【作者】 陈颖；

【导师】 胡日东；

【作者基本信息】 华侨大学 ， 数量经济学， 2012， 硕士

【摘要】 能源问题关系着国家的经济安全，加强能源市场风险管理越来越成为决策部门的重要议题。伴随着我国经济的快速发展，我国的石油消耗量也快速增加，中国目前已经成为仅次于美国的第二大石油进口国和第二大石油消费国，2010年我国石油对外依存度已超过55%，2011年我国石油对外依存度已超过56.5%。而且随着国内原油需求的日益增加，我国石油对外的依存度还将不断提高。预计2012年我国石油对外依存度将继续攀升，预计将达57%。本文通过对国内外原油价格互动关系的实证研究，结果表明：国内外石油价格之间都存在长期的均衡关系；国内外石油价格互为格兰杰因果关系，说明布伦特原油价格变动对我国大庆原油价格的变动有一定的先导作用；同时我国的大庆原油价格对布伦特原油价格也有一定的预测作用；国内外原油价格之间存在着动态均衡关系。我们发现，本期的布伦特原油价格每增加1%,会使本期国内大庆原油价格增加0.756889%。类似地，本期的西德克萨斯原油价格每增加1%,会使本期国内大庆原油价格增加0.598136%。其次，本文运用BEKK形式GARCH模型，采用相关数据对国内外石油价格波动溢出效应进行了实证检验。研究结果表明，无论是以布伦特原油价格作为国际石油市场的代表，还是以西德克萨斯原油价格作为国际石油市场的代表，研究结论都表明，国外石油价格向国内石油价格波动溢出效应相当显著，国内石油价格向国际石油价格的波动溢出效应相对较弱。因此，石油市场信息的传导，主要是从国际市场向国内市场传递。实证研究的结论对我国的政策启示如下：(1)尽快建立石油期货市场,使企业可以利用套期保值、对冲等风险管理办法来规避油价波动带来的损失；(2)加快建立完善的石油市场价格体制,更多地利用税收等方式调节和引导市场,最大限度避免行政手段干预我国油品价格的形成；(3)积极参与国际油价的形成过程,并最终获得原油价格的定价权的话语权。更多还原

【Abstract】 Energy issue plays an important role in national economic security, It isincreasingly become a important issue for the decision-making departments tostrengthen the energy market risk management. Along with China’s rapideconomic development, China’s oil consumption is also increasing rapidly. Chinahas become the second largest oil importer after the United States and the secondlargest oil-consuming countries, in2010China’s dependence on foreign oil ismore than55%,and in2011China’s dependence on foreign oil is more than56.5%. With the increasing domestic demand for crude oil, the oil importdependency will continue to increase.2012China’s dependence on foreign oil isexpected to continue to rise,which is expected to reach57%.In this paper, the empirical study of the interaction between domestic andinternational crude oil prices, show that: there is a long-term equilibriumrelationship between the domestic and international oil prices; domestic andinternational oil prices are both Granger causality to each other, the Brent crudeoil price have a leading role on China Daqing crude oil price changes; China’sDaqing crude oil price can also forecast for Brent crude oil prices; dynamicequilibrium relationship exists between the domestic and international crude oilprices. We found that the current Brent crude oil price increase1%will make thecurrent domestic Daqing crude oil price increase of0.756889%. Similarly, thecurrent Texas crude oil price increase1%will make the current domestic Daqingcrude oil price increase of0.598136%.Secondly, this paper use the multivariate GARCH model to test the volatilityspillover effects of domestic and international oil price. The results show that,whatever we use Brent crude oil prices as a representative of the international oilmarket, or Texas crude oil prices as a representative of the international oilmarket, the research findings show that volatility spillover effects of foreign oilprices to the domestic oil price is quite significant，and the volatility spillovereffect of domestic oil prices to international oil price is relatively weak.Therefore, the conductivity of the oil market information is mainly from theinternational market passed to the domestic market.The revelation of The conclusions of empirical research on our policy are asfollows:(1) Firstly，we must establish the oil futures market as soon as possibleso that enterprises can take advantage of hedging, hedging and risk management practices to circumvent the losses caused by oil price volatility;(2) Secondly，accelerating the establishment of a more perfect oil market pricing system,greater use of taxes and other means to regulate and guide the market, to avoidthe administrative means the maximum to intervene in the formation of oil pricesin China;(3)Lastly，our country should actively participate in international oilpricing.更多还原