摘要
随着当前世界石油市场与金融市场相互渗透与结合,石油的准金融产品特征日益突出,石油问题也因此提升到国家金融安全和经济安全的高度。国家石油安全本质已经从“生产—供应”型的“供给安全”模式转变为“贸易—金融”型的“价格安全”模式。当今一个国家石油战略安全的核心问题不在于这个国家能否生产石油或者能生产多少石油,而是在于这个国家能否以合理的价格保障石油的供应。
我国是世界石油生产和消费大国。2007年,我国石油年产量虽然高达1.87亿吨,居世界第5位,但依然无法满足国内的需求。从2003年起,我国石油消费量已经超过日本,日均石油消费量达546万桶,成为仅次于美国的世界第二大石油消费国。自1993年开始,我国成为石油净进口国,每年要从国外进口大量原油和成品油,石油贸易缺口增长迅速,由1994年的340万吨增加至2007年的1.84亿吨,10年多时间里中国的石油净进口量增加了54倍。当前我国已经成为仅次于美国和日本的世界第三大石油净进口国,石油对外依存度高达45%以上。目前中国并没有成熟的石油定价市场,石油价格完全依赖于海外市场。国际市场石油价格的频繁波动给中国国家能源安全和金融安全构成了巨大的威胁。在此背景下,本文提出了石油金融学理论研究和石油期货市场效率实证研究,以期促进我国石油金融学科的发展和为政府制订石油金融政策提供决策参考。本文的主要工作和研究创新如下:
(1)率先提出交叉学科“石油金融学”(PetroFinance)的相关概念。石油金融学是运用金融学基本原理和能源经济学的基础理论,研究石油经济系统中发生的各种金融现象及其所特有的金融规律的一门学科,它是研究石油经济市场的金融属性特征及其规律性的科学。论文分别阐述了石油金融学分支学科石油金融市场学(Petrofinance Markets)、公司石油金融学(Corporate Petrofinance)、石油金融工程学(Petrofinance Engineering)、石油金融计量经济学(Petrofinance Econometrics)和石油货币学(Petroleum Currency)的学科定义、研究对象、研究内容以及研究方法,重点介绍了石油期货市场理论、石油价格波动规律、石油美元理论和石油汇率理论的研究进展以及未来可能的研究方向。
(2)率先证明了石油价格系统存在多重分形特征。针对纽约商品交易所的WTI原油期货、伦敦国际石油交易所的Brent原油期货、新加坡和上海的180cst燃料油期货价格收益率序列,采用多重分析消除趋势波动分析方法(MF-DFA),证明了石油期货价格系统中存在显著的多重分形特征。随着阶数q值的变化,WTI原油期货价格序列的广义Hurst指数从0.8625递减到0.3097,其他石油期货市场也具有类似的特点。
(3)通过引入多重分形谱特征参数,刻画了原油和燃料油期货价格系统的多重分形特征。配分函数检验发现石油期货价格序列没有特征长度,具有标度不变性;广义Rényi维是阶数的单调递减函数,并且与奇异指数具有相同的极限,说明石油价格系统不具有固定的维数,不支持R/S或V/S分析的结果;从多重分形谱来看,石油期货市场成立之初,期货价格的低位事件起主导作用,价格上涨过程中伴随一定程度的震荡回落,而到中后期期货价格的高位事件占主导地位,期货价格总体呈上涨趋势。
(4)全面系统地研究了石油期货和现货市场的价格发现作用过程。针对1987~2008年美国、英国和中国的石油期货和现货市场的全样本数据,采用误差修正模型、方差分解和Garbade-Sillber模型等计量分析方法,研究了石油期货和现货市场的价格发现作用过程。结果表明WTI原油期货市场的价格发现功能最强,Brent原油次之,而中国的180cst燃料油最弱。中国的燃料油期货或现货价格波动方差都来自于其自身,期货与现货市场之间的引导关系非常小。
(5)采用灰色关联度平移时间的方法,研究了不同国家石油期货市场之间的信息溢出效应,并计算了中国石油期货市场与国际石油期货市场价格波动的具体时差。研究发现中国石油价格滞后于美国约2~3天,滞后于英国约15天,滞后于日本约11~14天。国内石油价格与Brent原油期货价格相关性最高,灰色关联度高达0.799908。
Coincident with the mutual penetrate and combination of oil and finance markets has been a growing prominence of the quasi-finance product feature of oil. Therefore the oil issue has been upgraded to the equivalence of national finance and economy security. In essence, national oil security has transformed from the“supply security”model of“production - supply”type to the“price- security”model of“trade - finance”type. The core issue of national oil strategic security has less to do with the oil productivity of a country than it does with the guarantee of oil supply at a reasonable price.
China is one of the largest oil-producing and consuming countries in the world. In 2007, although oil output in China is up to 1.87 billion tons which ranked fifth in the world, it is far from enough to meet domestic demand. Since 2003, oil consumption in China has exceeded that in Japan and, become the second largest oil consumer next to the United States in the world with daily consumption reaching to 0.546 million barrels. Since 1993, China has grown into a net import country of oil due to vast import of crude oil and product oil. The oil trade gap increases swiftly and violently from 0.34 million tons in 1994 to 1.87 billion tons in 2007, with an increase 54 times within tens of years. Nowadays, China has become the third largest oil importing country, whose external dependence degree has been up to 45%. Whereas China doesn’t have a mature oil pricing market now, oil price of which absolutely depends on overseas market. Frequent fluctuation of international oil price poses a threat to energy and finance security of China. Based on such background, this paper presents a theoretical study of petrofinance and an empirical study about efficiencies of oil future markets, in order to promote the development of petrofinance discipline and provide a reference decision-making for formulating related petrofinance strategies. The main innovations and researches are as follows:
The main innovations and researches are as follows:
(1) The concept of PetroFinance, an interdiscipline, is put forward, that is PetroFinance is a discipline to study various finance phenomenon taking place in petroleum economic system and their own finance law using the fundamental theory of finance and Petroleum Economics. Discipline definition, research object, research content, as well as research methods of its branches are set forth respectively, included Petrofinance Markets, Corporate Petrofinance, Petrofinance Engineering, Petrofinance Econometrics and Petroleum Currency. The theory of Petroleum Futures Market, Petrodollars and Petroleum Exchange Rates, the law of fluctuations in Petroleum price, the possible research in the future are mainly introduced.
(2) Aiming at the price return rate series of WTI crude oil futures in New York Mercantile Exchange(NYMEX), Brent crude oil futures in International Petroleum Exchange(IPE) and 180cst fuel oil futures in Singapore and Shanghai Futures Exchange(SHFE), the author proves that there are significant Multifractal characteristic in oil future price system using Multifractal Detrended Fluctuation Analysis(MF-DFA). Along with the order q changing, the Generalized Hurst index of WTI crude oil futures prices sequence decreases from 0.8625 to 0.3097, and similar characteristics exit in other oil futures markets.
(3) Applying characteristic parameters of Multifractal Spectrum, this paper depicts multifractal characteristic of crude oil and fuel oil futures price system. Partition Function Testing shows that oil future price series are no of characteristic length with scale invariance. Generalized Rényi Dimension is the monotone decreasing function of order which has the same limit with Singularity Exponent. It shows that oil price system doesn’t have fixed dimension and support the R / S or V / S analysis. From the perspective of Multifractal Spectrum, future price low level events play a leading role with a fallback in the process of price increasing in the early days of oil future market. But later, future price high level events take the dominant position instead, and future price keeps rising.
(4) The price discovery function of oil future and spot markets in the United States, Britain and China is investigated using Error Correction Model, Variance Decomposition, Garbade-Sillber and so on based on sample data from 1987 to 2008. The empirical results indicate that price discovery function of WTI crude oil future market is the most powerful, next is Brent crude oil, 180cst fuel oil of China ranks the last. The fluctuation variances of fuel oil future and spot price in China are from themselves which shows casual relationship between future and spot markets isn’t obvious.
(5) Based on Grey Relativity Theory, Information Spillover Effects among oil future markets of different countries are investigated, and the concrete time difference of price fluctuations in Chinese and foreign future markets are calculated. The results demonstrate that oil price in China is about 2~3 days behind that in the United States, 15 days behind that in Britain, 11~14 days behind that in Japan. Chinese oil prices and Brent crude oil prices have the highest correlation, gray correlation as high as 0.799908.
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