原油库存与期货跨期价差关系研究

Study on relationship between crude inventory and futures spread

商品期货与现货之间的价差或比价和商品库存之间的关系,一直是大宗商品价格研究的焦点。基于对沃金库存理论缺陷的分析,提出了改进的商品期货现货比价和商品库存之间的新理论,并通过原油这一大宗商品的市场数据,利用美国WTI原油期货近月和远月价格的比值与库欣交割库原油库存的当期值与前期移动平均的比值进行了实证。实证分析显示6个月期货跨期价格比值和周库存与2年库存移动平均比值之间具有较好的关联性。向量自回归模型证明了原油期货跨期价格比值的变动会影响未来库存,且存在约3个月的滞后期,这与原油生产商和炼油厂一般制定3个月的生产和采购计划是大致吻合的;而库存的变动对期货跨期价格比值的影响有限。

The relationship between inventories and basis spread or futures spread has been the research focus of commodities＇ price all the time. The paper proposes the new theory improving the relationship based on analysis on defects of Working inventory theory and takes the empirical study with the market data of crude oil. It finds good relevance between 6-month ratio of WTI futures spread and 2-year moving average of Cushing crude inventory. The empirical results of VAR model show that the fluctuation of futures spread ratio will influence future inventories with 3-month lag period, which is consistent with production and procurement plan of producers and refineries, and the change of inventories has limited effects on futures spread ratio.