中国原油和成品油价格的非对称实证研究——基于2006年-2011年数据的非对称误差修正模型分析

Asymmetry between Gasoline and Crude Oil Prices in China Based on Asymmetric ECM Modeling

我国原油价格的上涨和下跌对成品油价格的传导作用存在差异。2009年5月起我国实行的新成品油定价机制(22+4%),并没有从根本上消除这种涨多跌少的局面。本文利用不对称误差修正模型,针对定价机制实施前后的原油和成品油价格进行分析。由于新成品油定价机制规定当国际市场原油连续22个工作日移动平均价格变化超过4%时,可相应调整国内成品油价格。鉴于此,采用2006年1月-2011年7月的月度数据,选取滞后期为一期(30天)的原油价格上涨和下跌波动系数进行比较。结果显示:现行的成品油定价机制虽在一定程度缓解了我国原油和成品油价格的不对称性,但原油成本上涨对成品油价格的影响仍然强烈。实证结果对改革和完善当前成品油定价机制具有重要理论意义和参考价值。

Gasoline is the petroleum product whose price is most visible and, therefore, under public scrutiny. Many claim there is an asymmetric relationship between gasoline and oil prices - specifically, gasoline price changes follow oil price changes more quickly when oil prices are rising than when they are falling. Some economists and politicians believe that asymmetry in oil and gasoline price movements is the outcome of a non-competitive gasoline market requiring that governments take policy action to address ＇unfair pricing＇. There is no consensus as to the existence, or nature, of the asymmetric relationship between gasoline and crude oil prices. In China, gasoline prices respond far more instantly to increases in crude oil price than decreases. Despite the implementation of the new oil pricing mechanism （22＋4%） in May 2009, the problem remains. To explore the effect of volatility in oil prices on the degree of asymmetry in gasoline prices,＇ asymmetric error correction modeling was applied before and after the implementation of the 22＋4% pricing mechanism. The new oil pricing mechanism states that when average crude oil price changes more than 4% in 22 consecutive days in the international crude oil market, domestic refined oil prices can be adjusted accordingly. In view of this, monthly data from January 2006 to July 2011 was examined. The results show that the new oil pricing mechanism has indeed alleviated the situation to some extent： the diesel price reaction index has dropped from 0.28 to 0.15 and the gasoline price reaction index has dropped from 0.26 to 0.21. The gap caused by the rise and fall of crude oil pricing has narrowed. At the same time, an increase in the cost of crude oil still has a significant impact on gasoline prices and confirms that retail gasoline prices respond more quickly to increases than decreases in crude oil prices. The findings provide scientific support and theoretical significance for how to reform and improve current oil pricing mechanisms. We recommend the pricing cycle be shortened to 10 days, linked crude oil types be changed, and the WTI spot price as a frame of reference be used to further improve the situation.