本文選題：投機 + 協方差分析�。� 參考：《南京財經大學》2013年碩士論文

【摘要】：2002年以來國際油價快速上漲，在2008年7月達到每桶147美元的歷史高位，短短幾個月的時間又迅速跌至40美元附近。如此劇烈的波動僅用供給需求、美元貶值等傳統(tǒng)影響因素很難給出合理的解釋，很多人開始將矛頭指向原油期貨市場。他們認為大量資金進入原油期貨市場進行投機導致了油價泡沫，但是投機對油價變動到底有沒有影響一直存在爭議，而且缺乏實證分析。本文就是以此為出發(fā)點解決以下幾個問題：第一、原油期貨投機對油價到底有沒有顯著影響；第二、短期內原油期貨投機對油價的影響程度有多大，長期內哪種因素占據主導地位；第三、傳統(tǒng)影響因素和投機因素共同作用如何影響國際油價；第四、在傳統(tǒng)影響因素以及投機因素共同影響下國際油價將如何變動。 本文利用最新數據，運用協方差分析、脈沖響應分析、方差分解、協整和VEC模型以及BP神經網絡分別對上述問題進行實證分析，最終得到以下結論：短期內原油期貨投機對油價有顯著影響，原油期貨投機對油價的沖擊可使油價上漲15美元左右，而且投機因素對油價變動的貢獻度可以達到60%；長期來看供給需求和美元貶值對油價的影響依然占據主導地位，其中供給需求對油價的貢獻度達到40%，，美元貶值的貢獻度在20%左右，原油期貨投機貢獻度在5%左右。另外通過協整分析得知油價與影響因素之間存在長期穩(wěn)定的協整關系，而且向量誤差修正模型符合反向修正機制，短期內考慮原油期貨投機作用可有效的預測較大的油價波動。通過相關性分析、對比分析并且借助于圖表分析得知商品指數基金在長期內能夠促進油價持續(xù)上漲，但是油價的大幅波動主要是由于非商業(yè)持倉追漲殺跌所致，而且投機資金規(guī)模不斷擴大，已經具備左右國際油價的能力。 高油價加劇了全球通貨膨脹，對全球經濟造成很大影響。我國石油對外依存度已超過50%，油價的劇烈波動嚴重危及我國的經濟發(fā)展，本文在相關研究的基礎上對有關部門提出以下合理的建議：期貨交易所應該加大對非商業(yè)持倉的監(jiān)管力度，可適當提高保證金限制投機炒作；國內應該推動原油期貨商品的上市進程，石油公司也應抓住機遇擴大商業(yè)庫存，加大海洋石油開發(fā)投資，并且不斷完善國內成品油定價機制。
[Abstract]:International oil prices have risen rapidly since 2002, reaching an all-time high of $147 a barrel in July 2008, before falling to around $40 in just a few months. With such sharp volatility using only supply demand, traditional factors such as a weaker dollar are hard to justify, many people are starting to blame the crude oil futures market. They argue that speculation in crude oil futures markets led to a bubble in oil prices, but whether speculation has an impact on oil prices has been controversial, and there is a lack of empirical analysis. This paper takes this as a starting point to solve the following problems: first, whether speculation in crude oil futures has a significant impact on oil prices; and second, how much impact oil futures speculation has on oil prices in the short term. In the long run, which factors occupy the dominant position; third, how the traditional factors and speculative factors affect the international oil price; fourthly, how will the international oil price change under the influence of the traditional factors and speculative factors. In this paper, we use the latest data, covariance analysis, impulse response analysis, variance decomposition, cointegration and VEC model and BP neural network to analyze the above problems. Finally, the following conclusions are drawn: in the short term, speculation in crude oil futures has a significant impact on the oil price. The impact of speculation on oil prices can make the oil price rise by about $15, and the contribution of speculative factors to the change of oil price can reach 60%. In the long run, supply demand and the depreciation of the dollar still play a dominant role in the oil price. The contribution of supply demand to oil price is 40%, the contribution of dollar depreciation is about 20%, and the contribution of speculation in crude oil futures is about 5%. In addition, the cointegration analysis shows that there is a long-term stable cointegration relationship between oil price and influencing factors, and the vector error correction model accords with the reverse correction mechanism. In the short term, considering the speculative effect of crude oil futures can effectively predict large oil price fluctuations. Through correlation analysis, comparative analysis and chart analysis, we can see that commodity index funds can promote the oil price rising continuously in the long run, but the large fluctuation of oil price is mainly caused by non-commercial positions chasing after the rise and down. And the scale of speculative funds continues to expand, already have the ability to control the international oil price. High oil prices have exacerbated global inflation and have had a great impact on the global economy. The degree of dependence on foreign oil in China has exceeded 50%, and the sharp fluctuation of oil prices seriously endangers the economic development of our country. Based on the relevant research, this paper puts forward the following reasonable suggestions to the relevant departments: the futures exchange should strengthen the supervision of non-commercial positions, which can appropriately increase margin to limit speculation; China should promote the listing process of crude oil futures commodities, and oil companies should seize the opportunity to expand commercial inventory, increase investment in offshore oil development, and constantly improve the pricing mechanism of domestic refined oil products.
【學位授予單位】：南京財經大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F416.22;F831.53

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