Tail Causality between Crude Oil Price and RMB Exchange Rate

In this paper we assess the causal relationship between international crude oil price changes and the RMB exchange rate using daily information from 21 July 2005 to 5 April 2017. In addition to linear causality tests, we employ quantile causality test to identify prior imperceptible causality in quantiles. We find a causal relationship from crude oil price to exchange rate at each quantile interval, but the reverse only appears in tail. This may help to explain why a traditional linear test fails to capture the causality from exchange rate to crude oil price as the quantile causalities in tails are canceled out by each other. Moreover, using RMB as the settlement currency in crude oil trade can weaken the prior significant causal relationships between crude oil price and exchange rate, whereas the reform of exchange rate marketization reignites the tail causalities from exchange rate to crude oil price. These findings recommend a wider use of domestic currencies in crude oil trade to avoid risk from the crude oil market.     

原油管道减阻技术研究进展

原油管道减阻技术对节约能源和投资,加速原油的开发利用,都具有重要的意义.原油管道减阻主要有减阻剂减阻和管道涂层减阻两种途径.作者重点介绍具有绝对优势的原油管道减阻剂减阻技术.对于此项技术,作者从减阻剂的种类、研制概况、合成、在原油管道的应用以及它的发展前景五方面进行了概述.     

基于MSP430单片机和神经网络的原油三相计量装置

研制基于MSP430单片机和神经网络的原油三相计量装置。该装置将单片机和人工神经网络技术相结合用于原油三相计量,首先应用MATLAB软件环境下专门BP神经网络工具箱学习训练原油三相计量样本点数据,得到原油三相计量的BP神经网络软件模型,然后综合单片机和人工神经网络技术,将该软件模型嵌入到MSP430单片机实现原油三相计量,计量值由LED显示电路显示。实验结果表明：该装置计量原油三相体积流量误差小于0．1m^3／s。该装置克服了传统仪器难以建立精确数学模型等缺点,可方便计量原油三相。     

浅析原油管输计量中的几个问题

在原油管输计量交接过程中,造成油品计量误差的主要因素有温度、压力、密度、含水及流量计系数5个方面。在分析各种误差产生原因的基础上．提出了降低计量误差的措施,     

罗茨流量计在原油计量中的误差分析

通过对罗茨流量计在制造过程中的误差分析,以及在使用过程中泄漏量、油品黏度、温度、油质等因素对测量精确度的影响分析,提出了消除和减少计量误差的办法,保证流量计在所要求的计量精度下运行,尽量减少经济损失。     

Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach

We propose the Hawkes flocking model that assesses systemic risk in high-frequency processes at the two perspectives—endogeneity and interactivity. We examine the futures markets of West Texas Intermediate (WTI) crude oil and gasoline for the past decade, and perform a comparative analysis with conditional value-at-risk as a benchmark measure. In terms of high-frequency structure, we derive the empirical findings. The endogenous systemic risk in WTI was significantly higher than that in gasoline, and the level at which gasoline affects WTI was constantly higher than that in the opposite case. Moreover, although the relative influence's degree was asymmetric, its difference has gradually reduced.     

Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?

This paper investigates risk spillovers and hedge strategies between global crude oil markets and stock markets. In the paper, we propose a multivariate long memory and asymmetry GARCH framework that integrates state-dependent regime switching in the mean process with multivariate long memory and asymmetry GARCH in the variance process. Our results first show that there are linear risk spillovers running from the US stock markets to the WTI oil market in the short term. However, the linear risk spillover effect running from the oil market to the US stock market can only exist in the long term. In addition, there is a bidirectional linear risk spillover effect between the European stock markets and the Brent oil market in the short and long terms. Furthermore, there is no linear risk spillover effect between the Dubai oil market and the Chinese stock market. Second, the nonlinear risk spillovers running from the WTI oil market to the US stock market can be found in the tranquil regime. Moreover, there is also a nonlinear risk spillover effect running from the European stock markets to the Brent oil market in the tranquil regime. In addition, the nonlinear risk spillover effect running from the Brent oil markets to the European stock market can be found in the crisis regime. Furthermore, there is bidirectional nonlinear Granger causality between the Dubai crude oil market and the Chinese stock market in the tranquil regime. Finally, dynamic hedge effectiveness shows that the regime switching process combined with long memory and asymmetry behavior seems to be a plausible and feasible way to conduct hedge strategies between the global crude oil markets and stock markets.     

国际石油价格波动对中国农产品价格的影响分析

以2002年1月至2010年11月的国际石油价格和国内玉米、小麦、大豆、大米价格的时间序列为例,使用月度数据并借助Toda和Yamamoto改进的Granger因果检验方法及广义脉冲响应函数来考察国际石油价格是否影响中国农产品价格。从而说明国际石油价格是国内玉米、小麦和大豆价格的Granger原因,不是大米价格的Granger原因,同时,国际石油价格对玉米、小麦和大豆价格的影响在半年后趋于平缓,并呈下降趋势。     

A股市场上的“中石油魔咒”现象及其解释

文章针对A股市场上流传甚广的"中石油魔咒"现象,首次从基本面角度进行了解释,认为造成这一现象的根本原因是国际原油价格对我国股票市场存在显著的负向溢出效应,即当国际原油价格上涨时,对中石油个股产生利好,但对整体宏观经济却构成利空,因而中石油股票价格上涨,整个股票市场却会下跌。进一步研究还发现,这种负向溢出效应具有非线性特征,表现为国际原油价格上涨对股票市场的打压力度要大于其下跌对股票市场的提升力度。这提醒A股投资者相对于国际原油价格下跌,要更加关注国际原油价格上涨带来的投资风险。