浅析原油价格对全球经济的影响

石油在国际市场上起着举足轻重的作用,而石油价格的细微变动也都时刻影响着全球经济的走向。针对这个问题,本文从原油的历史变化出发,分析原油价格变动对世界各国的影响以及预测未来国际原油价格变化情况。     

石油价格波动对福建省经济影响的分析

受国际原油价格变动以及国内石油政策等因素的影响,近几年来福建省石油产品价格波动较大,曾两次出现石油价格暴涨。据测算,这两次油价暴涨都给福建省国内生产总值造成一定的损失。本文通过分析福建省石油产品价格变动轨迹、原因以及因油价高涨对全省经济产生的影响,提出稳定油价和发展经济的相关对策,旨在推动福建省国民经济更加健康发展。     

浅析金融危机后国际市场石油价格趋势

预测未来世界石油价格变动的趋势,具有十分重要的现实和战略意义。本文从供求关系、政治、通胀、投机资本等角度分析未来国际石油价格将继续走高的原因。     

石油期货市场投机行为的幕后推手

2000年之后,国际石油价格呈现出＂过山车＂式的变动,投机活动成为影响石油价格的不可忽视的因素。本文采用格兰杰非因果关系检验的方法寻找不同时期引起投机行为的格兰杰原因。研究发现,投机者对投机操作方向的选择主要受货币政策的影响,对投机规模的选择主要受金融市场风险状况的影响。     

中国能源价格内生性研究及货币政策选择分析北大核心CSSCISSCI

本文基于TVP-VAR的实证研究表明,国内石油价格受国际影响,国内煤炭价格对国际价格有着显著的引领作用;能源价格在月度数据水平上表现出对中国宏观经济的依赖,显示出内生性特点。内生性的煤炭和石油价格对产业营业收入、利润和股票价格分别有着不同的影响,会扩大股市的泡沫成份。能源价格对经济的影响不是将能源价格纳入货币政策盯住目标的理由,基于系统模拟的结果表明稳健的货币政策有利于宏观经济的稳定。     

美元贬值和石油价格变动相关性的实证分析

进入新世纪以来,由于各种因素导致美元不断贬值,与此形成鲜明对比的是,石油价格一路飙升。那么,美元汇率和石油价格之间是否存在着某种因果关系呢?由于期货市场具有价格发现功能。本文以最具代表性的美国纽约商品交易所的原油期货价格为研究对象,分析美元贬值和石油价格之间的关系。本文首先定性分析美元贬值导致石油价格上涨的传导机制,然后利用模型对相关数据进行实证分析。研究结果表明,石油期货价格的上涨,除了有美元指数的影响之外,更重要的原因是前期石油期货价格上涨对本期石油期货价格上涨有正向的推动作用。     

美元贬值和石油价格变动相关性的实证分析北大核心CSSCISSCI

进入新世纪以来,由于各种因素导致美元不断贬值,与此形成鲜明对比的是,石油价格一路飙升。那么,美元汇率和石油价格之间是否存在着某种因果关系呢?由于期货市场具有价格发现功能。本文以最具代表性的美国纽约商品交易所的原油期货价格为研究对象,分析美元贬值和石油价格之间的关系。本文首先定性分析美元贬值导致石油价格上涨的传导机制,然后利用模型对相关数据进行实证分析。研究结果表明,石油期货价格的上涨,除了有美元指数的影响之外,更重要的原因是前期石油期货价格上涨对本期石油期货价格上涨有正向的推动作用。     

单一商品价格与价格总水平决定因素是不同的

当某一商品价格大幅上涨时,往往有人将其归因于货币供应的增加。无论是石油价格上涨、黄金价格上涨,还是房价的上涨,都出现过类似的议论。这种议论的错误在于混淆了单一商品价格与价格总水平的决定因素。     

国际市场对我国价格总水平影响的实证分析——基于货币和贸易传导路径

本文选取2001年至2009年5月份的月度数据,通过货币和贸易两种路径来分析国际市场价格变动对我国价格总水平的影响。其中,货币传导路径以人民币有效汇率指数、一年期贷款利率来研究对我国价格水平的影响;贸易传导路径以CRB指数、进口商品贸易价格指数为变量分析对国内价格水平的影响。通过研究,本文的初步结论是：人民币有效汇率和一年期贷款利率的变化造成国内物价水平反方向波动,国际大宗商品价格对国内价格水平传导效应递减,时间具有滞后性。     

基于增量消费地区驱动的国际石油价格研究

影响国际石油价格的因素有很多,本文认为在长期的价格变化中增量消费才是影响因素中的关键。根据1980-2008年世界石油增量消费地区的变动情况,分析得出2002年为世界石油增量消费地区转折点,伴随着增量消费地区由美国、欧盟和日本等发达国家转移到以中国为代表的发展中国家,国际石油价格也发生了不同于以往年度的巨大变化。进而说明中国只有通过提高石油利用效率、进一步发展替代资源以及积极提高中国石油基准定价在世界石油价格体系中的作用等措施,才可以更好的维护自身的经济利益。     

去伪存真:油价趋势与股票市场——来自“一带一路”35国的经验证据

油价波动深刻影响全球经济,严重时会造成全球股市动荡,甚至引发系统性金融风险。然而油价中的信息噪音严重阻碍国际油价对股票市场的预测效果。本文提出的移动平均法可有效减弱信息噪音,研究表明,本文基于移动平均法构建的油价趋势因子对“一带一路”沿线国家股票市场具有良好的样本内和样本外可预测性。进一步研究发现,国际油价波动对产油国和非产油国股票市场的影响存在非对称性。本文为国际油价冲击股票市场提供了新的有力证据,同时本文研究成果提示了油价风险,对维持我国股票市场稳定,保持金融稳定具有一定意义。     

基于VAR模型的黄金价格影响因素分析

自20世纪70年代初期布雷顿森林体系崩溃之后，美国割断了美元与黄金的固定比价关系，使黄金价格步入了市场化的轨道，黄金价格的大幅波动越演越烈，这使得人们越来越重视探讨影响黄金价格的种种因素。为此，利用VAR模型对黄金价格自身、美国通货膨胀率、国际原油价格等因素与黄金价格总水平的关系进行研究。通过研究得到了各因素影响黄金价格总水平的程度，其中发现黄金价格自身的波动是导致国际黄金价格总水平上升的最主要因素，这为研究黄金价格的变动提供了重要依据。     

Has Petroleum Pricing Reform in China Achieved Its Objective? An Empirical Study

China’s petroleum pricing reform has started since 1998 and is still ongoing. It has a profound impact on China’s oil market and even global oil market. We quantitatively evaluate the effectiveness of the reform on two key issues. Has the pricing reform strengthened the linkage between the international crude market and China’s petroleum products market? Has the pricing reform magnified shocks to the international crude market on China’s economy? Our results show that the reform has strengthened the relationship between China’s petroleum prices and international crude price without negative influence on China’s economy, but the effect of China’s petroleum prices on international crude price is still limited. Furthermore, the reform helps the Chinese government reduce oil subsidies.     

Identifying the comovement of price between China's and international crude oil futures: A time-frequency perspective

Identifying the comovement of price between China's and international crude oil futures can help different market players gain a deeper understanding of the world crude oil market. This paper uses the wavelet (wavelet coherence and phase) methods to study the comovement characteristics at different time scales from three aspects (the strength of comovement, the direction of comovement and the lead-lag relationship of price fluctuation) and uses the complex network method to explore the evolutionary characteristics of the comovement with time. We use the daily closing prices of WTI, Brent and China's crude oil futures (INE) as sample data. The results show that the comovement between INE and international crude oil futures is extremely different from that between other international crude oil futures, and the comovement at different time scales is also different. Compared with the comovement between WTI and Brent crude oil futures, the comovement strength between INE and international crude oil futures is weak and the comovement direction is unstable. China's crude oil futures price fluctuation also tends to lag behind that of international crude oil futures. Compared with the long-term, the short-term comovement strength is weaker, the comovement states are more diverse and the transition between comovement states is more complex. Moreover, during the evolution of time, some comovement states have a higher probability of occurrence and they are also more stable than others. These findings are helpful for policy makers to design policies and for investors to make investment decisions.     

The dynamic moderating function of the exchange rate market on the oil-stock nexus

Oil price movements have an important impact on the stock market, and this impact could be dynamically moderated by the exchange rate, which could not be effectively depicted by VAR or GARCH methods widely used in previous studies. This paper adopts a more flexible nonlinear model to investigates this dynamic moderating effect of the exchange rate market on the oil-stock nexus for 45 major countries from November 30, 2005 to November 22, 2019. We also compare the differences in this moderating effect between oil-importing and oil-exporting countries and confirm the presence of a wealth transfer effect. Specifically, the empirical results show that (1) In the stage where domestic currency depreciation or appreciation degree is not serious (the growth rate is less than 0.1), an increase in crude oil prices has a positive impact on stock market returns, and this positive impact is weakened when the growth rate of the exchange rate return approaches zero. (2) As the local currency continues to appreciate (the growth rate is greater than about 0.22), the increase in crude oil prices may negatively influence stock market returns to an increasingly greater extent among crude oil importers. (3) The increase in crude oil prices may have a short-term positive impact on stock market returns in oil-exporting countries due to the wealth transfer effect when the domestic currency appreciates at a faster rate. Finally, we discuss the policy implications of our findings to help investors avoid risks due to fluctuations in international oil prices.     

The impact of investor sentiment on crude oil market risks: evidence from the wavelet approach

Investor sentiment has become an important factor affecting oil price volatility and extreme risk. Therefore, we utilise a VaR-GARCH model to detect the extreme risk of the crude oil market during 2007–2017, and then explore the causality between investor sentiment and extreme risk in the crude oil market, and their lead-lag and co-movement relationships in the time-frequency domain. The empirical results show that: firstly, investor sentiment leads downside risk but lags the upside risk in the crude oil market; secondly, in the time domain, there is a co-movement between investor sentiment and extreme risk in the crude oil market, in particular, investor sentiment may Granger cause extreme risk in the crude oil market at the 1% significance level but not vice versa; thirdly, in the frequency domain, weak coherence can be found in high-frequency bands but increases in low-frequency bands during the whole sample period, which indicates that the impact of investor sentiment on extreme risk in the crude oil market will last for a long time, although the affected period tends to decrease.     

The impact of institutional analyst forecast divergence on crude oil market: Evidence from the mixed frequency models

As important information intermediaries, analysts play a non-negligible role in the crude oil market. Existing research often focuses on analysts' collection and interpretation of firm-specific information, but neglects the impact of analysts' forecasts on specific markets such as the crude oil market, which is crucial to the safe and stable development of the crude oil market. Therefore, this study uses historical data from January 2011 to December 2020 as a sample to construct analysts' forecast divergence indicators from 15 institutional analysts' forecast data on international crude oil futures prices. It then explores the impact of institutional analysts' forecast divergence on oil price return volatility, crude oil market jumps and crude oil futures trading volume, based on various mixed-frequency models. The results are as follows: First, volatility in oil price returns increases with a growing divergence in analysts' forecasts. Second, analysts' forecasts do not trigger jump in the crude oil market on the first six days after the information is released, but trigger a significant positive jump in the market on the seventh day. Third, the impact of analysts' forecast divergence on trading volume is weak; however, the reverse effect is significant, while the static and dynamic spillover results are consistent.     

Regime-Dependent Effect of Crude Oil Price on BRICS Stock Markets

In this study, the dynamic relation between global crude oil prices and stock prices is investigated in terms of crude oil-exporting and -importing countries. The relationship between crude oil prices and stock prices is examined for BRICS countries (Brazil, Russia, India, China, and South Africa) for the periods of January 1995 to December 2016 by means of the Markov Switching Vector Autoregression (MS-VAR) model. The impulse-response analysis results suggest that the responses of the stock market to an oil price shock vary over the regimes for all countries. Specifically, we find that the responses of the stock market to an unexpected oil price shock are positive and statistically significant in the high-volatility regime in all countries except for China, and these results suggest that the increase in oil prices may be evaluated by demand-side shock in these countries.     

国际原油价格波动对中国物价水平的影响

本文在多变量VAR模型的基础上,分别采用协整检验、脉冲响应和方差分解方法分析了国际原油价格对中国物价水平的影响.结果显示：国际石油价格冲击对中国物价水平的影响是显著的,对中国生产者物价水平的影响速度大于对消费者物价水平的影响,对中国生产者物价水平的影响程度大于对消费者物价水平的影响.