本文關(guān)鍵詞： 國際石油價格 股票市場 VAR模型 向量誤差修正模　出處：《西南財經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：“石油是現(xiàn)代經(jīng)濟社會發(fā)展的基礎(chǔ),是現(xiàn)代化工業(yè)的血液”。隨著全球工業(yè)化進(jìn)程的不斷深入,作為原材料和基礎(chǔ)能源的石油已全面滲透到國民經(jīng)濟社會中的各個方面,成為當(dāng)今社會不可或缺的組成部分。近年來,伴隨著各國經(jīng)濟的高速發(fā)展,各國對石油的需求也大幅攀升,1989年世界石油日需求量為5180萬桶,而2010年該數(shù)據(jù)上升至近9000萬桶。 中國作為新興經(jīng)濟體的主要代表,隨著工業(yè)化程度不斷提高,對石油的需求量也與日俱增,石油需求量由2002年的495萬桶/日迅速攀升至2011年的近1000萬桶/日。2000年到2009年,世界能源消費需求年增長率僅2.6%,但我國年均增長率卻高達(dá)9.8%,中國在2009年的石油消費量已占到了全球的10%,成為僅次于美國的世界第二大石油消費國。在能源供給方面,自1993年我國正式成為石油凈進(jìn)口國之后,我國石油對外依存度不斷上升。據(jù)統(tǒng)計,2009年我國石油對外依存度達(dá)到54%,并且該比例仍將進(jìn)一步擴大。同時,我國在1998年改革了石油價格雙軌制,使國內(nèi)石油價格開始逐步與國際油價接軌。因此,國際油價的大幅上漲將直接導(dǎo)致國內(nèi)生產(chǎn)生活成本的攀升,嚴(yán)重影響到我國經(jīng)濟的健康可持續(xù)發(fā)展。 隨著我國資本市場的快速發(fā)展,股票市場在國民經(jīng)濟社會發(fā)展中的重要性日益上升。截至2010年底,我國滬深股市總市值達(dá)到26.54萬億元,總市值躍居世界第二名,證券化率達(dá)70.8%,并且2010年度我國股市融資額高居全球第一,未來我國證券化率將進(jìn)一步提高。因此,對國際石油價格與中國股票市場的關(guān)聯(lián)性進(jìn)行研究對于監(jiān)管者制定相關(guān)政策和投資者把握股票市場走向,都具有十分重要的參考意義。 石油在國民經(jīng)濟發(fā)展中重要性的顯著提高以及20世紀(jì)爆發(fā)的三次石油危機,使得對石油價格沖擊的研究成為20世紀(jì)70年代后學(xué)術(shù)界關(guān)注的重點。不過,目前這些研究還主要集中在石油價格與宏觀經(jīng)濟關(guān)聯(lián)性方面,而對石油價格與股票市場關(guān)聯(lián)性的研究較少,并且這些研究中運用的模型以及相關(guān)理論的分析都不盡如人意。同時,在石油價格沖擊是否對股票市場造成影響以及這種影響的方向和程度等問題上,目前學(xué)術(shù)界仍存在很大爭論。因此,本文引入利率、國際石油價格、上證綜指、工業(yè)增加值等內(nèi)生變量構(gòu)造一個多因子模型,通過實證研究來探尋國際石油價格與中國股票市場的關(guān)聯(lián)性。 本文首先強調(diào)石油在國民經(jīng)濟社會發(fā)展中的重要性,并分別論述了20世紀(jì)三次石油危機爆發(fā)的原因以及對美、歐、日等國國民經(jīng)濟社會發(fā)展帶來的巨大沖擊。鑒于石油的重要性,世界各國在石油危機后紛紛展開了對國際石油價格控制權(quán)的爭奪,表現(xiàn)最突出的便是OPEC產(chǎn)油國組織與歐美日等世界主要石油消費國之間的斗爭。不過,隨著非OPEC產(chǎn)油國在世界石油市場中份額的不斷擴大以及石油期貨市場的建立,使得任何一方都不再對國際油價擁有絕對控制權(quán),國際石油價格的多極制衡格局逐步形成。石油市場各方力量的博弈以及石油期貨的金融衍生品特性,使得國際石油價格在20世紀(jì)70年代后出現(xiàn)了前所未有的劇烈波動。 接著,筆者簡單介紹了當(dāng)前國際石油市場中的五大主要現(xiàn)貨市場和三大主要期貨市場,以及WTI和Brent原油期貨合約在國際石油定價過程中扮演的重要地位。闡述了當(dāng)前國際石油定價機制并指出了計算公式,即P=A+D。其中,P為國際石油交易價格,A為基準(zhǔn)價格,D為升、貼水。由于各地區(qū)石油品味和運輸成本存在的差異,不同貿(mào)易區(qū)的基準(zhǔn)油的選擇也有所不同。其中,北美原油定價基準(zhǔn)為WTI,歐洲原油定價基準(zhǔn)為Brent原油期貨,中東原油定價基準(zhǔn)為迪拜原油。 然后,本文將一個多世紀(jì)以來的石油價格走勢分為三個階段,即早期高油價時代、平穩(wěn)低油價時代和劇烈波動時代,進(jìn)而闡述國際石油價格的演變歷史以及世界石油價格控制權(quán)的變遷。接著,筆者通過多視角對造成20世紀(jì)70年代后國際油價的巨幅波動的原因進(jìn)行了分析,發(fā)現(xiàn)石油期貨市場的建立、利益集團間的博弈以及經(jīng)濟租金的重新分配能夠很好地對石油價格的劇烈波動做出解釋。同時,筆者還回顧了中國股市的發(fā)展歷程,并結(jié)合中國股市闡述了波動性理論。 在對國、內(nèi)外相關(guān)研究成果進(jìn)行分析后發(fā)現(xiàn),發(fā)現(xiàn)國外大多數(shù)研究已在國際石油價格與宏觀經(jīng)濟關(guān)聯(lián)性上基本達(dá)成一致,即認(rèn)為國際油價上漲會對經(jīng)濟發(fā)展造成顯著負(fù)面影響。但是,也有部分學(xué)者認(rèn)為油價波動并不會對國民經(jīng)濟發(fā)展造成顯著性影響。一方面,他們認(rèn)為貨幣政策變動應(yīng)該為經(jīng)濟衰退負(fù)有更多的責(zé)任,而非石油價格的上漲。另一方面,石油成本在國民經(jīng)濟中比重顯著下降,石油價格上漲對宏觀經(jīng)濟的負(fù)面沖擊也顯著下降。在國內(nèi),大多數(shù)研究者還主要側(cè)重于對石油價格與宏觀經(jīng)濟關(guān)聯(lián)性的研究。而在石油價格與股票市場關(guān)聯(lián)性方面,國內(nèi)學(xué)者則主要是從分行業(yè)角度來進(jìn)行研究,從而判斷各行業(yè)股票收益率在國際油價沖擊下出現(xiàn)的變化。 在實證方面,本文選取1996年7月至2010年12月的月度數(shù)據(jù)作為樣本,包含WTI價格、短期利率、上證綜指和工業(yè)增加值四個內(nèi)生變量,共696個樣本數(shù)據(jù)。我們利用ADF檢驗法和PP檢驗法對各變量時間序列的平穩(wěn)性進(jìn)行檢驗,結(jié)果發(fā)現(xiàn)石油價格序列、股票價格序列、工業(yè)產(chǎn)值序列和無風(fēng)險利率序列都是非平穩(wěn)的時間序列。但在對這些變量序列進(jìn)行一階對數(shù)差分后,各變量的收益率或變動率則都是平穩(wěn)過程。 因此,我們首先用股票市場收益率、石油價格變化率、利率變化率以及工業(yè)增加值變化率來建立VAR模型。接著,筆者利用VAR模型來對石油價格和股票價格之間的動態(tài)聯(lián)系進(jìn)行分析。根據(jù)最小信息準(zhǔn)則研究后,我們選擇的最佳滯后項為4期。通過對VAR特征根的觀察,我們發(fā)現(xiàn)VAR模型是平穩(wěn)的,但在進(jìn)一步分析后發(fā)現(xiàn)VAR模型存在參數(shù)過多且難以解釋的問題。因此,本文繼續(xù)使用脈沖響應(yīng)和方差分解來進(jìn)行分析,脈沖響應(yīng)和方差分解得到的結(jié)論基本一致,即各變量間表現(xiàn)出一定的獨立性,但同時各變量間仍存在著相互沖擊和影響。 然后,筆者分別用E-G兩步法和Johansen檢驗法對變量間的協(xié)整關(guān)系進(jìn)行了檢驗。通過E-G兩步法檢驗結(jié)果發(fā)現(xiàn)變量間并不存在協(xié)整關(guān)系,不過E-G兩步法本身存在缺陷,使得檢驗結(jié)果容易犯錯誤。因此,我們又運用Johansen檢驗法進(jìn)行協(xié)整檢驗,結(jié)果發(fā)現(xiàn)四個非平穩(wěn)時間序列中存在兩個協(xié)整關(guān)系。 最后,筆者在前面研究結(jié)果的基礎(chǔ)之上,建立了一個包含無風(fēng)險利率、石油價格、工業(yè)增加值、股票指數(shù)四個變量的向量誤差修正模型。實證結(jié)果表明,對利率而言,主要是受自身變動的短期影響,而受石油價格變動、工業(yè)增加值變動和股票指數(shù)變動的影響并不顯著。同時,對石油價格而言,同樣主要受自身變動的影響,而受到利率變動、工業(yè)增加值和股票指數(shù)變動的影響并不十分明顯。但是,對工業(yè)增加值變動而言,其第一個滯后期受到石油價格變動和股票指數(shù)變動的顯著影響,同時也受到自身變動的顯著影響。對于本文最關(guān)心的股票價格變動,其在第一個滯后期只受到石油價格變動的顯著影響,而不受其他變量的影響包括他自身的變量的影響。但到了第二個滯后期,其他變量的影響變動不顯著,而其受到自身變動的影響開始顯著。因此,從長期看,利率、石油價格和工業(yè)增加值以及股票價格之間存在長期的均衡關(guān)系。但就短期變動而言,石油價格對股票價格的影響最為顯著。 本文研究主要有以下創(chuàng)新點：(1)研究對象上的創(chuàng)新。目前對石油價格沖擊的研究主要集中在宏觀經(jīng)濟領(lǐng)域,而本文則多角度、系統(tǒng)性地對國際石油價格波動對我國股票市場收益率的沖擊進(jìn)行了研究。(2)研究方法上的創(chuàng)新。本文通過建立一個包含VTI、利率、上證綜指和工業(yè)增加值四個變量的多因子模型,綜合運用向量自回歸模型(VAR)、脈沖響應(yīng)函數(shù)及方差分解、Johansen協(xié)整檢驗和誤差修正模型對各變量間的沖擊方向和程度進(jìn)行了實證研究,從而探尋到國際石油價格沖擊對我國股票市場的影響。
[Abstract]:"Oil is the foundation of modern economic and social development, the modernization is the blood of industry". With the deepening of global industrialization process, as the raw materials and energy base oil has penetrated into the national economy and society, has become the indispensable part of today's society. In recent years, along with the rapid development of the economy of various countries. The demand for oil also rose sharply in 1989, the world oil demand for 51 million 800 thousand barrels, while in 2010 the data rose to nearly 90 million barrels.
China as the main representative of emerging economies, with the continuous improvement of industrialization level, the demand for oil will grow with each passing day, the demand for oil by 4 million 950 thousand barrels in 2002 to nearly 10 million barrels a day in 2011, quickly climbed to.2000 to 2009, world energy consumption demand growth rate of only 2.6%, but the average annual growth in China the rate is as high as 9.8% in 2009, Chinese oil consumption has accounted for 10% of the world, after the United States to become the world's second largest oil consumer. In the energy supply, since 1993 China became a net oil importer, China's dependence on foreign oil continues to rise. According to statistics, in 2009 China the degree of dependence on foreign oil reached 54%, and the proportion will be further expanded. At the same time, China's reform of oil price system in 1998, the domestic oil prices and international oil prices began to practice. Therefore, the international oil price The sharp rise will lead to the rise of domestic production and living costs, which seriously affects the healthy and sustainable development of our country's economy.
With the rapid development of China's capital market, the importance of the stock market in the national economic and social development in the increasingly rising. At the end of 2010, China's Shanghai and Shenzhen stock market capitalization reached 26 trillion and 540 billion yuan, the total market value ranked second in the world, the securitization rate reached 70.8%, and the 2010 annual amount of financing in China's stock market ranked first in the world, the future of our country the securitization rate will be further improved. Therefore, the research for regulators to formulate relevant policies and investors to grasp the Stock Market Association of international petroleum price and Chinese stock market, has a very important significance.
The three oil crisis significantly increased the importance of oil in the development of the national economy and the twentieth Century outbreak, which makes the research on the impact of the oil price has become the focus of the academic community after 1970s. However, these studies focused on oil prices and macroeconomic relevance, and the relevance of the oil price and the stock market study and analysis of the use of these research model and the related theory is not satisfactory. At the same time, the oil price shock is caused and the impact on the stock market direction and degree, the academic circles still exist great controversy. Therefore, this paper introduces the interest rate, the international oil price, the Shanghai Composite Index, industrial the added value of the endogenous variables to construct a multi factor model, through empirical research to explore the relationship between international oil price and China stock market.
This paper emphasizes the importance of oil in the national economic and social development, and discusses the causes of the three oil crisis in twentieth Century and to the United States, Europe, Japan and other countries has great impact of national economic and social development. In view of the importance of oil in the world, after the oil crisis started on the international oil price control for the most outstanding performance is between OPEC producers and Europe and other major world oil consumption in the struggle. However, with non OPEC oil producers in the world oil market share continues to expand and oil futures market is established, that any party are no longer on the international oil price has absolute control. The international oil price multipolar balancein gradually formed the pattern of oil market. The strength of the parties to the game and the characteristics of oil futures financial derivatives, the international oil price in twentieth Century 70 years There had been unprecedented fluctuations in the post generation.
Then, the author introduces the current international oil market in five major stock markets and three major futures market, and the important position of WTI and Brent crude oil futures contract plays in the international oil pricing process. Describes the current international oil pricing mechanism and points out the calculation formula, which is P=A+D., P for the transaction price international oil, A benchmark price for the D premium to rise, due to the differences in various regions. The oil tastes and transportation costs, the benchmark oil of different trade area selection is different. Among them, the North American crude oil pricing benchmark for WTI, the European crude oil pricing benchmark Brent crude oil futures, the Middle East crude oil pricing benchmark for Dubai crude oil.
Then, this paper will be more than a century of oil price trend is divided into three stages, namely the early era of high oil prices, oil price volatility and the steady low age era, and then elaborates the history and evolution of the international oil price control of world oil price changes. Then, through the view of pen caused by international oil prices after 1970s the huge fluctuations were analyzed, found that the oil futures market, re allocation of the game of interest groups and economic rent can be very good to the sharp fluctuations of oil price explanation. At the same time, the author also reviewed the development course of China stock market, combined with the Chinese stock market volatility theory expounded.
In the country, and analysis the related research results and found that most of the studies have been found abroad in the international oil price and economic relevance on the basic agreement, that international oil prices will have a significant negative impact on economic development. However, some scholars believe that oil price fluctuations will not cause a significant impact on the national economic development. On the one hand, they believe that monetary policy changes should be more responsible for the recession, rather than the rise of oil price. On the other hand, the proportion of the cost of oil in the national economy significantly decreased, oil prices rose a negative impact on the macroeconomic also significantly decreased. In China, most researchers still focused on study on oil price and economic relevance. In the relevance of the oil price and the stock market, the domestic scholars are mainly from the industry perspective into A study is conducted to determine the changes in the stock returns of various industries under the impact of international oil prices.
In the empirical analysis, this paper selects the monthly data from July 1996 to December 2010 as samples, including the WTI price, the short-term interest rate, the Shanghai Composite Index and the industrial added value of four endogenous variables, a total of 696 sample data. We use ADF test method and PP test the stationarity of each variable time series. The results showed that the oil price sequence, stock price series, industrial output sequence and the risk-free interest rate series are non-stationary time series. But when the variable sequence of first-order logarithmic difference after each variable yields or rates of change are stationary processes.
Therefore, we first use the rate of return of the stock market, the oil price change rate, interest rate and the rate of change of industrial added value to establish the VAR model. Then, the author analyzed the dynamic relationship between the oil price and the stock price by using VAR model. According to the minimum standards of information, we choose the best lag for 4. Through the observation of VAR eigenvalues, we found that the VAR model is stable, but found that the VAR model has too many parameters and it is difficult to explain the problems in further analysis. Therefore, this paper continues to use the impulse response and variance decomposition analysis, impulse response and variance decomposition are basically the same conclusion, namely all variables showed a certain degree of independence, but also the variables still exist the mutual impact and influence.
Then, the author of the co relation between variables was tested using E-G test method and two step Johansen. Through the E-G two step test results show that the cointegration relationship does not exist between the variables, but the E-G two step to its defects, makes the test results are easy to make mistakes. Therefore, we use Johansen cointegration test method the inspection results, it is found that there are two cointegration relationship between four non-stationary time series.
Finally, based on the previous research results, establish a complete risk-free interest rate, oil price, industrial added value, the stock index of the four variable vector error correction model. The empirical results show that the interest rate, mainly short-term changes by its own shadow ring, and the oil price change, industrial added the value changes and stock index change is not significant. At the same time, the oil price is concerned, the same is mainly affected by their own changes, and affected by changes in interest rates, the industrial added value and the influence of stock index change is not obvious. But in ten, the industrial added value changes, the first lag significantly affected oil prices change and the fluctuation of stock market, but also affected their movements. For the most concerned about the stock price changes, the only by the oil price changes significantly at the first lag The influence, but not affected by other variables including his own variables. But by the second lag, the effects of changes in other variables is not significant, but the change was significantly influenced by their own. Therefore, the interest rate in the long term, oil prices and industrial added value there is a long-term equilibrium relationship between and the stock price. But the short-term changes, oil prices on the impact of stock price is the most significant.
This paper mainly has the following innovations: (1) the research object innovation. The current research on the impact of the oil price is mainly concentrated in the macroeconomic field, but this is the multi angle, systematically to the international oil price fluctuations on China's stock market gains rate shocks were studied. (2) the innovation of research methods on. This paper includes the establishment of a VTI, the interest rate, the Shanghai Composite Index and the industrial added value of multi factor model of four variables, using vector autoregressive model (VAR), impulse response function and variance decomposition, Johansen cointegration test and error correction model of direction and degree of impact between the variables of an empirical study, in order to explore the influence to the international oil price shocks on China's stock market.

【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F416.22;F224

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