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主办：中国优选法统筹法与经济数学研究会
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中国管理科学

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中国原油期货的国际定价能力研究——基于动态信息溢出视角的比较分析

杨坤1,魏宇2,马钱挺3,何建敏1   

  1. 1. 东南大学经济管理学院
    2. 云南财经大学 金融学院
    3. 南京农业大学
  • 收稿日期:2022-01-28 修回日期:2022-09-12 发布日期:2022-10-14
  • 通讯作者: 魏宇
  • 基金资助:
    贵州省自然科学基金;基于两阶段语义X列表知识网络空间的复杂产品系统持续创新方法及应用;基于多智能体的供应链金融中小企业信用评分鲁棒群决策研究;B2C模式下闭环选址-库存集成优化模型研究;面向“电商-工业”联动物流智能多级管控的运作服务平台研发及应用

The international pricing power of China’s crude oil futures: Comparative analyses from the perspective of dynamic information spillover

  • Received:2022-01-28 Revised:2022-09-12 Published:2022-10-14

摘要： 中东原油“亚洲溢价”现象的存在是对亚太地区各国经济发展的一种长期不公正待遇，而上海原油期货的推出正是我国提升国际原油定价话语权的重要举措。本文采用基于时变参数向量自回归（TVP-VAR）模型的溢出指数方法，从全球原油期货和亚洲原油现货市场间的动态信息溢出视角，量化比较了我国原油期货和三类成熟原油期货的定价能力及其动态特征，并重点考察新冠肺炎疫情爆发前后各类原油期货定价能力的变化。为增强结论的稳健性，本文还进一步区分了正、负向收益关联系统中原油期货市场的非对称溢出行为。结果表明：（1）WTI和Brent原油期货在原油系统中占据支配地位，而我国原油期货的定价能力总体上弱于三类成熟原油期货，但其对亚洲原油现货市场的重要性却在新冠疫情发生后有所提升；（2）在四类原油商品期货中，我国原油期货对亚洲原油现货的价格引领作用更容易受到新冠肺炎疫情传播的影响，并且不同于疫情发生前主要充当其他原油市场的信息净接受者，我国原油期货在疫情爆发后曾短暂成为了各亚洲原油现货市场的净溢出者；（3）虽然新冠肺炎疫情对原油系统信息溢出强度及其非对称特征具有明显影响，但并未从根本上改变原油市场间的信息传递方向，同时疫情对原油系统的剧烈冲击在五个月内被逐渐吸收。

关键词: 中国原油期货, 定价能力, 动态信息溢出, 溢出指数, TVP-VAR

Abstract: The “Asian premium” phenomenon in crude oil trade is a long-term unfair treatment for the economic development of Asia-Pacific countries, and the launch of Shanghai crude oil futures is a crucial measure for China to compete for the pricing right of international crude oil market. This paper quantitatively compares the pricing powers and their dynamic features of China’s crude oil futures and other three developed crude oil futures from the perspective of dynamic information spillovers among global crude oil futures and Asian crude oil spot markets, using a spillover index method based on the time-varying parameter vector autoregressive (TVP-VAR) model. Meanwhile, the impacts of COVID-19 pandemic on the pricing powers of various crude oil futures are also focused on. In order to enhance the robustness of our conclusions, the asymmetric spillover behaviors of crude oil futures market in the correlation systems of positive and negative returns are further distinguished. The empirical results show that, first, the crude oil system is still dominated by WTI and Brent crude oil futures, and the pricing power of China’s crude oil futures is generally weaker than those of three developed crude oil futures. While, China’s crude oil futures becomes more crucial to Asian crude oil spot markets after the COVID-19 outbreak. Second, the price-leading role of China’s crude oil futures in Asian crude oil spot is more susceptible to the COVID-19 pandemic than those of three developed crude oil futures. Different from acting a net information receiver of other crude oil markets before the COVID-19 outbreak, China’s crude oil futures also became a net information transmitter of Asian crude oil spot markets for a short time after the outbreak. Finally, even though there are significant impacts of COVID-19 pandemic on the information spillover intensity of oil system and its asymmetric feature, the spillover directions among these crude oil markets have not changed. At the same time, the tremendous effects of the pandemic on crude oil system are gradually absorbed within five months.

Key words: China’s crude oil futures, pricing power, dynamic information spillover, spillover index, TVP-VAR