国内外燃料油价格关联度及动态滚动预测的模型研究——基于日数据的实证分析

Study on Correlation of Domestic and Foreign Fuel Oil Prices and Dynamic Trend Forecast Modeling——Empirical Analysis Based on Daily Data

采用协整理论、基于向量自回归(VAR)的Granger因果关系检验以及冲击响应函数方法,从多变量的角度对国内外燃料油价格关联性及动态走势预测做建模研究,以期为规避交易风险提供理论支持。基于日数据所作的Granger因果关系检验结果显示:上海期货交易所燃料油期货价格受WTI原油期货价格、新加坡燃料油现货价格、美元汇率影响较大;而黄埔现货价格对其影响较小;上海期货交易所燃料油期货价格对现货价格已经具有价格发现作用。最终做出的长期协整方程显示:WTI期货价格、新加坡180燃料油现货价格、美元对欧元汇率与上海燃料油现货价构成长期显著的均衡关系。三者对上海燃料油期价的弹性分别为0.74、0.59和0.84。从最终建立动态模型来看,模型有较好的拟合及预测精度,可以较准确地预测上海燃料油期货价格日及周的波动及趋势,为国内燃料油期货交易尤其是为现货企业套期保值提供参考,从而规避燃料油期货价格巨幅波动带来的生产和交易风险。

Here we analyze the correlation of domestic and foreign fuel oilprices and dynamic trend forecast modeling from a multi-vectorviewpoint, by adopting the 'Cointegration Theory' and 'GrangerCausality Test and Impulse Response Function'-based on VAR-to provide theoretical support for avoidance of trading risks. The'Granger Causality Test'-based on the daily data-shows that thefuture fuel oil price of Shanghai Futures Exchange (SHFE) issignificantly impacted by the following: WTI future crude oilprices; Singapore future fuel oil prices and exchange rate ofdollars; and, to a less extent, by Huangpu spot prices. The pricediscovery function of future fuel oil prices of Shanghai FuturesExchange has been exerted on the spot price. The final, long-term'Cointegration Equation' shows that WTI future prices, Singapore180cst fuel oil spot prices, and the exchange rate of US dollars toEuro all have equilibrium relationships with Shanghai fuel oil spotprices. The elastic coefficients of these three to Shanghai futurefuel oil prices are respectively: 0.74, 0.59 and 0.84. According tothe final dynamic model, featuring desirable forecast accuracy andprecision, it is able to accurately forecast the daily and weeklyfluctuation and trends of Shanghai future fuel oil prices, thusproviding a reference for future domestic fuel oil trading. Especiallyfor equivocation operations by the spot enterprises to avoid theHproduction and trading risks which result from the vast fluctuationin the future fuel oil prices.