国际原油期货市场无偏预期的分位数协整检验

The Quantile Cointegration Test on Unbiased Expectations of the International Crude Oil Futures Market

期货市场凭借其特有的价格发现和套期保值功能在国民经济运行中扮演着不可替代的角色。而原油作为一种重要的能源和化工原料,无论是在经济发展方面还是国家安全方面都具有举足轻重的地位。基于分位数协整检验方法,使用1986年1月到2013年5月的WTI原油现货价格与1月、2月、3月和4月期的期货价格,可以检验国际原油期货市场上的无偏预期假说是否成立。实证研究结果显示,在1月、2月、3月和4月期货合约上,期货价格与现货价格在所有分位点上均存在协整关系,但是随着期货价格的上升,期货价格对现货价格的引导作用在减弱。基于分位数wald检验的检验结果表明,1月期货合约在0. 5以下的分位数上满足无偏预期假说,而2月、3月和4月期货合约只有在0. 3以下的分位数上才满足无偏预期假说,说明只有当期货价格较低时,原油期货市场才满足无偏预期假说,期货市场才是有效的。

The level of economic development in all regions has an obvious positive effect on export trade,and the industrial structure shows evident regional differences. The upgrading of the industrial structure in the eastern region can obviously promote the export trade,but it has a significant impediment to the western region. Using quantile cointegration test and based on spot price and 1-month,2-month,3-month and 4-month future prices of WTI crude oil price,this paper tests the existence of unbiased expectations hypothesis in crude oil futures market. The empirical study shows that there exists cointegration between spot price and 1-month,2-month,3-month and 4-month future prices,but the leading function of future price to spot price is weaker with the rise of spot price. The quantile Wald test shows that 1-month future price meets unbiased expectations hypothesis under 0. 5 quantile,while 2-month,3-month and 4-month future prices meet unbiased expectations hypothesis only under 0. 3 quantile,which means that only when the future prices are low,the crude future market is efficient and meets unbiased expectations hypothesis.