世界石油价格波动及其形成机制的研究

【作者】 郁琴；

【导师】 杨逢华；

【作者基本信息】 对外经济贸易大学 ， 国际贸易， 2004， 硕士

【摘要】 石油既是重要的能源物资，又是必需的工业原料，人们的日常生活离不开石油，各国的经济发展与石油息息相关，石油已成为各国激烈争夺的目标。 本文的主要观点是：作为一种特殊的商品，石油价格决定不会违背价值规律，但由于政治、军事以及突发事件的影响，油价会在一个区段内上下波动，短期内油价的震荡不会引起石油需求的大幅变动，但中长期内随着替代能源的开发和节能技术的进步，油价的微小波动就会引致需求的巨幅波动。 本文使用分析时间序列问题常用的方法——自回归AR模型，来研究世界油价波动的特征，分析引起油价波动的原因，从而掌握世界油价波动的规律，更好地采取措施降低油价波动对经济的影响。从三种主要原油的平均价格以及月度收益的统计性质分析结果可以看出，价格序列不平稳，原油月度收益序列平稳，但存在自相关。利用AR过程对月度收益序列进行分析的结果表明，一阶自回归即AR(1)过程可以很好地描述原油月均收益序列的自相关性。同时，油价具有正向传递性，上一期油价对本期油价有决定性影响。 我国已成为石油净进口国，石油消费量和进口量逐年增长，对外依存度已超过30％，这使得国内石油市场更易受到油价波动的影响。为了使国内油市免遭油价剧烈波动所带来的负面影响，应进一步完善国内的石油定价机制，推进我国石油市场化，加紧建立战略性石油储备体系，着力扩张石油进口渠道以使石油供应来源多元化，并参与国际原油期货交易以规避价格风险，同时鼓励有条件的石油企业到海外市场开拓石油资源。更多还原

【Abstract】 Oil is an important energy source and a necessary industrial raw material.Every country’s economic growth and the daily life of its people are dependent on it. Obtaining control of oil has been become the target of many countries.The main points of this thesis are: as a special goods, although oil price always fluctuates in a certain band due to political, military and sudden affairs, oil pricing still follows the Law of Value. In the short run, fluctuation in the oil price causes little change in oil demand, but in medium and long terms, with the development of alternative energy sources and improvement of power-saving technology , a slight shake of the oil price may cause oil demand to fluctuate by a wide margin.Autoregressive Process (or AR Process), a useful tool in time-series models, is used in this thesis to demonstrate features of price fluctuation in international oil markets and to find out what causes such fluctuation. From the unit root test results of average price of three major international oil and their average monthly profit, wecan see that the {Rt} sequence has a unit root process while the {Rt} sequence is stationary and exists autocorrelation. After comparison, AR (1) process performs well than other models to illustrate this autocorrelation existing in the {Rt} sequence. At the same time, we can find that the oil price has a positive transitivity and only the price of last period affects the current one.China has become a large oil consumer and a net oil importer. The amount of consumption and import of oil has been increasing year by year. The degree of dependence on the international oil market is up thirty percent. The domestic oil market is easily affected by price fluctuations. To avoid the negative impact of drastic oil fluctuations in domestic oil markets, oil-pricing policy needs to be improved and the oil marketization should be moved forward. To evade the risk of price fluctuation, it is urgent to build strategic oil reserve system, which will effectively control the impact of fluctuation in oil price. In addition, domestic oil companies should be involved in crude oil forward markets and diversify source of energy supply. At the same time Chinese enterprises are to be encouraged to go abroad to cooperate with large foreign companies to exploit oil energy.更多还原