中国上海燃料油期货定价模型研究

采用协整理论及基于VAR的Grange因果关系检验与冲击反应函数方法对中国上海期货交易所燃料油期货价格作建模分析。单位根检验显示，选取的样本序列均为I（1）。Granger因果关系检验显示：美原油期货价格，新加坡180燃料油现货价格变量为燃料油期价的Granger原因；上海燃料油期货价格是黄埔现货价格的单向的Granger原因，期货价格对现货价格具有发现作用。最终作出的长期协整方程显示：美原油期货价格，新加坡180燃料油现货价格、欧元汇率与上海燃料油现货价构成长期显著的均衡关系。美原油期货价格对沪燃料油期价的弹性为0．85；新加坡180燃料油现货价格对沪燃料油期价的弹性为0．78；欧元汇率对沪燃料油期价的弹性为1．04。从最终建立动态模型来看，模型有较好的拟合及预测精度。因此，该模型对沪燃料油期价风险控制具有较好的参考作用。

Research on Pricing Model of Fuel Oil Futures in Shanghai

The futures prices of fuel oil of Shanghai Futures Exchange were analyzed through model building with Cointegration theory, VAR-based Grange Causality testing and impulse analysis. Unit-Root-Testing results showed that all the selected time series data were I(1). Grange causality testing showed that futures price of USA crude oil and spot prices of Singapore 180 fuel oil were Grange causes of Shanghai fuel oil futures prices, and futures prices of Shanghai fuel oil were single directional Granger cause of spot prices of HuangPu in China. Cointegration testing showed that futures price of USA crude oil and spot prices of Singapore 180 fuel oil and Exchange rate of Euro (to dollar) have long-term marked equilibrium relationship with prices of Shanghai fuel oil futures. The elasticity of futures price of USA crude oil to futures prices of Shanghai fuel oil is 0. 85. The elasticity of spot prices of Singapore 180 fuel oil to futures prices of Shanghai fuel oil is 0.78; the elasticity of Exchange rate of Euro (to dollar) to futures prices of Shanghai fuel oil is 1. 04. Dynamic models have good statistical property and good fitness and forecasting premise. Therefore, the models have good consultation function to forecast and control risk of futures prices of Shanghai fuel oil.