【作者】 马登科；

【导师】 纪玉山；

【作者基本信息】 吉林大学 ， 西方经济学， 2010， 博士

【摘要】 本文属于经济解释。传统经济学已经不能解释2002年以来国际石油价格的急剧动荡。本文在“货币信用—虚拟经济—实体经济”的全新视角下,第1-6章分别对影响国际石油价格的实体经济因素、虚拟经济因素及制度因素进行理论加实证分析,得出结论如下:第一,国际石油价格已不再被供需所决定,而是由其金融属性所决定。由美元主导的全球货币信用体系和浮动汇率制所引发的流动性过剩是全球石油价格暴涨暴跌的本质(制度性)原因。过剩流动性在实体经济里找不到投资的热土,便冲进了虚拟经济领域,造成虚拟经济过度膨胀,实体经济相对萎缩。虚拟经济里过剩的流动性乃国际石油价格急剧动荡的动力之源;第二,外汇市场、股票市场和期货市场早已三位一体,相互影响和联动,形成了前所未有的波动。尤其是外汇市场,超过100:1的高杠杆交易导致热钱四处游荡,使得美元汇率在高频投机下急剧动荡。国际石油的计价货币美元本身币值的不稳定性必然导致国际石油期货价格陷入动荡。但是自2002年1月份以来,美元指数下跌超过了35%,而国际油价最高时候曾经上涨超过了400%,美元因素只能解释石油价格动荡的部分原因;第三,全球大型的对冲基金和投资银行是石油金融体系内的主导力量。金融工具的高杠杆特性推动他们的投机行为,于是他们利用左右国际石油价格的各种因素诸如美元、股市波动、原油库存、宏观经济指标、天气等等通过石油期货期权等衍生品市场平台并借助高端的程序化交易系统进行高频度的投机,最终这种追逐自身利益最大化的操作推动了国际原油期货价格的暴涨暴跌。第7章建立国际石油价格波动对中国宏观经济冲击的VAR模型,结果显示国际石油价格的动荡将对中国的宏观经济形成巨大冲击。最后,第8章结合国际货币体系面临改革的大背景,构筑起中国的石油金融体系。第9章为全文总结。更多还原

【Abstract】 This was an economic explanation. Conventional economics can not explain the volatility of international oil prices since 2002. In this paper, by the "Money Credit - Virtual economy - the real economy" analytical framework, the text is divided into nine chapters: Chapter 1 is Introduction; in Chapter 2 on the real economy, the oil spot market price level, the decision theory of synthesis and analysis; and then to focus on the first 3-5 chapters of the fictitious economy, it will be separately oil futures theory (Chapter 3), petrodollars theory (Chapter 4), oil speculative funds (Chapter 5) for analysis, and then come to a fictitious economic dimensions of the oil futures price determination theory, and make the corresponding empirical analysis; in Chapter 6 of oil exposure to the financial system, "floating exchange rate system" within the monetary credit system to consider and analyze the proliferation of global liquidity, and China How to avoid the spread of liquidity shocks; Chapter 7 is the establishment of international oil price fluctuations on macroeconomic shocks of the VAR model for China to conduct empirical research; finally established in Chapter 8 of oil to China’s financial system; in Chapter 9 for full-text summary.Chapter 1 is an overview of the Western oil finance theory.Chapter 2, through the real economy where the oil supply and demand study of theory, found that:First, in 2001 -2008 the global oil supply and demand roughly balanced, even if there is "peak oil", or emerging market countries, demand continues to rise, "BP World Energy Statistics 2009" provides the data once again confirm, the world’s oil, gas and Proved reserves of coal, enough to satisfy the next few decades, mankind’s energy demand (the world’s oil reserve-production ratio of 41 years, for 10 consecutive years over 40 years). Global oil supply and demand balance, textbook model of aggregate supply and aggregate demand (or Keynesian IS-LM model) has been unable to explain the sharp oil price fluctuations; Second, whether it is competition from the space-time distribution, transaction size, transaction mode, product type, market participants structure or functioning of markets in various ways, the oil derivatives market is not only a link to the international oil market, financial markets and capital markets have an important link in itself, which has become an integral part of the financial-oriented features of the international oil market significantly.Third, the international oil market situation has undergone major changes. Oil futures prices have replaced the Organization of Petroleum Exporting Countries OPEC’s "official price" in the international oil trade, the benchmark price. Investment banks, hedge funds and other financial institutions extensively involved in the oil futures market in an effort to make the financial trend of oil prices is growing.Fourth, the financial property of the oil to gradually replace their products attributes, as its price the determining factor. U.S. dollar, the Dow Jones index, gold, euro and other financial markets, the index has become the ebb and flow indicators to determine prices. The dollar index is inversely proportional to the price movements of crude oil; Dow, gold, and is proportional to the euro and crude oil price movements.Fifth, the oil can greatly improve the financial of the oil market, prompting market players more diversified. However, the financial technology will boost oil prices Change. The volatility of current oil prices, of course, there is imbalance between the supply of global production of oil and oil supply is tight relative demand things, but more important is oil-fueled financial-oriented results.Chapter 3 describes the decision of the spot price of oil platforms──the oil futures market. Futures is the time for Canadian goods, and futures of the birth of a large number of spot price discovery and risk-averse business provides an excellent tool. Before there is no futures, such as the beginning of this chapter referred to in the Chicago area a greater range of grain price volatility, futures, is to stabilize such a huge fluctuation of the platform and tools. However, if this platform has been influenced by excessive speculation, then it led to a price spike hand, provides a good opportunity for the speculators. Futures has three characteristics: first is the big leverage a small margin trading. The second is T +0 trading mechanism. The third is short-mechanism.This chapter, through empirical testing to prove strong in the January 2000 to August 2009, WTI oil futures prices have dominated the WTI spot market trends, is already a leading indicator, oil prices, the financial property of replacing the property of their commodities. In China’s aviation industry hedging case, the large number of Chinese aviation enterprises often huge loss, because the venue is that they did not participate in hedging transactions, but rather participate in off-OTC trading, and foreign investment banks signed an agreement on gambling , the results are often large foreign investment banks to toy around on.Furthermore, by crude oil futures in New York and Shanghai fuel oil futures between the Granger causality test. We found that the monthly price of WTI futures CO is the Shanghai fuel oil futures price of RU Granger monthly causes monthly Shanghai fuel oil futures price of WTI futures RU is not a reason for the monthly price of Granger. This relationship between the WTI futures price is the monthly leading indicator. In other words, overnight drive the US’s crude oil prices on the Shanghai fuel oil futures contract opened the day with a conductivity, pricing is still the United States, the New York Mercantile Exchange, and our Shanghai fuel oil contracts can only be reactive with the up sell into . We have to change this passive situation, in the international crude oil futures prices, pricing competition has a place in the first.The oil futures market already has kidnapped the real economy functions. Stock market such as stock prices, this stock of goods is not necessarily behind the corresponding prices. The financial derivatives market of energy futures prices, spot prices rose immediately followed, the entire cost of production are rapidly inflate. The abduction and fast, as can be directly transmitted to the energy commodities, and then directly reflect all production costs, reflected in the price level, this is the stock market can not be replaced. And commodity prices will also stimulate the production of such goods listed company’s share price rise, the formation of self-reinforcing cycle, making the capital market bubble exacerbated.Chapter 4 first estimates for 1998 to 2008 in the Middle East rely on oil exports to obtain the total dollars of oil revenues had reached 3.1 trillion U.S. dollars. A huge amount of petro-dollars into the international monetary and capital markets, to the world economy has brought great instability. Petro-dollars of investment there are five trends: First, investment overseas. Second, the Middle East region’s leaders aware of the problem of insufficient investment in this region, many countries have begun to focus on the industrial structure adjustment and develop their own, in order to better respond to future post-oil age to seek a way out. Third, in the Gulf region, investors in making investments, they are in addition to considering the return on investment, we also hope to achieve through foreign investment to the effect of learning and knowledge transfer for them to develop the local economy much-needed technology. Fourth, the Gulf region, investors will invest more in emerging markets, in order to increase investment returns and diversify risk. Fifth, as represented by OPEC oil-producing countries are trying to go from a simple manufacturer of the current market, a high degree of control of the two multiple participants.Oil euro can not shake the position of petro-dollars. The status of petro-dollars by the U.S. dollar hegemony support. The evolution of human beings to comply with the monetary system and "great power theorem" or "imperial theorem." U.S. dollar hegemony stems from its powerful economic strength and military power. To shake the status of petro-dollars, the U.S. does not decline is impossible. U.S. dollars kidnapping of oil, petro-dollars to the United States, "ATM." OPEC was founded to resist U.S. dollar hegemony, the competition for the international oil pricing.From March 1993 to August 2009 U.S. dollar index and the NYMEX crude oil futures contract on a continuous change in closing price was very clear trend of negative correlation, and the adoption of the relevant test. Today’s international capital markets and currency markets surging, turmoil in thousands. Foreign exchange market, the stock market and futures markets have already trinity, mutual influence and interaction, forming an unprecedented volatility. In particular, the foreign exchange market, more than 100:1 for highly leveraged speculation in the dollar exchange rate under the high-frequency turbulence, which further led to the proliferation of hot money around the international oil denominated in the currency the U.S. dollar itself will inevitably lead to currency instability into the international oil futures prices turbulence. A sudden event, or a preference for the expected bad side is like a rock into a calm pond, as these three markets will set off the mutual transmission and volatility. Dollar index most of the time and the Dow Jones index, the Shanghai Composite negative correlation; the Dow Jones index and crude oil prices are related to; the Dow Jones index and the Shanghai Composite positive correlation.Chapter 5 systematically explored the Fund’s holdings of speculative positions in oil to international oil prices affect the following conclusions:First, hedge funds, speculative funds, led by the preliminary estimates of oil the size of more than three trillion U.S. dollars, they are in the international crude oil futures market, the usual way is to find everything that might affect the oil market supply and demand of news events as a pretext for speculation (such as the U.S. unemployment rate, crude oil inventory data, the Federal Reserve and the European Union meeting on interest rates, etc.), and through an infinite zoom to create price volatility of these factors, the resulting profit spread.Second, the oil characteristics of speculative funds is the most preferred to do more to speculation (in the pyramid structure, fast Jiancang, you can quickly push up the price), because first of all they use non-renewable nature of oil, followed by them to do more drastic action as long as there sufficient funds can be, do not worry about naked short selling to the Road caused by operation of delivery period without delivery of oil to the plight of 2002-2008 the siren song of soaring oil prices .Third, the overall position of the change in crude oil futures price changes Granger cause. Every time crude oil price boom is accompanied by the rapid amplification volume and vice versa when the price of crude oil began to fall when the deal became scarce. This conclusion is extremely important because it explains the volatility of oil prices is indeed a money-driven.Fourth, from the U.S. Commodity Exchange Commission, available from March 1994 to August 2009 of the 186 monthly data, whether we have or the graphics fit empirical test, are clearly verified scientific monthly, non-commercial net long position crude oil futures price Granger causes. This not only further proof of the international crude oil futures prices fluctuated wildly from the general position that the money-driven, and this inside the headquarters of speculative funds, non-commercial net long (short) led to the increase in international crude oil futures prices (down) The culprit!Moreover, non-commercial net long position of the behavior of the Non-reportable net long emotional impact of their actions have a "demonstration effect." Drive non-reporting positions and arbitrage positions following their operation, to further distort the market price.Finally, the chapter studies the optimal degree of speculation should meet this requirement, making the increase in oil prices should not deviate too much of world economic growth, preferably with the world economy to achieve the same average volatility. We can design a computer and program to the world economic growth of the moving average line, or there are other measurement methods to determine indicators calculated by adding crude oil futures trading platform, once the speculative positions in the everyday transactions hit the "most excellent degree of speculation ", it should immediately implement the" fuse system "to curb speculative sentiment, if the fuse after the speculators come back big time for speculation, we can take charge exorbitant" Tobin tax "to limit their transactions. Short-term forecasts in international oil prices is extremely complex, there are many factors short-term impact, we must attach importance to short-term impact of various factors, the study to minimize the short-term sharp fluctuations in oil production and living of our formed by the impact.Chapter 6, found in U.S. dollar-based floating exchange rate system under the new system is a source of international oil price volatility. The historical development of mankind has experienced three major monetary system: gold standard, the Bretton Woods system, and Jamaica, the floating exchange rate system under the agreement. As can be seen from Figure 6-1, oil prices only in the gold standard that is only under a fixed exchange rate system to go very smoothly, but once a certain currency notes denominated in or under a floating exchange rate system, international oil price volatility increased (Figure in Green line shows the dollar-denominated oil prices in 2008 can be seen, the dollar’s value is extremely unstable, the dollar’s decline led to soaring oil prices, a major cause).Currency options related to the human value of the goods and prices of the most basic questions. From Petty, Ricardo to Marx that they have adhered to the labor theory of value, as Marx concluded: The value of commodities in the other conditions remaining unchanged, depending on the production of the commodities consumed socially necessary labor time, the prices of commodities around the fluctuations in the value. And commodity exchange is the equivalent value of goods exchanged, money is a commodity must also be in order and another to be a valuable a commodity to be exchanged. The monetary history of 2,500 years of mankind shows that only commodity currencies is a stable currency.Fixed or floating exchange rate, a hundred years of struggle, choppy waves of high winds. Particularly in the areas of Friedman and Robert Mundell, argue the most exciting two masters. However, validation through history, the authors support the stability of a fixed exchange rate system.Money can not do without "anchor." Money is a measure of people’s weights and measures the value of labor, if this measure can not be stable, then one will not be able to measure their wealth. A stable monetary environment, the purpose is to reduce the inherent uncertainty associated with the expected huge risk, so that people can concentrate on the real economy is committed to the investment and progress. Marxist economics to understand the thinking is this: only the productivity standards and values to achieve inner organic unity, in order to enable rapid and harmonious development of socio-economic. U.S. dollar from the gold "anchor", the global virtual economy a serious departure from the real economy. Specifically manifested as follows: the capital stock is seriously out of real GDP growth; the size of the gradual expansion of financial market transactions; speculative virtual-led progressive economic development; the global production and consumption imbalances."Economic man" assumption is that people engaged in economic activities to maximize time to pursue personal interests. This paper will try to put "speculative" and assumptions. The so-called "speculative" and that people engaged in the virtual economy, when investment in pursuit of personal desires to maximize. "Economic Man" in the face of maximizing the interests of hand when the Council received quit, keep the profit, and "speculation" and in the endless greed of human nature once again driven by Shigekura transactions (which often results in taking the profit is even larger losses); "economic man" in the face of loss, out of personal interest will promptly consider the maximization of the stop-loss, and "speculation" and tend to indulge in their own analysis to determine, there will always illusion Quotes will be recognized towards the direction of their own (which often results in huge losses); "economic man", and so the "speculative" and the non-rational; "economic man" are often invested in the real economy, and the "speculative" and mostly inside the obsession with the virtual economy. A small retail "speculative" and are often lost to a large organization "speculative person" (such as hedge funds). "Speculative" and more and more able to participate in the real economy, wealth creation, a down-fewer and fewer people. "Speculative" and the success of the speculative bubble economy spawned one after another, creating the illusion of irrational exuberance; while their speculation fails, then the world would have serious economic crisis.Economic crisis, Goldman Sachs highly leveraged transactions every penny back plus program. After the economic crisis, the Government’s rescue funds mostly do not have access to the real economy, but by commercial banks and investment firms are using the high-frequency transactions, procedural speculation, resulting in oil and other commodity prices continued volatility. Their bright earnings is buried hidden crisis in the future. The loss of financial crisis, which went to the U.S. dollar in the end? There are four possible place to go: high-frequency transaction costs brought about by speculation, the program of traders, hedge funds, foundations, and major consortia.Chapter 7, through the international oil price fluctuations on the Chinese macro-economic impact of empirical analysis, we found the volatility of international oil prices on China’s macro-economic formation of a tremendous impact, in particular, the continuing rapid growth of China’s economic future will be a huge demand for oil, if the We do not make a deal with the policy, then the volatility of international oil prices is bound to China’s economic growth will be adversely affected.Chapter 8 combines the international monetary system reform, to build China’s oil financial systems. Chapter 9 of this article the main findings drawn:First, the international oil prices are no longer determined by supply and demand, but rather is determined by its financial attributes. Dominated by the dollar’s global monetary credit system and a floating exchange rate system caused by excess liquidity is a global surge in oil prices plummeted in the nature of (institutional) reasons. Excess liquidity in the real economy, can not find a hot spot for investment, they burst into a virtual economy, virtual economy caused by excessive expansion of the relative shrinkage of the real economy. Virtual economy where excess liquidity is an international oil prices volatile, source of power;Second, the foreign exchange market, the stock market and futures markets have already trinity, mutual influence and interaction, forming an unprecedented volatility. In particular, the foreign exchange market, more than 100:1 for highly leveraged transactions led to hot money wandering around, making the U.S. dollar under the turbulence in the high-frequency speculation. Denominated in the currency of international oil, U.S. dollar itself will inevitably lead to the instability of currency of international oil futures prices plunged into turmoil. However, since January 2002, the dollar fell more than 35%, while the maximum time when international oil prices have gained more than 400%, the dollar depreciation can only explain part of the reason the oil price volatility;Third, the world’s largest hedge funds and investment banks oil the leading force in the financial system. Characteristics of financial instruments to promote their highly leveraged speculation, so they use around the international oil prices, a variety of factors such as the U.S. dollar, stock market volatility, crude oil inventories, macroeconomic indicators, weather, etc., through the oil futures and options derivatives platform for high - frequency of the speculative end of this pursuit of self-interest to maximize the operation contributed to soaring international crude oil futures prices plummeted.Today’s world, futures prices lead the spot price; floor trading around the counter transactions; a serious departure from the virtual economy and distort the real economy. If we want to avoid huge fluctuations in oil prices, fundamentally on the need to change the current U.S. dollar-dominated international monetary system and a floating exchange rate system, such as institutional arrangements, on the one hand the technical level should be lowered to leverage financial instruments, on the other hand should actively carry out the "optimal degree of speculation," the measure and research, restricting the amount of oil derivatives in speculative trading days. Should be targeted at the speculative oil derivatives trading of stock futures is similar to when the operation of the establishment of the fuse system, once the Exchange server sends the transaction is in the process of more than "the optimal degree of speculation", and then immediately start the fusing system. Start fuse system, again for large-scale acts of speculative trading is necessary to impose their high level of a "Tobin tax" (Tobin Tax).Once again, for China, as soon as possible to build China’s oil and financial system is a priority. The spike in oil prices will inevitably have a negative impact on China’s economy in 2009, China’s external dependence on crude oil has broken 50% of the warning level (annual imports have reached 204 million tons, while domestic production capacity is only 189 million tons), and then accompanied by the future prosperity of China’s 700 million farmers after the crude oil demand, China’s increasingly tight oil supply situation. Thus the establishment of China’s oil and financial system, the entities in the oil economy and economic dimensions of the establishment of a virtual "firewall", through the financial markets to allocate oil resources, and inhibit excessive speculation inside the virtual economy (the economic structure can make the virtual and the real economy, the structure match), through financial instruments to eliminate price risk, as well as the financial system dependent on oil to develop and improve the oil industry becomes extremely important. Europe and the United States and other developed countries have established their own sound financial system of oil, while China’s current oil development of financial markets is still very backward and the Chinese even after the Shanghai Futures Exchange, Zhengzhou Commodity Futures Exchange, Dalian Commodity Exchange and the China Financial Futures Exchange The four major futures exchange, but directly related to oil financial futures species has not yet been released, was only indirectly related to species listed on the Shanghai Futures Exchange, heating oil futures only. And the variety of price fluctuations in China’s futures traders in addition Zheng several species of the remaining species are not autonomous, it can be said all major U.S. futures exchanges to follow the fluctuations in the price fluctuate, virtually no pricing power.Finally, to build China’s oil-based aspects of the financial system: towards a fair and rational new international monetary system; to expand the pilot RMB settlement to the oil field; improve the global financial regulatory system; improve oil diplomacy mechanisms: loans (U.S. dollar reserves) for oil. China National Petroleum’s financial system to build a specific strategy: Vying for the international financial system of oil pricing, as soon as possible oil futures varieties; designed to be simple science that China’s oil derivatives trading varieties, up to the options; to safeguard China’s oil prices stable, the use of huge amounts U.S. dollar reserves to form a national petroleum fund; continue to improve the oil diplomacy mechanisms, such as loans (U.S. dollar reserves) for oil; basis for development of financial theory, policy-oriented oil financial institutions; continue to improve the national oil reserve system; guide there is a set of China-related security Enterprise rational use of oil futures and options hedging; and do the great efforts to train Chinese high-oil futures talent.更多还原