投机基金持仓头寸与国际油价动荡:1994～2009

Speculative Fund Positions and International Petroleum Price Volatility:1994-2009

总规模超过3万亿美元的石油投机基金的偏爱做多行为直接导致了国际石油价格在2002至2009年间急剧动荡。对代表投机基金的非商业持仓头寸与国际油价之间的协整关系及格兰杰因果检验结果显示,石油投机基金的天量投机行为是国际油价动荡的主要原因。因此,要实现石油价格稳定,在改变美元为主导的国际货币体系的同时,还要测算石油投资基金的最优投机度,一旦投机行为触及"最优投机度",交易系统应启动"熔断制度",限制投机行为。

The total size of more than 3 trillion U.S. dollars of petroleum speculative funds in preference to do more action directly led to the turbulence of international petroleum prices from 2002 to 2009. The result of cointegration relationship and Granger causality test between non-commercial on behalf of the speculative funds and international petroleum prices shows that a large amount of opportunistic practice of petroleum speculative funds is the major cause of international petroleum price volatility. Therefore, to achieve stability in petroleum prices, we should change the dollar-dominated international monetary system, must also measure the optimal degree of speculation of petroleum speculative funds. Once the speculation actions touch ＂the optimal degree of speculation＂, trading system should immediately start ＂Circuit Breaker＂ to restraint speculation action.