Covariance breakdowns and connectedness of crude oil futures markets with non-synchronous data

ABSTRACT

This article identifies the breakdowns in the covariance of three benchmark crude oil futures markets (WTI, Brent and Dubai) and investigates the changes of market connectedness across the breakdown periods. As the crude oil futures are traded in different regions, this article eliminates the non-synchronous trading data by employing the Vector Moving Average structure and the Bayesian data augmentation approach, which keeps the integrity of original data without changing its properties. The results show that there are significant breaks in the covariance structure of crude oil futures markets. The breakdown periods are consistent with the periods when the market volatilities are at high level and the returns are volatile. The changes of market connectedness are independent of the covariance states, which supports the globalization hypothesis for the crude oil market. The results also suggest that there is more information flow out of the WTI than to the WTI during the sample period, particularly during the breakdown periods in 2008–2009.     

强化生产过程技术管理提高装置防腐能力

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泡沫原油油气分离器的研制

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Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market

The wide fluctuations of oil prices from 2003 to 2008 have attracted the interest of academics and policymakers. A popular view is that these fluctuations were caused by speculative bubbles due to the increased financialization of oil futures markets. This hypothesis, however, is difficult to examine since the fundamental price of oil is unobservable and, therefore, econometric evidence in favor of bubbles may actually be due to misspecified market fundamentals. In this paper, we extend two recently proposed methodologies for bubble detection that alleviate this problem by using market expectations of future prices. Both methodologies provide no evidence of speculative bubbles.     

重推原油期货对我国的影响及完善建议

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基于VAR模型探究BDI和燃油价格的相互影响

燃油价格近期受疫情影响出现剧烈波动,国际干散货航运市场也受到巨大影响。基于Clarksons官方数据库1992年1月至2020年4月相关数据,进行实证研究发现,国际燃油价格的暴跌对波罗的海干散货运价指数的下降有着显著的正向影响;燃油价格虽然也在一定程度上受到BDI的影响,但存在一定的滞后性。这有利于干散货运输公司根据燃油价格波动预测运价指数的变化趋势,从而采取多样的方式应对冲击。也对保障干散货运输市场的稳定发展有重要意义。     

高酸值原油脱酸装置腐蚀防护措施及改进建议

本文根据高酸值原油腐蚀机理,分析了加工高酸值原油对常减压(高酸值原油脱酸装置)装置的腐蚀特点和重点腐蚀部位,并在此基础上提出了具体的防护措施:电脱盐、塔顶"三注"、高温缓蚀剂、腐蚀监测等,并重点介绍了本公司50万吨/年常减压装置的具体防腐措施,实践证明这些措施取得了较好的防腐效果,最后根据实践提出了可行的改进建议。     

Short-term scheduling of crude oil operations in refinery with high-fusion-point oil and two transportation pipelines

In some refineries, storage tanks are located at two different sites, one for low-fusion-point crude oil and the other for high one. Two pipelines are used to transport different oil types. Due to the constraints resulting from the high-fusion-point oil transportation, it is challenging to schedule such a system. This work studies the scheduling problem from a control-theoretic perspective. It proposes to use a hybrid Petri net method to model the system. It then finds the schedulability conditions by analysing the dynamic behaviour of the net model. Next, it proposes an efficient scheduling method to minimize the cost of high-fusion-point oil transportation. Finally, it gives a complex industrial case study to show its application.     

Determinants of workers’ remittances: An empirical investigation for a panel of eleven developing Asian economies

We explore the key motives of migrant workers’ remittances from abroad for 11 major Asian migrant‐sending countries. Using panel regressions, we find that relative higher growth rate, interest rate and capital market returns of home over the host, investment, financial deepening at home have significant impact on remittance inflows into Asia, along with higher per capita incomes and international crude oil prices. With incorporation of per capita incomes and lagged impact of remittances, we observe an emergence of consumption motives to remit. Therefore, we conclude that both investment and altruistic motives are the driving forces for remittances inflows into the Asian economies.     

中国原油定价机制转型——基于SD模型分析

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