国际油价的形成机制及对我国经济发展的影响

本文对国际油价的波动作了一个简要的回顾之后 ,分析了国际石油市场的供需结构特点及OPEC石油供给策略对国际石油价格的影响。最后 ,分析了国际油价波动对我国经济发展的利弊及趋利避害的对策。     

OPEC剩余产能与现代原油市场价格机制理论的实证研究

本文是对高油价以来的OPEC剩余产能及其相关因素对国际原油期、现货价格影响的理论及实证研究的全面总结。理论上,总结了现代原油市场价格机制理论的要点内容;实证研究上,以相关性、格兰杰因果检验和非对称性影响几个模型方法,具体研究了OPEC剩余产能、库存、调整价差与期、现货油价的相互关系、影响程度及作用方向,加深了对现代原油市场机制理论作用机理的认识。最后,还对当前油价大幅下跌现象进行了简要分析。     

行为金融学及其发展中的自我挑战

作为当代金融理论中最具生命力的一个分支,行为金融学是20世纪80年代刚刚兴起的一门学科,它是在经典金融理论与实证不断背离的困境中产生的。其理论框架由心理学认知偏差理论、期望理论和行为金融理论模型与投资策略三部分搭建。行为金融学注重投资者决策心理多样性的研究,为金融理论与实际沟壑的弥合提供了一个新的研究视角。然而,在寻找影响投资者心理最本质的因素并建立一个统一的模型来解释不同心理状态下投资者的决策行为时,行为金融学面临着严峻的自我挑战。     

中国石油需求与全球石油库存对国际油价的影响研究

本文基于全球石油总供给、中国石油需求、其它国家或地区石油需求、全球石油库存和国际石油价格等时间序列,构建一个五变量的SVAR模型,研究国际石油价格对各因素的结构响应.并重点分析了中国石油需求和全球石油库存对国际石油价格的影响.本文的实证结果显示,中国石油需求对国际石油价格有显著的正向冲击,而全球石油库存对国际石油价格有显著的负向冲击.本文还发现中国石油需求和全球石油库存对国际石油价格波动的贡献度较大,两者之和占比高达20％左右.因此,中国石油需求和全球石油库存是影响国际石油价格重要因素,分析国际石油价格变化时不能被忽视.     

期权定价理论在可转换债券定价上的应用

可转债定价理论在国外发展了近半个世纪,并且形成了基于公司价值和基于股票价格的两种定价模型体系。我国可转债的发展历史较短,对其的研究则主要可归结为各模型的假设条件与中国实际情况的接近程度,并对假设条件进行部分修正或通过实证的检验来评估模型在中国应用的可行性及注意事项。大量的实证研究表明,运用国外经典模型得出的价格与实际市场价格存在明显差距。     

国际石油价格波动对碳市场溢出效应研究

利用Johansen检验和状态空间模型,研究国际石油价格波动对碳市场价格变动及收益率的溢出效应。结果表明,在样本区间内,国际石油价格与碳价存在长期均衡关系,且国际石油价格对碳市场及收益率存在溢出,说明石油价格可以作为导致碳价变化的一个原因。但由于欧盟能源消费结构的变化及碳交易机制的不断完善,溢出效力呈现下降趋势。这种变化趋势对于我国建立完善碳交易机制提供了经验启示。     

货币政策、国际石油价格波动与通货膨胀

本文通过构建DCC-MVGARCH模型分析我国通货膨胀与国际石油价格以及货币供应量之间的动态相关关系.横型结果显示我国通货膨胀水平与国际石油价格之间的动态相关关系较弱,而与货币供应量之间的关系较强,说明我国通货膨胀主要受到货币供应量影响,而与国际石油价格波动关系不大.并提出结论和政策建议.     

近期国际石油价格的变化、原因及其影响

1999年6月以来，国际石油价格飙升，短短的18个月内，国际油价从每桶10美元上升到38美元左右。今年3月起，OPEC国家增加了产量但油价并未降低。原因既有经济形势的变化导致的供求失衡也有投机者的炒作。不管怎样，油价上涨对世界经济产生了巨大的影响。     

消费者意愿价格不同时价格管制的额外福利损失——基于资源随机分配条件下的分析与总结

从消费者意愿价格相同时价格管制的传统经济学经典模型入手,选取了国内外有关价格管制近期研究的一个方面,针对在商品资源随机分配条件下,即当不存在寻租行为时,由于消费者意愿价格不同而造成的价格管制的额外福利损失进行图释分析与总结。     

银行脆弱性理论及其最新进展

根据不同时期银行脆弱性状况和经济理论，西方学者对银行脆弱性发生的原因和机制给出了多种解释，得出了不同的理论和观念。具有代表性的观点主要有：从信息不对称角度解释的银行机构的内在脆弱性理论，从存款人行为角度解释的银行挤提模型理论，从金融主体角度解释的有限理性理论，从金融资产价格角度解释的内在波动性理论等。本文重点介绍这几种理论。     

The market power of OPEC 1973–2001

We apply a multi-equation dynamic econometric model on monthly data to test if the behaviour of OPEC as a whole or different sub-groups of the cartel is consistent with the characteristics of dominant producers on the world crude oil market in the period 1973–2001. Our results indicate that the producers outside OPEC can be described as competitive producers, taking the oil price as given and maximizing profits. The OPEC members do not fit the behaviour of price-taking producers. Our findings of low residual demand price elasticities for OPEC underpin the potential market power of the producer group, and are in line with the results in some recent energy studies. On the other hand, our findings indicate that neither OPEC nor different sub-groups of the cartel can be characterized as a dominant producer in the period 1973–1994. However, we find that the characteristics of a dominant producer to some extent fit OPEC-Core as from 1994. Thus, although OPEC clearly has affected the market price, the producer group has not behaved as a pure profit-maximizing dominant producer.     

WESTERN HEMISPHERE PERSPECTIVES: OIL AND NATURAL GAS

Among nations that are net oil exporters, those that are net importers, and those in balance, there are conflicting interests regarding the price level—which currently is many times the competitive level. However, avoiding too brusque a price change is in the interest of all. A glut was no barrier to price increases after 1973, nor in 1978. And a glut is not an absolute barrier even today. Nations which comprise the oil cartel have short horizons and high discount factors. This increases the likelihood that they will attempt price hikes and makes any equilibrium precarious. Even non-cartel nations produce less oil and gas than would be profitable because governments, responding to public opinion, try to obtain more rent than there is to take. These governments apparently use unrealistically low discount rates. This paper attempts to point out parallel, common, and conflicting interests among the nations of the Western Hemisphere regarding price and production policy on crude oil and natural gas. In crude oil and oil products, Argentina is in balance, and Canada is practically so. Venezuela and Ecuador, both OPEC members, are net exporters. Mexico, a de facto member of OPEC, has observed a self-imposed quota more faithfully than some OPEC members. The rest of the nations in the hemisphere are net importers.     

TERRORISM AND THE RETURNS TO OIL

The effect of terrorism on global oil prices has been largely explained through demand-side effects. We estimate an empirical model to re-examine the effect of terrorism on the price of global oil stocks across oil market regimes that reflect different supply constraints. We believe that terrorism will have larger impacts when global capacity is tight (i.e. when global demand is close to global supply). This means that any shock to capacity (say by conflict) should have the largest impact on profits before the first OPEC shock in the early 1970s. Since then, conflict shocks would not allow firms to exploit production in the same way, thus reducing the available profits that could be garnered by such production manipulation. If capacity constraints are binding when a conflict occurs, then we predict that a positive stock price reaction can be expected for oil firms from such a shock. We exploit a new panel dataset to investigate the relationship between oil profitability and conflict, using conflict data from the top 20 oil producing and exporting countries in the world. We show that in the later part of our sample, 1974–2005, as cartel behavior of OPEC member countries has diminished and as conflict has become more regular and thus the information surrounding it noisier, oil stock prices do not increase in response to conflict. However, in earlier capacity constrained eras, we find that oil stocks can in fact increase in response to conflict. In some cases, the impact of conflict may cause the return of oil stocks to increase by as much as 10 percentage points.     

Oil market share dynamics: A Markov chain analysis of consumer and producer adjustments

We develop an “optimal market share rule” model of cartel behavior which when applied to the OPEC cartel appears capable of explaining its stability and responses to changed market events. In particular, by attaching importance to market shares based approximately on costs, OPEC members can by maintaining optimal shares deter deviant member attempts to break cartel rules. After a thorough discussion of the theory, the model is tested empirically using a Markov probability model. The estimated Markov transition matrix is further decomposed into what Theil has called the exchange matrix and the mean passage matrix. Dynamic adjustment processes in the market are revealed by the latter while an emerging pattern of OPEC member surveillance of consumers is revealed by the former which facilitates cartel stability. Inspection of these matrixes further suggests that after the formation of OPEC there is evidence of less potential for producer conflict while there appears more evidence for consumer conflict. While these results must be tentative in view of the fact that they have been estimated using a simplified two consumer — two producer model and limited data, it is argued that the results are highly suggestive and the approach in this study can be extended to cover all producer and consumers, and can be integrated into a complete model of the world oil market.     

A dynamic model of OPEC trade and production

A dynamic simulation model is presented of the world energy market, covering the period 1974–1995. It is used to assess and rank six possible price or output policies that OPEC may adopt with respect to oil exports, given a range of assumptions relating to such important variables as the rate of growth of domestic absorption of oil revenues within OPEC, the rate of capacity expansion for oil production, the responsiveness of investment in alternative sources of energy to changes in oil prices, and the rate of growth of world demand for energy. Furthermore, an illustrative analysis is given of possible conflict situations within OPEC, and their impact on the choice of price or output policy is discussed. The main conclusion drawn is that the supply response of alternative energy sources to OPEC oil will be the key to predicting whether oil prices will go up or down.     

Profitability and supply price in the US domestic oil industry: implications for the political economy of oil in the twenty-first century

In May 2001, the US Government's National Energy Policy DevelopmentGroup proposed to increase investment in domestic oil resourcesand to diversify further the sourcing of US oil imports by increasingproduction in new petroleum provinces. The paper argues thatboth strands of this policy are dependent upon a third, unstated,objective—to ensure that OPEC retains sufficient marketpower to prevent the sort of collapse in world oil prices thatoccurred in 1998–99. The consequences of that collapse,when the real price of US oil fell to its lowest level in 53years, are explored. Finally, it is argued that the outcomeof the crisis was a rapprochement between OPEC and the US. Itis suggested that the consensus between the US and OPEC as tothe desired range within which the world oil price should moveis likely to survive any temporary political disturbances.     

前瞻性货币政策的微观传导机制有效吗*——来自中国上市企业资产负债表的证据

本文根据新古典资本需求理论和实际余额效应理论建立了一个包含投资需求和投资效率的前瞻性泰勒规则模型,并构造了一个反映企业投融资需求状况的企业综合状况指数,将其引入扩展的前瞻性泰勒规则模型,然后从宏观和行业两个层面对加入企业综合状况指数的前瞻性泰勒规则进行了检验和比较。研究发现：（1）前瞻性利率传导的企业资产负债表渠道基本有效,短期名义利率对于超过80%行业的企业综合状况指数缺口的反应系数显著,但对不同行业的反应差异较大;（2）短期利率对企业综合状况的反应系数较小,而对通胀缺口和产出缺口的反应系数相对较高,显示货币当局调整利率可能更多的是针对通胀缺口和产出缺口反应;（3）货币政策对资产价格“反应不足”,其对股价的反应系数非常小,对房价的反应系数不显著。     

Optimization agricultural production under financial risk of water constraint in the Jordan Valley

Using high-frequency data the co-movements among crude oil prices are analysed in order to address the question of regionalization of the world crude oil market. Time-series econometrics in the form of error-correction modelling is applied for daily crude oil price data covering the time period 1988 to 2004 and in this framework topics like weak and strong exogeneity among three major oil prices – represented by Brent, OPEC and Texas (WTI) – are addressed. The empirical results are that causality is most likely bi-directional among these crude oil prices – and hence rejecting a regionalization hypothesis of the global oil market – and also an influence from the OPEC oil price towards Bent and WTI, which are usually claimed to have a benchmark role.     

OPEC and the monopoly price of world oil

The paper presents a dynamic model of the behavior of OPEC viewed as a monopolist sharing the oil market with a competitive sector. The main conclusion is that the recent increase in the price of oil was a once and for all phenomenon due to the formation of the cartel and that prices should remain approximately constant during the next twenty years.