil Markandya, Valeria Costantini, Francesco Gracceva and Giorgio Vicini. Security of Energy Supply: Comparing Scenarios From a European Perspective [EB/OL]. http://www. ssrn. com, 2005, 6. 2009.7.15
【9】JamesS.Doran. Estimation of the Risk Premiums in Energy Markets[EB/OL]. http://www. ssrn. com, 2005,4.2009.7.15
【10】JamesS. Doran. The Influence of Tracking Error on Volatility Risk Premium Estimation [EB/OL].http://www.ssrn.com, 2006, 5. 2009.7.15
【11】HarryM.Kat, RoelC.A.Oomen. What Every Investor Should Know About Commodities Part I: Univariate Return Analysis[EB/OL]. http://www.ssrn.com, 2006, 1. 2009.7.15
【12】DanielP.Ahn. Fat Tails and Futures Markets Illiquidity: Theory and Evidence from Crude Oil and Natural Gas [EB/OL].http://www.ssrn.com, 2007, 11. 2009.7.15
【13】Shaun K.Roache. Commodities and the Market Price of Risk [EB/OL]. http://www.ssrn.com, 2008, 9. 2009.9.19
【14】JamesS.Doran, EhudI.Ronn. Computing the Market Price of Volatility Risk the Energy Commodity Markets[EB/OL].http://www.ssrn.com, 2008, 1. 2009.9.19
【15】Jean Hu. Generalized Secant Hyperbolic Increments: Empirical Study of Speculative Energy Markets[EB/OL].http://www.ssrn.com, 2008, 12. 2009.9.19
【16】Chia-Lin Chang,Michael McAleer, Roengchai Tansuchat.Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets[EB/OL]. http://www.ssrn.com, 2009,5. 2009.12. 11
【17】Chia-Lin Chang, Michael McAleer, Roengchai Tansuchat. Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets[EB/OL]. http://www.ssrn.com, 2009,5. 2009.12.11
【18】Erkko Etula. Broker-Dealer Risk Appetite and Commodity Returns[EB/OL]. http://www.ssrn. com, 2008,11. 2010, 2.5
【19】潘慧峰,周建,张金水.石油市场波动溢出模型研究[J].中国软科学,2005,8,P152–157
【20】黄运成,李畅,马卫锋.中国石油价格风险管理的困境与选择[J].世界经济研究, 2005,10. P22–26
【21】张丽峰.中国能源供求预测模型及发展对策研究.首都经济贸易大学博士学位论文, 2006,4.P39–50, P120–124, P192–200
【22】张跃军,范英,魏一鸣.基于GED-GARCH模型的中国原油价格波动特征分析[J].数理统计与管理,2007,26(3),P398–406
【23】魏巍贤,陈智文,王建军.三状态马尔可夫机制转换模型研究——在世界油价波动分析中的应用[J].财经研究,2006,6. P120–131
【24】师博.国际油价波动、能源效率与经济增长——基于中国数据的实证研究[J].经济问题探索,2007,11,P14–18
【25】赵惟,范海兰.石油价格波动规律及其预警识别体系研究[J].中国工业经济,2008,11.P66–77
【26】魏一鸣,焦建玲,梁强,范英.油价长期高位对我国社会经济的影响与对策[J].中国科学院院刊,2008,23(1).P11–15
【27】王小川.我国成品油市场管理的改革和发展[J].国际石油经济, 2008,4. P22–25
【28】孙仁金,马杰,王琳旋.“双向有效”的成品油定价机制调整方法研究[J].价格理论与实践, 2009,7. P39–40
【29】Johnson,L. The theory of hedging and speculation in commodity futures[J].Review of Economics Studies,1960,27.P139–151
【30】周庆凡.我国石油资源分布与勘探情况[J].石油科技论坛,2008,6. P13–17
【31】高铁梅.计量经济分析方法与建模[M].北京:清华大学出版社,2006.P171–200
【32】P. Kupiec. Techniques for Verifying the Accuracy of Risk Management Models[J]. Journal of Derivatives,1995,3.P73–84
【33】王洲,马燕林.国际石油价格时间序列的混沌分析与预测[J].资源科学, 2008.30(12). P1791– 1795
【34】殷小红,陈红.国际石油价格短期影响因素的实证分析[J].辽宁工业大学学报(社会科学版),2008,12.P17–19
【35】许可,岳立.浅析石油投机对中国能源安全的影响[J].国际关系学院学报,2008,6.P40–45
【36】程建林,艾春玲.中国石油供需缺口与进口规模预测[J].化学工程与装备,2008,11.P99–101
【37】MamdouhG.Salameh. Peak Oil: a Reality or Hype? [EB/OL].http://www.ssrn.com, 2008,1. 2009.8.5
【38】Cyriel de Jong, Ronald Huisman. Option Formulas for Mean-Reverting Power Prices with Spikes [EB/OL].http://www.ssrn.com, 2002, 9. 2009.8.8
【39】AndersB.Trolle, EduardoS.Schwartz. Variance risk premia in energy commodities[EB/OL]. http://www.ssrn.com, 2008,7. 2009.10.10
【40】Mitchell A.Petersen, S. Ramu Thiagarajan. Risk Measurement and Hedging [EB/OL]. http://www.ssrn.com, 1997, 4. 2009.9.9
【41】Erb C,C Harvey. The strategic and tactical value of commodity futures[J]. Financial Analysts 2006,Journal,62:P69–97
【42】Bakshi G,C Cao,Z Chen. Pricing and hedging long-term options[J]. Journal of Econometrics, 2000,94: P277–318
【43】Cornelis A Los,Satjaporn Tungsong. Investment Model Uncertainty and Fair Pricing[EB/OL]. http://www.ssrn.com, 2008, 5. 2009.7.15
【44】储慧斌.中国能源需求及其风险管理研究.湖南大学博士学位论文, 2005,10. P51-55, P109–121
【45】熊韶辉.论中国实现石油安全的贸易战略和策略.对外经济贸易大学博士学位论文,2007,3. P2–5,P12–22
【46】Dragana Pilipovic. Energy risk[M]. New York:The McGraw-Hill Companies, Inc, 2007, P35–254, P375–454
①姬广坡.期货市场风险控制论[M].北京:中国财政经济出版社,2000,9. P12-94
①黄长征.投机经济学[M].北京:中国社会科学出版社,2003,9. P57-134
②王洲,马燕林.国际石油价格时间序列的混沌分析与预测[J].资源科学,2008.30(12).P1791-1795
③Timothy J. Considine, Donald F. Larson. Uncertainty and the Price for Crude Oil Reserves[EB/OL].http://www.ssrn.com, 1996,9.2009.6.20
④Planos Varangis, Don Larson. Dealing with Commodity Price Uncertainty[EB/OL]. http://www.ssrn.com, 1996,10. 2009.6.20
⑤Alessandro Mauro. Price Risk Management in the Energy Industry: The Value at Risk Approach[EB/OL]. http://www.ssrn.com, 1999,6. 2009.6.20
⑥Christian Egenhofer, Kyriakos Gialoglou, Giacomo Luciani. Market-based Options for Security of Energy Supply[EB/OL]. http://www.ssrn.com, 2004, 9.2009.6.20
⑦Anil Markandya, Valeria Costantini, Francesco Gracceva and Giorgio Vicini. Security of Energy Supply: Comparing Scenarios From a European Perspective [EB/OL].http://www.ssrn.com, 2005, 6. 2009.7.15
①JamesS.Doran. Estimation of the Risk Premiums in Energy Markets[EB/OL]. http://www.ssrn.com, 2005, 4.2009.7.15
②JamesS. Doran. The Influence of Tracking Error on Volatility Risk Premium Estimation[EB/OL].http://www.ssrn.com, 2006, 5. 2009.7.15
③HarryM.Kat, RoelC.A.Oomen. What Every Investor Should Know About Commodities Part I: Univariate Return Analysis[EB/OL]. http://www.ssrn.com, 2006, 1. 2009.7.15
④DanielP.Ahn. Fat Tails and Futures Markets Illiquidity: Theory and Evidence from Crude Oil and Natural Gas [EB/OL]. http:// w- ww.ssrn.com, 2007, 11. 2009.7.15
⑤Shaun K.Roache. Commodities and the Market Price of Risk [EB/OL]. http://www.ssrn.com, 2008, 9. 2009.9.19
⑥JamesS.Doran, EhudI.Ronn. Computing the Market Price of Volatility Risk the Energy Commodity Markets[EB/OL]. http://www. ssrn.com, 2008, 1. 2009.9.19
⑦Jean Hu. Generalized Secant Hyperbolic Increments: Empirical Study of Speculative Energy Markets[EB/OL]. http://www. ssrn. com, 2008, 12. 2009.9.19
⑧Chia-Lin Chang,Michael McAleer, Roengchai Tansuchat.Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets[EB/OL]. http://www.ssrn.com, 2009,5. 2009.12.11
⑨Chia-Lin Chang, Michael McAleer, Roengchai Tansuchat. Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets[EB/OL]. http://www.ssrn.com, 2009,5. 2009.12.11
⑩Erkko Etula. Broker-Dealer Risk Appetite and Commodity Returns[EB/OL]. http://www.ssrn. com, 2008,11. 2010, 2.5
①潘慧峰,周建,张金水.石油市场波动溢出模型研究[J].中国软科学,2005,8,P152-157
②黄运成,李畅,马卫锋.中国石油价格风险管理的困境与选择[J].世界经济研究, 2005,10. P 22-26
③张丽峰.中国能源供求预测模型及发展对策研究.首都经济贸易大学博士学位论文,2006,4.P39-50, P120-124, P192-200
④张跃军,范英,魏一鸣.基于GED-GARCH模型的中国原油价格波动特征分析[J].数理统计与管理,2007,26(3),P398-406
⑤魏巍贤,陈智文,王建军.三状态马尔可夫机制转换模型研究——在世界油价波动分析中的应用[J].财经研究,2006,6. P120-131
⑥师博.国际油价波动、能源效率与经济增长—基于中国数据的实证研究[J].经济问题探索,2007,11,P14-18
⑦赵惟,范海兰.石油价格波动规律及其预警识别体系研究[J].中国工业经济,2008,11.P66-77
⑧魏一鸣,焦建玲,梁强,范英.油价长期高位对我国社会经济的影响与对策[J].中国科学院院刊,2008,23(1).P11-15
⑨王小川.我国成品油市场管理的改革和发展[J].国际石油经济, 2008,4. P22-25
⑩孙仁金,马杰,王琳旋.“双向有效”的成品油定价机制调整方法研究[J].价格理论与实践, 2009,7. P39-40
①Johnson,L.The theory of hedging and speculation in commodity futures[J].Review of Economics Studies,1960,27.P139-151
①周庆凡.我国石油资源分布与勘探情况[J].石油科技论坛,2008,6. P13-17
①本节数据来源于中石油股份有限公司2006-2008年报.
①本节数据来源于中石化股份有限公司2006-2008年报.
①本节数据来源于中国海油2006-2008年度报告.
①高铁梅.计量经济分析方法与建模[M].北京:清华大学出版社,2006.P171-200
①P. Kupiec. Techniques for Verifying the Accuracy of Risk Management Models[J]. Journal of Derivatives,1995,3:P73-84
①http: //tonto.eia.doe.gov/dnav/pet/pet_pri_wco_k_w.htm
【1】林永生.能源价格对经济主体的影响及传导机制[J].北京师范大学学报(社会科学版), 2008,1. P127–133
【2】姬广坡.期货市场风险控制论[M].北京:中国财政经济出版社,2000,9. P12–94
【3】黄长征.投机经济学[M].北京:中国社会科学出版社,2003,9. P57–134
【4】Timothy J. Considine, Donald F. Larson. Uncertainty and the Price for Crude Oil Reserves [EB/OL].http://www.ssrn.com, 1996,9.2009.6.20
【5】Planos Varangis, Don Larson. Dealing with Commodity Price Uncertainty[EB/OL]. http:// www.ssrn.com, 1996,10. 2009.6.20
【6】Alessandro Mauro. Price Risk Management in the Energy Industry: The Value at Risk Approach[EB/OL].http://www.ssrn.com, 1999,6. 2009.6.20
【7】Christian Egenhofer, Kyriakos Gialoglou, Giacomo Luciani. Market-based Options for Security of Energy Supply[EB/OL]. http://www.ssrn.com, 2004, 9.2009.6.20
【8】Anil Markandya, Valeria Costantini, Francesco Gracceva and Giorgio Vicini. Security of Energy Supply: Comparing Scenarios From a European Perspective [EB/OL]. http://www. ssrn. com, 2005, 6. 2009.7.15
【9】JamesS.Doran. Estimation of the Risk Premiums in Energy Markets[EB/OL]. http://www. ssrn. com, 2005,4.2009.7.15
【10】JamesS. Doran. The Influence of Tracking Error on Volatility Risk Premium Estimation [EB/OL].http://www.ssrn.com, 2006, 5. 2009.7.15
【11】HarryM.Kat, RoelC.A.Oomen. What Every Investor Should Know About Commodities Part I: Univariate Return Analysis[EB/OL]. http://www.ssrn.com, 2006, 1. 2009.7.15
【12】DanielP.Ahn. Fat Tails and Futures Markets Illiquidity: Theory and Evidence from Crude Oil and Natural Gas [EB/OL].http://www.ssrn.com, 2007, 11. 2009.7.15
【13】Shaun K.Roache. Commodities and the Market Price of Risk [EB/OL]. http://www.ssrn.com, 2008, 9. 2009.9.19
【14】JamesS.Doran, EhudI.Ronn. Computing the Market Price of Volatility Risk the Energy Commodity Markets[EB/OL].http://www.ssrn.com, 2008, 1. 2009.9.19
【15】Jean Hu. Generalized Secant Hyperbolic Increments: Empirical Study of Speculative Energy Markets[EB/OL].http://www.ssrn.com, 2008, 12. 2009.9.19
【16】Chia-Lin Chang,Michael McAleer, Roengchai Tansuchat.Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets[EB/OL]. http://www.ssrn.com, 2009,5. 2009.12. 11
【17】Chia-Lin Chang, Michael McAleer, Roengchai Tansuchat. Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets[EB/OL]. http://www.ssrn.com, 2009,5. 2009.12.11
【18】Erkko Etula. Broker-Dealer Risk Appetite and Commodity Returns[EB/OL]. http://www.ssrn. com, 2008,11. 2010, 2.5
【19】潘慧峰,周建,张金水.石油市场波动溢出模型研究[J].中国软科学,2005,8,P152–157
【20】黄运成,李畅,马卫锋.中国石油价格风险管理的困境与选择[J].世界经济研究, 2005,10. P22–26
【21】张丽峰.中国能源供求预测模型及发展对策研究.首都经济贸易大学博士学位论文, 2006,4.P39–50, P120–124, P192–200
【22】张跃军,范英,魏一鸣.基于GED-GARCH模型的中国原油价格波动特征分析[J].数理统计与管理,2007,26(3),P398–406
【23】魏巍贤,陈智文,王建军.三状态马尔可夫机制转换模型研究——在世界油价波动分析中的应用[J].财经研究,2006,6. P120–131
【24】师博.国际油价波动、能源效率与经济增长——基于中国数据的实证研究[J].经济问题探索,2007,11,P14–18
【25】赵惟,范海兰.石油价格波动规律及其预警识别体系研究[J].中国工业经济,2008,11.P66–77
【26】魏一鸣,焦建玲,梁强,范英.油价长期高位对我国社会经济的影响与对策[J].中国科学院院刊,2008,23(1).P11–15
【27】王小川.我国成品油市场管理的改革和发展[J].国际石油经济, 2008,4. P22–25
【28】孙仁金,马杰,王琳旋.“双向有效”的成品油定价机制调整方法研究[J].价格理论与实践, 2009,7. P39–40
【29】Johnson,L. The theory of hedging and speculation in commodity futures[J].Review of Economics Studies,1960,27.P139–151
【30】周庆凡.我国石油资源分布与勘探情况[J].石油科技论坛,2008,6. P13–17
【31】高铁梅.计量经济分析方法与建模[M].北京:清华大学出版社,2006.P171–200
【32】P. Kupiec. Techniques for Verifying the Accuracy of Risk Management Models[J]. Journal of Derivatives,1995,3.P73–84
【33】王洲,马燕林.国际石油价格时间序列的混沌分析与预测[J].资源科学, 2008.30(12). P1791– 1795
【34】殷小红,陈红.国际石油价格短期影响因素的实证分析[J].辽宁工业大学学报(社会科学版),2008,12.P17–19
【35】许可,岳立.浅析石油投机对中国能源安全的影响[J].国际关系学院学报,2008,6.P40–45
【36】程建林,艾春玲.中国石油供需缺口与进口规模预测[J].化学工程与装备,2008,11.P99–101
【37】MamdouhG.Salameh. Peak Oil: a Reality or Hype? [EB/OL].http://www.ssrn.com, 2008,1. 2009.8.5
【38】Cyriel de Jong, Ronald Huisman. Option Formulas for Mean-Reverting Power Prices with Spikes [EB/OL].http://www.ssrn.com, 2002, 9. 2009.8.8
【39】AndersB.Trolle, EduardoS.Schwartz. Variance risk premia in energy commodities[EB/OL]. http://www.ssrn.com, 2008,7. 2009.10.10
【40】Mitchell A.Petersen, S. Ramu Thiagarajan. Risk Measurement and Hedging [EB/OL]. http://www.ssrn.com, 1997, 4. 2009.9.9
【41】Erb C,C Harvey. The strategic and tactical value of commodity futures[J]. Financial Analysts 2006,Journal,62:P69–97
【42】Bakshi G,C Cao,Z Chen. Pricing and hedging long-term options[J]. Journal of Econometrics, 2000,94: P277–318
【43】Cornelis A Los,Satjaporn Tungsong. Investment Model Uncertainty and Fair Pricing[EB/OL]. http://www.ssrn.com, 2008, 5. 2009.7.15
【44】储慧斌.中国能源需求及其风险管理研究.湖南大学博士学位论文, 2005,10. P51-55, P109–121
【45】熊韶辉.论中国实现石油安全的贸易战略和策略.对外经济贸易大学博士学位论文,2007,3. P2–5,P12–22
【46】Dragana Pilipovic. Energy risk[M]. New York:The McGraw-Hill Companies, Inc, 2007, P35–254, P375–454