基于Zipf方法的中美天然气价格行为研究
|
摘要
在低碳经济转型升级、资源环境约束趋紧的新常态下,天然气在我国能源结构中的重要性日益凸显,而近些年美国页岩气革命对全球油气供需格局产生了巨大冲击,引发了全球关注。为此,本文运用Zipf方法刻画中美两国天然气价格的动力学行为,并开展比较分析。结果表明:首先,中、美天然气价格行为均是非对称的。在中国市场,大体上天然气价格长期看涨的概率更高;在美国市场,温和型投资者在5. 5 a的投资时间标度内看涨天然气价格,超过5. 5 a则认为天然气价格随机波动,而贪婪型投资者长期看涨天然气价格。其次,投资者的投资时间标度和预期收益均会对中、美天然气价格行为产生影响。时间标度越大,中、美天然气价格看涨的概率越大;预期收益越大,其对天然气价格行为的扭曲越大,但若预期收益收敛至临界点,就不会再扭曲天然气价格行为。最后,中国天然气市场的两类投资者以及美国天然气市场的温和型投资者对市场认知的分歧主要都源于价格的涨跌幅度和涨跌时机,而不是涨跌本身。然后,我们为中美天然气市场投资者提出几点建议:在中国市场,温和型投资者可以一直持有天然气资产,而贪婪型投资者可以继续买入并持有天然气资产。在美国市场,温和型投资者在一个季度内可以买入当天和卖出期限不足一个季度的天然气期货合约,在一个季度至5. 5 a内可以卖出天然气资产,超过5. 5 a后投资者无论做空还是做多都有可能获益;贪婪型投资者可以买入并长期持有天然气资产。这些结果有助于认识中美两国天然气市场不同行为主体的交易行为,以及规避天然气价格的极端波动。
Under the new normal of the transformation and upgrading of low-carbon economy and the tightening of resource and environment constraints,the role of natural gas in Chinese energy structure has become increasingly important. In particular,in recent years,the US shale revolution has made huge impact on the pattern of global energy supply and demand,and aroused widespread concerns around the world. Therefore,this paper explores the dynamic behaviors of Chinese and US natural gas prices by the Zipf technique,and conducts comparative analysis. The empirical results show that: firstly,Chinese and US natural gas price behaviors are asymmetric. In Chinese market,the long-term bullish probability is higher on the whole,and in the US market,moderate investors argue that the long-term bullish probability may be greater during five and a half years investment time scale,and once this time point is exceeded,the US natural gas prices may fluctuate randomly; while greedy investors hold that the long-term bullish probability is higher. Secondly,investors ' investment time scale and expected return both have effects on Chinese and US natural gas price behaviors. Specifically,the longer investment time scales,the greater bullish probabilities; and the higher expected returns,the bigger distortion of Chinese and US natural gas price behaviors,but once the critical points of expected returns are reached,they will no longer be able to distort Chinese and US natural gas price behaviors. Finally,the differences in Chinese( or US) natural gas market cognitions from investors( or moderate investors) are mainly caused by the amplitudes and occasions of natural gas price fluctuations,rather than natural gas price fluctuations themselves. Based on these results,we propose some suggestions for investors in Chinese and US natural gas markets. In Chinese market,moderate investors can choose to hold while greedy investors can continue to buy and hold natural gas assets. In the US market,within one quarter,moderate investors can buy the current futures contracts and sell those to be delivered within one quarter; from one quarter to five and a half years,they can sell natural gas assets; after more than five and a half years,they can get benefits whether going short or long,while greedy investors can buy and hold natural gas assets in the long run.These findings may help to understand the trading behaviors of different agents in Chinese and US natural gas markets and to hedge against the extreme fluctuations of natural gas prices.
Under the new normal of the transformation and upgrading of low-carbon economy and the tightening of resource and environment constraints,the role of natural gas in Chinese energy structure has become increasingly important. In particular,in recent years,the US shale revolution has made huge impact on the pattern of global energy supply and demand,and aroused widespread concerns around the world. Therefore,this paper explores the dynamic behaviors of Chinese and US natural gas prices by the Zipf technique,and conducts comparative analysis. The empirical results show that: firstly,Chinese and US natural gas price behaviors are asymmetric. In Chinese market,the long-term bullish probability is higher on the whole,and in the US market,moderate investors argue that the long-term bullish probability may be greater during five and a half years investment time scale,and once this time point is exceeded,the US natural gas prices may fluctuate randomly; while greedy investors hold that the long-term bullish probability is higher. Secondly,investors ' investment time scale and expected return both have effects on Chinese and US natural gas price behaviors. Specifically,the longer investment time scales,the greater bullish probabilities; and the higher expected returns,the bigger distortion of Chinese and US natural gas price behaviors,but once the critical points of expected returns are reached,they will no longer be able to distort Chinese and US natural gas price behaviors. Finally,the differences in Chinese( or US) natural gas market cognitions from investors( or moderate investors) are mainly caused by the amplitudes and occasions of natural gas price fluctuations,rather than natural gas price fluctuations themselves. Based on these results,we propose some suggestions for investors in Chinese and US natural gas markets. In Chinese market,moderate investors can choose to hold while greedy investors can continue to buy and hold natural gas assets. In the US market,within one quarter,moderate investors can buy the current futures contracts and sell those to be delivered within one quarter; from one quarter to five and a half years,they can sell natural gas assets; after more than five and a half years,they can get benefits whether going short or long,while greedy investors can buy and hold natural gas assets in the long run.These findings may help to understand the trading behaviors of different agents in Chinese and US natural gas markets and to hedge against the extreme fluctuations of natural gas prices.
引文
[1]周娜,吴巧生,王然,等.“一带一路”国家天然气投资绩效评价及其改进路径[J].中国人口·资源与环境,2017,27(7):60-71.
[2]潘月星,赵军.我国进口液化天然气(LNG)价格传导机制研究[J].价格理论与实践,2017(9):60-63.
[3]BP. BP statistical review of world energy 2018[R/OL].(2018-07-30)[2019-01-30]. https://www. bp. com/content/dam/bp-country/zh_cn/Publications/2018SRbook. pdf.
[4]SERLETIS A,RANGEL-RUIZ R. Testing for common features in North American energy markets[J]. Energy economics,2004,26(3):401-414.
[5]STERN J. International gas pricing in Europe and Asia:a crisis of fundamentals[J]. Energy policy,2014,64:43-48.
[6]BROWN S P A,YUCEL M K. What drives natural gas prices?[J].The energy journal,2008,29(2):45-60.
[7]NICK S,THOENES S. What drives natural gas prices? A structural VAR approach[J]. Energy economics,2014,45:517-527.
[8]HULSHOF D, VANDER MAAT J P, MULDER M. Market fundamentals,competition and natural-gas prices[J]. Energy policy,2016,94:480-491.
[9]WANG Y D,WU C F. Energy prices and exchange rates of the the US dollar:further evidence from linear and nonlinear causality analysis[J]. Economic modelling,2012,29(6):2289-2297.
[10]ZHANG Y J,CHEVALLIER J,GUESMI K.‘De-financialization’of commodities? evidence from stock,crude oil and natural gas markets[J]. Energy economics,2017,68:228-239.
[11]ZIPF G K. Human behavior and the principle of least effort[M].Cambridge:Addison-Wesley Press,1949.
[12]何凌云,范英,魏一鸣.基于Zipf分析的Brent原油价格行为的实证研究[J].复杂系统与复杂性科学,2006,3(1):67-78.
[13]ZHU B Z, MA S J, CHEVALLIER J, et al. Modelling the dynamics of European carbon futures price:a Zipf analysis[J].Economic modelling,2014,38:372-380.
[14]姬强,刘明磊,范英.国际天然气价格驱动因素的结构性变化[J].数理统计与管理,2016,35(6):951-960.
[15]SERLETIS A,ANDREADIS I. Random fractal structures in North American energy markets[J]. Energy economics,2004,26(3):389-399.
[16]张希栋,娄峰,张晓.中国天然气价格管制的碳排放及经济影响——基于非完全竞争CGE模型的模拟研究[J].中国人口·资源与环境,2016,26(7):76-84.
[2]潘月星,赵军.我国进口液化天然气(LNG)价格传导机制研究[J].价格理论与实践,2017(9):60-63.
[3]BP. BP statistical review of world energy 2018[R/OL].(2018-07-30)[2019-01-30]. https://www. bp. com/content/dam/bp-country/zh_cn/Publications/2018SRbook. pdf.
[4]SERLETIS A,RANGEL-RUIZ R. Testing for common features in North American energy markets[J]. Energy economics,2004,26(3):401-414.
[5]STERN J. International gas pricing in Europe and Asia:a crisis of fundamentals[J]. Energy policy,2014,64:43-48.
[6]BROWN S P A,YUCEL M K. What drives natural gas prices?[J].The energy journal,2008,29(2):45-60.
[7]NICK S,THOENES S. What drives natural gas prices? A structural VAR approach[J]. Energy economics,2014,45:517-527.
[8]HULSHOF D, VANDER MAAT J P, MULDER M. Market fundamentals,competition and natural-gas prices[J]. Energy policy,2016,94:480-491.
[9]WANG Y D,WU C F. Energy prices and exchange rates of the the US dollar:further evidence from linear and nonlinear causality analysis[J]. Economic modelling,2012,29(6):2289-2297.
[10]ZHANG Y J,CHEVALLIER J,GUESMI K.‘De-financialization’of commodities? evidence from stock,crude oil and natural gas markets[J]. Energy economics,2017,68:228-239.
[11]ZIPF G K. Human behavior and the principle of least effort[M].Cambridge:Addison-Wesley Press,1949.
[12]何凌云,范英,魏一鸣.基于Zipf分析的Brent原油价格行为的实证研究[J].复杂系统与复杂性科学,2006,3(1):67-78.
[13]ZHU B Z, MA S J, CHEVALLIER J, et al. Modelling the dynamics of European carbon futures price:a Zipf analysis[J].Economic modelling,2014,38:372-380.
[14]姬强,刘明磊,范英.国际天然气价格驱动因素的结构性变化[J].数理统计与管理,2016,35(6):951-960.
[15]SERLETIS A,ANDREADIS I. Random fractal structures in North American energy markets[J]. Energy economics,2004,26(3):389-399.
[16]张希栋,娄峰,张晓.中国天然气价格管制的碳排放及经济影响——基于非完全竞争CGE模型的模拟研究[J].中国人口·资源与环境,2016,26(7):76-84.