国内外石油市场的信息流动与一体化

The Integration and Information Flow between International and Domestic Oil Markets

文章采用2000年5月至2005年5月原油价格的日度数据,以美国西德克萨斯(WTI)和中国大庆为代表,研究了国内外石油市场的一体化问题。协整检验结果表明两个市场存在较强的一体化趋势。进一步选取均值和方差作为信息的代理变量,运用均值和方差的Granger因果检验考察了两个市场间的信息流动方向,结论表明信息都是从WTI流向大庆,意味着两个市场尚处于部分一体化的状态。较强的一体化趋势说明中国原油定价机制改革取得了一定的成功,但部分一体化意味着中国还只能被动接受国际油价的变动,却不能影响国际油价的变动。政策建议是应建立具有一定交易规模的石油期货市场,以提高中国在国际石油市场的影响力。

Choosing WTI oil market of United States and Daqing of China as representatives, this paper analyzes the integration between international market and domestic one, the daily data of crude oil ranging from May 2000 to May 2005. Firstly, we adopt cointergration test to examine the integration trend among two markets, concluding that the cointergration relationship implies the high integration trend among two oil markets. Secondly, we choose mean and variance as the proxy variable of information, employing granger causality in mean and in variance to examine the direction of information flow among two oil markets. The information flow goes unidirectionally from WTI to Daqing, signifying that China oil market has partial integration with international oil market. The high integration trend has implications that the reform of oil pricing mechanism has achieved success to some extent. But partial integration of two markets means that China doesn＇t have much power to influence the international oil price but accept the international oil price passively. We suggest that large - scale oil futures market should be launched to enhance China-influence on international market.