原油期货与现货价格动态关系检验

A Test of the Dynamic Relationship between Crude Oil Futures and Spot Price

现行原油定价机制是通过期货价格决定现货价格的"间接定价方式",期货市场发挥了价格发现功能。借助西德克萨斯中质原油期货价格和现货价格协整关系检验和信息份额模型,研究期货与现货价格之间的动态关系。结果显示:原油期货与现货价格之间存在长期均衡关系,期货与现货价格相互作用、相互影响、互为因果,并且期货市场在价格发现功能中处于主导地位。建议国内资源性产品税费与价格改革应注意防范由此带来的金融风险。

The current oil pricing mechanism is ＂indirect pricing＂that futures price decides spot price. Futures price plays price discovery function. This paper uses cointegration test of West Texas intermediate crude oil futures price and spot price to study the dynamic relationship between them. The result shows that there is a long-term equilibrium relationship between crude oil futures price and spot prices interaction,mutual influence,and futures market playing a dominant role in price discovery. By historical and theoretical studies of futures market,this paper suggests to strengthen the prevention of financial risks of futures market in the tax and price reform of domestic resource product.