布迪价差与原油跨区套利关系研究

Study on the relationship between B/D swap and cross-regional arbitrage

布伦特原油和迪拜原油是原油实货交易的两个重要计价基础,场外的布迪价差合约能够将Brent和Dubai两个计价体系联系起来。考虑到西非和中东原油的特性和计价特点,通过研究布迪价差与西非和中东原油跨区套利交易之间的关系,发现西非和中东原油现货价差与布迪价差存在相互影响的关系,且这种影响有几天的滞后性。同时,利用自回归分布滞后模型,较好地将布迪价差与西非和中东原油现货价差进行了拟合,模拟出跨区套利交易对布迪价差影响的可能路径。

Brent and Dubai are two important benchmark assessment of the value of physical.Brent 1st line vs.Dubai 1st line future,an OTC contact called B/D swap,can transfer the pricing of physical from Brent to Dubai.Considering the grades characteristics and benchmark features of crude oil from the West Africa and the Middle East,this paper finds the mutual influence between the West Africa and the Middle East grades spot price differential and B/D swap and its lag effects by studying the relationship between B/D swap and cross-regional arbitrage trading.Meanwhile,it uses autoregressive distributed lag model(which can be abbreviated to ADL)to fit B/D swap and the spot price differential between the West Africa and the Middle East grades,and results in the possible path by which the cross-regional arbitrage trading affects B/D swap.