摘要
二十一世纪以后,国际原油价格逐渐呈现出不同以往的运动规律,其价格短期波动趋势明显加剧,这一现象已经难以运用传统的长期价格影响因素进行合理有效的解释。在这一背景下,研究国际原油价格的短期波动规律具有重要的意义。本文通过运用Hodrick-Prescott滤波方法对原油价格波动中短期因子进行分离,以此为基础运用计量经济方法对外部影响因素和原油价格短期波动的相互作用关系进行研究,并构建了基于径向基函数神经网络的原油价格短期波动预测模型。
与国际原油价格日趋动荡相对应的是,由于我国油品价格机制的改革以及原油对外依存度的提高,共同导致我国经济发展越来越多受到国际原油市场的影响,因此本文进一步采用Granger因果检验等计量研究方法对国际原油价格短期波动与我国宏观经济的相互作用关系,以及原油价格对我国产生影响的传导路径进行了深入分析。
本研究主要得到以下研究结论:(1)国际原油价格短期波动具有强记忆性(国际原油价格对自身波动解释的贡献率达到80%),此外美元汇率也是解释原油价格短期波动的重要变量。(2)基于径向基函数神经网络预测模型其拟合效果显著优于传统的多元线性回归预测模型,从侧面证实了外部作用因素对国际原油价格短期波动的影响具有非线性特点。(3)国际原油价格短期波动对我国居民消费价格指数和银行间实际回购利率变化具有直接的解释作用,但并未发现实际工业增加值增长和广义货币供应量增长会受到其任何直接的影响。
After the twenty-first century, the international crude oil prices have rendered a different movement style, of which Short-term fluctuations is clearly increasing. It is hard to employ the traditional long-term factors to explain this phenomenon reasonably and effectively. Based on this special background, this research applied Hodrick-Prescott filter method to remove the trends from time series data. And then tried to study the interaction between the influencing factors and the short-term fluctuations in crude oil prices using Econometric Methods. Finally, we constructed short-term fluctuations in crude oil price forecasting model based on radial basis function neural network.
With the increasingly volatile international crude oil prices, the reform of China's oil pricing mechanism, as well as the increased dependence on foreign crude oil result in that China's economic development is affected by the international crude oil market more and more. Therefore, this article further use Granger causality test and other research methods to examine the relation between short-term fluctuations in international crude oil prices and China's macro-economy and discuss the transmission path, relevant research conclusions are as follows:
(1) The short-term fluctuations in international crude oil prices have a strong memory, in addition, the exchange of U.S. dollar is also an important Explanatory variables.
(2) Fitting result of the forecasting model based on radial basis function neural network is significantly better than the traditional multiple linear regression prediction model, which confirms that external factors on the fluctuations of international crude oil prices in short-term have non-linear characteristics.
(3) Short-term fluctuations in international crude oil price have a direct interpretation of the role of China's consumer price index and the real inter-bank repo interest rate, however we didn't find Short-term fluctuations shows any direct impact on real industrial value added and broad money supply.
引文
[1]Alhajji, A. F. & Huettner, D. OPEC and world crude oil markets from 1973 to 1994:cartel, oligopoly, or competitive? Journal of Energy,2000,21(3),31-58.
[2]Amano, R. A. & Van Norden, S. Oil prices and the rise and fall of the US real exchange rate. Journal of International Money and Finance,1998,17,199-316.
[3]Balke, N. S., Brown, S. P. A. & Yucel, M. K. Oil price shocks and the US economy:where does the asymmetry originate? The Energy Journal,2002,23, 27-52.
[4]Barone-Adesi, G. K., Giannopoulos, K. & Bourgoin, F. Don't look back. Risk, 1998,11,100-104.
[5]Barsky, R. B. & Kilian, L. Oil and the macroeconomy since the 1970s. Journal of Economic Perspectives,2004,18(4),115-134.
[6]Benassy-Quere, A., Mignon, V. & Penot, A. China and the relationship between the oil price and the dollar. Energy Policy,2007,35,5795-5805.
[7]Bodenstein, M., Erceg, C. J. & Guerrieri, L. Oil shocks and external adjustment. International Finance Discussion Papers,2007.
[8]Brown, S. P. A. & Yucel, M. K. Energy prizes and aggregate economic activity:an interpretative survey. Quarterly Review of Economics and Finance,2002,42, 69-77.
[9]Cabedo, D. & Moya, I. Estimating oil price "value at risk" using the historical simulation approach. Energy Economics,2003,25(3),239-253.
[10]Chaudhuri, K. & Daniel, B. C. Long-run equilibrium real exchange rates and oil prices. Economics Letters,1998,58,231-238.
[11]Chen, S. S. & Chen, H. C. Oil prices and real exchange rates. Energy Economics,2007,29,190-404.
[12]Cremer, J. & Salehi-isfahani, D. Models of the oil market. Harwood Academic Publishers GmbH,1991.
[13]Darby, M. R. The price of oil and world inflation and recession. American Economic Review,1982,72,738-751.
[14]Davis, S. J. & Haltiwanger, J. Sectoral job creation and destruction responses to oil price changes. Journal of Monetary Economics,2001,48,465-512.
[15]DeSerpa, A. C. Hotelling models:a general equilibrium approach. Southern Economic Journal,1986,52(4),999-1009.
[16]Dickey, D. A. & Fuller, W. A. Likelihood ratio statistics for autoregressive time
Series with a unit root. Econometirca,1981,49,1057-1072.
[17]Engdahl, F. W. Perhaps 60% of today's oil price is pure speculation. Globe Research,2008-5-2.
[18]Engle, R. F. Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation. Econometrica,1982,50(4),987-1007.
[19]Engle, R. F. & Granger, C. J. Cointegration and error correction:representation, estimation and testing. Econometrica,1987,55,119-139.
[20]Ezzati, A. Future OPEC price and production strategies as affected by its capacity to absorb oil revenues. European Economic Review,1976,5(3), 190-194.
[21]Fama, E. Random walks in stock market prices. Financial Analysts Journal, 1965,21(5),55-59.
[22]Ferderer, J. P. Oil price volatility and the macroeconomy. Journal of Macroeconomics,1996,18,1-26.
[23]Finn, M. G. Perfect competition and the effects of energy price increase on economic activity. Journal of Money, Credit and Banking,2000,32,400-416.
[24]Fong, W. M. & See, K. H. A markov switching model of the conditional volatility of crude oil futures prices. Energy Economics,2002,24(1),71-95.
[25]Ghaffari, A. & Zare, S. A novel algorithm for prediction of crude oil price variation based on soft computing. Energy Economics,2009, in press.
[26]Gori, F., Ludovisi, D. & Cerritelli, P. F. Forecast of oil price and consumption in the short term under three scenarios:Parabolic, linear and chaotic behavior. Energy,2007,32,1291-1296.
[27]Granger, C. J. Some properties of time series data and their use in econometric model specification. Journal of Econometrics,1981,16,121-130.
[28]Griffin, J. M. OPEC behavior:a test of alternative hypotheses. American Economic Review,1985,75(5),954-963.
[29]Hagen, R. How is the international price of a particular crude determined? OPEC Review,1994,18 (1),145-158.
[30]Haigh, M. S., Hranaiova, J., et al. Price volatility, liquidity provision and the role of managed money traders in energy futures markets. CFTC paper,2006.
[31]Hamilton, J. D. Oil and the macroeconomy since World War Ⅱ. Journal of Political Economy,1983,91,228-248.
[32]Hamilton, J. D. A neoclassical model of unemployment and the business cycle. Journal of Political Economy,1988a,96(3),593-617.
[33]Hamilton, J. D. A rational expectation analysis of changes in regime:An investigation of term structure of interest rates. Journal of Economic Dynamics, 1988b,12,385-423.
[34]Hamilton, J. D. A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica,1989,57(2),357-384.
[35]Hammoudeh, S, Li, H. & Joen, B. Causality and volatility spillovers among petroleum prices of WTI gasoline and heating oil in different locations, North Americn Journal of Economics and Finance,2003,14,89-114.
[36]Huntington, H. G. The impact of sectoral shifts in industry on US energy demands. Energy,1989,14(6),363-372.
[37]Huntington, H. G. Crude oil prices and US economic performance:where does the asymmetry reside? The Economic Journal,1998,19(4),107-132.
[38]Jimenez-Rodriguez, R. & Sanchez, M. Oil price shocks and real GDP growth: empirical evidence for some OECD countries. Applied Economics,2005,37, 201-228.
[39]Jose, A. R., Myriam, C. & Carlos, I. V., et al. Multifractal hurst analysis of crude oil prices. Physica A: Statistical Mechanics and its Applications,2002,313, 651-670.
[40]Kilian, L., Rebucci, A. & Spatafora, N. Oil shocks and external balances. Journal of International Economics,2009,77,181-194.
[41]MacAvoy, P. W. Crude oil prices:As determined by OPEC and market fundamentals. Ballinger Publishing Company, Cambridge,1982.
[42]Morana, C. A. Semi-parametric approach to short-term oil price forecasting. Energy Economics,2001,23,325-338.
[43]Mork, K. A. Oil and the macroeconomy when prices go up and down: an extension of Hamilton's results. Journal of Political Economy,1989,97,740-744.
[44]Narayan, P. K. & Narayan, S. Modeling oil price volatility. Energy Policy,2007, 35,6549-6553.
[45]Olson, M. The productivity slowdown, the oil shocks, and the real cycle. Journal of Economic Perspectives,1988,2(4),43-69.
[46]Pesaran, M. H. & Shin, Y. Generalised Impulse Response Analysis in Linear. Multivariate Models. Economics Letters,1998,58,17-29.
[47]Pindyck, R. S. The Long-Run Evolutions of Energy Prices. The Energy Journal, 1999,20(2),1-28.
[48]Pindyck, R. Volatility in natural gas and oil markets. Journal of Energy and
Development,2004,30(1),1-19.
[49]Rautava, J. The role of oil prices and the real exchange rate in Russia's economy: a cointegration approach. Journal of Competitive Economics,2004, 32(2),315-327.
[50]Rotemberg, J. J. & Woodford, M. Imperfect competition and the effects of energy price increases on economic activity. NBER working papers,1996.
[51]Salant, S. W. Imperfect competition in the international energy market:A comuterized Nash-Cournot model. Operations Research,1982,30,252-280.
[52]Sanders, D. R., Boris, K. & Manfredo, M. Hedgers, funds, and small speculators in the energy futures markets:an analysis of the CFTC's commitments of traders reports. Energy Economics,2004,26,425-445.
[53]Sang, H. K., Kang, S. M. & Yoon, S. M. Forecasting volatility of crude oil markets. Energy Economics,2009,31,119-125.
[54]Schubert, S. F. & Turnovsky, S. J. The impact of oil prices on an oil-importing developing economy. Journal of Development Economics,2010, Article in Press.
[55]Schwarz, T. V. & Szakmary, A. C. Price discovery in petroleum markets: arbitrage, cointegration, and the time interval of analysis. Journal of Futures Markets,1994,14,147-167.
[56]Serletis, A. & Andreadis, I. Random fractal structures in North American energy markets. Energy Economics,2004,26(3),389-399.
[57]Sims, G. A. Comparison of Interwar and Postwar Business Cycles:Monetarism Reconsidered. NBER Working papers,1980.
[58]Stevens, P. The determination of oil prices 1945-1995. Energy Policy,1995,23 (10),861-870.
[59]Verleger, P.K. The evaluation of oil as a commodity. In:Jocoby, R., Zimmerman, M. (Eds.), M. Adelman, Energy Markets and Regulation:Essays in Honor of M.A. Adelman. MIT Press, Cambridge, MA.,1987.
[60]Watkins, G. C.& Plourde, A. How volatile are crude oil prices? OPEC Review, 1994,18 (4),220-245.
[61]Wirl, F. Dynamic demand and optimal OPEC pricing:An empirical investigation. Energy Economics,1990,12(3),174-176.
[62]Yu, L., Wang, S. & Lai, K. Kd. Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm. Energy Economics,2008,30, 2623-2635.
[63]毕吉耀.国际油价暴涨的原因、影响及对策.中国物价,2004,10,9-12.
[64]程琴.浅谈国际石油价格大幅波动对我国宏观经济的影响.金融与经济, 2009,9,6-7.
[65]单卫国.高油价:原因探析及走势前瞻.国际石油经济,2004,6(12),5-12.
[66]杜伟.国际油价的决定因素及其未来走势.经济理论与经济管理,2006,9,70-74.
[67]方健敏,于川,张文平.国际石油价格波动的宏观经济效应及对策,经济纵横,2005,10,48-50.
[68]冯春山,吴家春,蒋馥.石油价格的ARFIMA模型预测研究.上海理工大学学报,2005,27(6),539-542.
[69]高铁梅.计量经济分析方法与建模.北京:清华大学出版社,2009.
[70]管清友.国际油价波动的周期模型及其政策含义.国际石油经济,2008,1,25-31.
[71]管清友,张池.投机、操纵与国际油价.国际石油经济,2008,9,1-9.
[72]韩冬炎.中国石油价格形成机理及调控机制的研究.硕士学位论文,哈尔滨工程大学,2004.
[73]韩民春,樊琦.国际原油价格波动与我国工业制成品出口的相关关系研究.数量经济技术经济研究,2007,2,64-72.
[74]何凌云.石油市场复杂性及仿真研究.博士学位论文,中国科学技术大学,2007.
[75]黄赜琳.国际石油价格波动对我国经济的影响,统计与决策,2008,8,86-88.
[76]冀伯祥,宋涛.国际油价暴跌的原因及影响.企业经济,2009,7,131-134.
[77]江冰.国际油价变化趋势分析及对策建议.宏观经济管理,2009,10,34-36.
[78]冷淑莲,江野军,冷崇总.价格传导机制的分析.价格与市场,2004,12,10-13.
[79]李彬.国际市场原油价格的非线性组合预测研究.硕士学位论文,天津大学,2006.
[80]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.资源科学,2009,29(1),178-183.
[81]梁琳琳.欧佩克产量行为对国际油价波动影响的实证研究.数理统计与管理.2009,28(6),963-973.
[82]林敏.社会政治因素对石油价格影响的定量化描述方法.中国石油大学学报,2007,23(2),6-9.
[83]刘红岩.国际石油价格机制研究.硕士学位论文,西南石油大学,2006.
[84]刘建,蒋殿春.国际原油价格冲击对我国经济的影响——基于结构VAR模型的经验分析.世界经济研究,2009,10,33-38.
[85]刘素荣.浅谈国际石油价格风险影响因素及预警机制的建立.价格月刊, 2008,3,12-14.
[86]马义飞.国际油价飙升的原因、影响及国内政策.价格理论与实践,2008,7,22-23.
[87]孟刚,张意翔.国际原油价格波动对我国经济的影响与对策建议.工业技术经济,2008,27(2),114-118.
[88]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.国际石油经济,2008,4,9-17.
[89]孙军,侯超.国际石油价格形成机制研究.中国集体经济,2009,13,22-23.
[90]孙淑萍,赵振智,王建华.从中外成本构成看我国石油生产成本管理.石油大学学报(社科版),1999,03,14-15.
[91]汪莉丽,王安建.世界石油价格历史演变过程及影响因素分析.资源与产业,2009,11(5),35-42.
[92]汪寿阳,余乐安,房勇等.国际油价波动分析与预测.湖南:湖南大学出版社,2008.
[93]王书平,陈钰,金玉静.突发事件对国际油价的影响分析.数学的实践与认识,2009,39(9),88-92.
[94]翁非.石油价格冲击与中国经济增长:基于三变量VAR模型的研究.统计与决策,2006,6,84-86
[95]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.系统工程理论与实践,2008,1,1-8.
[96]杨悠悠.国际石油价格波动对我国经济的影响及其对策.硕士学位论文,江苏大学,2008.
[97]湛爱文.基于BP和RBF神经网络的数据预测方法研究.硕士学位论文,中南大学,2007.
[98]张德丰.MATLAB程序设计与典型应用.北京:电子工业出版社,2009.
[99]张红梅.长短期因素共同作用于国际油价.中国石油和化工,2007,21,29-31.
[100]赵笑宇.石油价格变动对价格总水平的影响分析.中央财经大学学报,2006,12,92-96.
[101]赵元兵,黄健.国际石油价格上扬对中国经济的影响.经济纵横,2005,1,29-31.
[102]郑美玲.国际石油价格预测模型研究.硕士学位论文,西南石油大学,2009.
[103]周子康,王石,杨衡.影响国际石油价格因素解析.管理现代化,2005,6,4-6.