本文選題：原油價(jià)格波動(dòng)　切入點(diǎn)：GARCH-MIDAS模型　出處：《中國礦業(yè)大學(xué)》2017年碩士論文

【摘要】：隨著經(jīng)濟(jì)的發(fā)展、全球化的深入,國際石油市場(chǎng)更加國際化、金融化,石油作為經(jīng)濟(jì)發(fā)展的動(dòng)能來源,其價(jià)格波動(dòng)愈加受到廣泛關(guān)注。同時(shí),我國作為發(fā)展中大國,石油的對(duì)外依存度卻在不斷增加。在這一背景下,研究油價(jià)長(zhǎng)期影響因素和各影響因素對(duì)原油價(jià)格波動(dòng)的影響特點(diǎn)具有重要的現(xiàn)實(shí)意義。本文闡述國際原油市場(chǎng)的主要概況、行業(yè)結(jié)構(gòu)及國際油價(jià)的體系,并從理論角度上探討了能夠影響國際油價(jià)波動(dòng)的因素,包括供求、庫存、美元匯率、投機(jī)因素及替代能源,同時(shí),也探討了地緣政治、突發(fā)事件、天氣等不可度量的因素對(duì)油價(jià)波動(dòng)的影響。在此基礎(chǔ)上,構(gòu)建了廣義自回歸條件異方差混頻數(shù)據(jù)抽樣模型(GARCH-MIDAS),從水平層面和波動(dòng)層面分別研究各因素對(duì)原油價(jià)格波動(dòng)造成的影響。通過實(shí)證研究發(fā)現(xiàn):(1)長(zhǎng)期來看,供求因素是原油價(jià)格波動(dòng)的基本影響因素;庫存和美元匯率大致在相同的程度上對(duì)油價(jià)波動(dòng)造成影響;投機(jī)因素對(duì)油價(jià)波動(dòng)的影響也是顯著的,但作用的程度遠(yuǎn)小于供求、庫存和美元匯率;另外,作為一定程度上可以替代石油的另外兩大化石能源——煤炭和天然氣,僅天然氣的價(jià)格可以對(duì)油價(jià)波動(dòng)產(chǎn)生影響,但這種影響相對(duì)來說很小。(2)在對(duì)各因素影響油價(jià)波動(dòng)的水平層面和波動(dòng)層面分析中發(fā)現(xiàn),水平層面上,各因素對(duì)油價(jià)波動(dòng)的影響方向是不同的。其中,原油需求、替代能源中的天然氣和投機(jī)因素這三方面對(duì)原油價(jià)格波動(dòng)起到助推的作用;而美元匯率、原油供給和原油庫存水平值的增長(zhǎng)則會(huì)穩(wěn)定油價(jià)波動(dòng);煤炭?jī)r(jià)格的水平值則起不到顯著作用。波動(dòng)層面上,除了替代能源價(jià)格的波動(dòng)率不會(huì)對(duì)油價(jià)波動(dòng)產(chǎn)生顯著影響,其他各因素的波動(dòng)率均會(huì)推動(dòng)原油價(jià)格的波動(dòng)。(3)在使用經(jīng)典GARCH-MIDAS模型進(jìn)行實(shí)證的同時(shí),也考慮嘗試加入其他低頻外生變量和高頻外生變量,構(gòu)建多因素混頻模型,觀察各因素組合一起之后對(duì)原油價(jià)格波動(dòng)的影響情況,結(jié)果表明,各因素對(duì)原油價(jià)格波動(dòng)的影響情況與單因素模型的情況基本一致,更加印證了供求因素、美元匯率和庫存作為影響原油價(jià)格波動(dòng)的重要地位。另外,本文觀察GARCH-MIDAS模型在估計(jì)多因素模型參數(shù)的效果,發(fā)現(xiàn)添加外生變量有利于提高GARCH-MIDAS模型的刻畫能力、預(yù)測(cè)估計(jì)效果;同時(shí),引入高頻外生變量有助于刻畫的長(zhǎng)期成分更好地識(shí)別原油價(jià)格的波動(dòng)。根據(jù)以上研究結(jié)論,本文就我國實(shí)際情況,提出以下政策建議,主要包括:走節(jié)約型的發(fā)展道路,從需求角度提高我國的“能源安全”性;加強(qiáng)國際間的能源交流與合作,拓展海外石油業(yè)務(wù)市場(chǎng);完善石油戰(zhàn)略儲(chǔ)備促進(jìn)能源安全;建立石油外匯儲(chǔ)備;完善我國的石油交易市場(chǎng),發(fā)展石油期貨市場(chǎng);積極發(fā)展新能源,減少對(duì)石油的依賴,同時(shí)減少對(duì)環(huán)境的污染。
[Abstract]:With the development of economy, the deepening of globalization, the international oil market more international, financial, oil as a source of economic development momentum, its price fluctuations more attention. At the same time, China is a developing country, the dependence on foreign oil has been increasing. In this background, study on the long-term impact of oil prices the influence factors and influence characteristics has important practical significance to oil price fluctuations. This paper describes the main status of the international crude oil market, the industry structure and the international oil price system, and discusses the factors to influence, the international oil price volatility from a theoretical point of view including supply and demand, inventory, the dollar, speculative factors and alternative energy. At the same time, also discusses the geopolitical factors, unexpected events, weather is not the measure of oil price fluctuation. On this basis, construct the generalized autoregressive conditional heteroskedasticity mixing The data sampling model (GARCH-MIDAS), study the influence of various factors on the crude oil price fluctuations resulting from the level and fluctuation level respectively. The empirical study found that: (1) long term, supply and demand factors are the basic factors affecting the oil price fluctuation; inventory and the dollar exchange rate at roughly the same level of oil price volatility impact effect; speculative factors of oil price fluctuation is significant, but the effect is far less than the supply and demand, inventory and the dollar exchange rate; in addition, as to a certain extent, can replace petroleum two other fossil fuels - coal and natural gas, only the price of natural gas can affect the fluctuations in oil prices, but the impact is relatively small. (2) found in the level of oil price fluctuation analysis of the impact of various factors and the fluctuation level, level and direction of various factors on the oil price fluctuation is different. Among them, the original Demand for oil, natural gas and alternative energy speculation in these three aspects to boost the role of oil price fluctuations; while the dollar exchange rate, crude oil supply and oil inventory level of growth will stabilize oil prices fluctuation; coal price level is not significant. The wave level, in addition to alternative energy the price volatility will not have a significant impact on oil price fluctuation, the other factors will promote the volatility of crude oil price fluctuations. (3) the use of the classical GARCH-MIDAS model for empirical at the same time, also consider trying to join the other low frequency and high frequency variable exogenous variables, constructs a multi factor mixing model, observing the various factors together after the impact of oil price fluctuations, results show that the influencing factors of oil price fluctuation and the single factor model is basically consistent, more proof of the supply and demand factors, the dollar Exchange rate and stock status as an important impact of oil price fluctuation. In addition, we observe the GARCH-MIDAS model in the estimation of model parameters the effect of multiple factors, found that adding exogenous variables can improve GARCH-MIDAS model description ability, estimate the effect; at the same time, the introduction of high frequency exogenous variables contribute to a better characterization of long-term component identification of crude oil prices fluctuation. According to the above conclusions, this paper on China's actual situation, put forward the following policy recommendations, including: the path of development of economy, improve our country's "energy security" from the perspective of demand; energy strengthen international exchanges and cooperation, expand overseas oil business market; improve the strategic petroleum reserve to promote energy security the establishment of foreign exchange reserves; oil; improve the oil trading market in our country, the development of the oil futures market; actively developing new energy, reduce dependence on oil, at the same time Reduce the pollution of the environment.

【學(xué)位授予單位】：中國礦業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F764.1;F713.35

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本文編號(hào)：1667575