【作者】 梁琳琳；

【导师】 齐中英；

【作者基本信息】 哈尔滨工业大学 ， 技术经济及管理， 2008， 博士

【摘要】 作为一种重要的战略性资源,石油在世界经济发展中的重要性已日益凸现。近年来,国际油价的频繁波动引起了人们对国际油价影响因素的关注。从价格决定的基本关系上看,石油价格是由石油的供求关系决定的。由于石油的短期需求弹性小于供给弹性,因此,石油供给对国际油价的影响大于石油需求。国际石油市场是一个典型的寡头垄断市场,欧佩克作为唯一的石油供给组织,对国际油价波动的影响力不可忽视。以往对欧佩克产量影响国际油价波动的研究把欧佩克看作国际石油市场的主要垄断者,研究方法侧重实证分析。然而,自20世纪80年代起,国际石油市场结构发生了变化,欧佩克在国际石油市场的市场份额下降,不再是世界石油供给的绝对垄断者。同时,国际油价的影响因素越来越多,欧佩克对国际油价波动的影响力因而受到多种因素的影响。这些因素不同的策略选择影响到欧佩克产量行为,并最终影响到国际油价的波动。传统的产业组织理论强调市场结构的作用,认为市场结构影响市场行为,进而影响市场绩效,新产业组织理论则强调了市场行为的作用,并且采用博弈论的研究方法分析了非合作下的市场均衡,是针对寡头垄断市场的一种有效的研究方法。本文基于不确定性理论和新产业组织理论,从研究国际石油市场厂商行为入手,运用博弈论的研究方法,通过分析欧佩克与其不确定性影响因素的产量博弈模型,揭示内生和外生因素影响下的欧佩克产量行为,并利用计量模型分析欧佩克产量行为不确定对国际油价波动的影响。本文首先分析欧佩克产量行为不确定对国际油价波动的传导问题。从长期看,国际油价主要受欧佩克产量行为的影响。在考虑数据长时期容易发生结构变化的基础上,通过对欧佩克产量影响国际油价进行实证分析并结合欧佩克产量事件对国际油价影响的分析,发现欧佩克产量行为对国际油价的影响力受非欧佩克产量、石油消费国需求以及欧佩克成员产量的影响而减弱。然后在阐述欧佩克产量行为不确定性基本问题的基础上,分析了欧佩克产量不确定性对国际油价波动的传导机制问题,为分析内生和外生因素影响下的欧佩克产量行为不确定性以及欧佩克产量行为不确定对国际油价波动的影响奠定基础。其次,构建了欧佩克产量行为与其影响因素的博弈模型,分析内生和外生因素影响下的欧佩克产量行为不确定:(1)欧佩克成员在石油储产量、经济实力等方面的差异使得不同成员倾向采取不同的产量策略。本文基于非合作博弈构建了欧佩克成员产量配额分配的讨价还价模型和产量配额执行的重复博弈模型,研究不同信息完备性和博弈次数下的欧佩克产量不确定;(2)构建了欧佩克和非欧佩克合作与非合作的产量博弈模型,分别揭示完全信息以及成本和产量信息不完全博弈均衡下的欧佩克产量。并针对国际石油市场作为寡头垄断市场,厂商行为相互影响的特点,在欧佩克与非欧佩克非合作的产量博弈中引入推测变差,分析非欧佩克产量影响下的欧佩克产量不确定;(3)鉴于现实中石油消费国时常通过观察欧佩克产量事件发布进行购买决策,构建了以产量事件发布做为信号的欧佩克产量行为与石油消费需求的信号传递模型,揭示石油消费国不同购买策略下的欧佩克产量行为不确定。最后,基于以上对欧佩克产量行为不确定性的分析,实证检验了内生和外生因素影响下的欧佩克产量不确定性以及欧佩克产量行为不确定性对国际油价波动的影响。本文基于不确定性理论和新产业组织理论,分析了内生和外生因素影响下的欧佩克产量行为不确定性及其对国际油价波动的影响,丰富了不确定性理论和新产业组织理论的应用,有一定的理论意义;同时,通过构建欧佩克产量行为与其内生和外生影响因素的博弈模型,全面完整地分析了欧佩克与各影响因素博弈时的双方策略选择和利益变化,对于国际石油市场石油厂商制定产量策略以及为石油消费国防范石油价格风险有实践指导意义。更多还原

【Abstract】 As a kind of strategic resource, oil has shown the significance in the development of the world economy. People’s attentions recently have been focused on the frequently volatility of world oil prices. Oil prices are decided by the supply and demand relationship according to the basic rules of price-decision. Compared with the oil consumption,the oil supply influences the oil price more for the elasticity of oil demand is less than the elasticity of oil supply in short term. In summary, as the oil exporting organization in a classic monopoly market, OPEC has un-neglectable influences on the volatility of oil prices.The previous studies took OPEC as the absolute monopoly in the world oil market and having the controlling power of oil prices, so the main research methodology is the empirical analysis. Since 1980s’, the world oil market structures has changed a lot, for example, OPEC lost the controlling status with its market share deceasing constantly and oil prices were easily swung by many disturbing factors. These disturbing factors intervened in OPEC output conducts and the world oil prices further for their uncertainty in choosing the output strategies. The theory of traditional industrial organization emphasizes the function of market structure and thinks that market structure decides the manufacturers’conducts and finally the market performances; However, the theory of new industrial organization (NIO) transformes the viewpoints to the manufacturers’conducts and analyzes the market equilibrium of non-cooperation with the Game theory, so NIO is a more effective way aiming at the monopoly market. Based on the Theory of Uncertainty and NIO, this paper explained OPEC’s output conducts with uncertainty factors by analyzing the production game model from the point of analyzing manufacturer conducts with Game theory and the influences of OPEC output uncertainties on the world oil prices.This paper firstly analyzed the transmission problems from OPEC output uncertainty to oil prices’volatilities. In the long view, OPEC output conducts exerted influences on oil prices. With the consideration of the structural breaks in the long run, this paper demonstrated the dynamic influences of the OPEC output on oil prices. Together with OPEC output announcements, it explained the weakening situation of the influencing power for the existed disturbing factors. Then, based on the ideas of OPEC output uncertainty, this paper analyzed the tramsmission mechanism from OPEC output conducts to oil prices’volatilities to lay a foundation for the game models between OPEC output conducts and the disturbing factors, also the influences on the oil prices of the OPEC output conducts uncertainty. Secondly, the uncertainty of OPEC output comes from three aspects: the endogenesis uncertainty comes from the interior OPEC, and the exogenous uncertainty from non-OPEC output and oil demand. All the three aspects disturbed the exertion of OPEC output’s influences on oil prices. We established the game models between OPEC output and the uncertainty factors to analyze the different OPEC output conducts under different output game equilibrium in turn. (1)OPEC members are different in many aspects, such as the oil reserves, output and the economic conditions etc, which caused different members having different production strategies, thus the bargaining happens when the quotas are distributed and the deception emerges when the output quotas are executed. This paper established the bargaining and repeated game models to analyze OPEC’s output under uncertain information completeness and Game times; (2) The manufacturers’conducts are interacting in the monopoly market, so Non-OPEC output is very important to interfere with the exertion of OPEC’s output power and oil prices. This paper illustrated the uncertainty factors of Non-OPEC output and the output Game models with complete or incomplete information to analyze OPEC output under different game results. And based on the fact of communicating connections between the manufacturers of the monopoly market, this paper introduced a variable to identify the output of opponents; (3) Owing that oil consumers always judge OPEC’s remaining capability by observing the output announcements, this paper established the signaling game model to analyze OPEC output conducts under oil consumers’different buying decision. Finally, we made empirical analysis of the influences on the OPEC output uncertainty of the disturbing factors, also the influences on oil prices of OPEC output conducts uncertainty.Based on the Theory of Uncertainty and NIO, this paper analyzed the OPEC output conducts’uncertainty with the disturbances of endogenesis and exogenous factors, further the influences on the volatilities of oil prices, so it enriched the applications of the above two theory, thus it is meaningful in the theoretic aspect; Meanwhile, the all-around output strategies and the corresponding volatilities of oil prices are analyzed to make the paper instructable for the manufacturer’s output decisions and also meaningful for oil consumers to formulate strategies to keep away the oil crisis and ensure the oil consumption.更多还原