地缘政治事件、金融危机与全球原油价格体系——基于内生结构性突变的实证分析

Geopolitics,Financial Crisis and Global Crude Oil Price System——Empirical Study Based on Endogenous Structural Breaks

本文通过在传统的时间序列模型中引入结构性突变,检测了结构性突变的存在性及其对全球原油价格及价格依存关系的影响。研究发现,地缘政治事件和金融危机是造成全球原油价格关系产生结构性突变的主要因素,但不同的事件产生的效果不同。例如,西德克萨斯原油在2011年的库存积压事件改变了长期价格关系的水平、趋势和状态,而1997年亚洲金融危机仅仅导致区域内原油价格关系出现平移。2008年金融危机是影响最为深远的结构性突变事件。它打破了原油价格关系的稳态,使得Wlazlowski et al.(2011)在危机前得出的关于俄罗斯乌拉尔原油可作为基准原油的结论不再成立。

We detect structural breaks in crude oil price series and their dependency relationship by allowing structural breaks in traditional time series tests.We found geopolitical events and financial crisis are main drivers of structural breaks.However,different events have different impacts.For example,the dislocation of WTI in 2011 changes the level,trend and regime of long term price relationships,but Asian financial crisis in 1997 only drift the level of local price relationship.Financial crisis in 2008 is the most profound structural break.It changes the stability of price relationships,and make the conclusion of Wlazlowski et al.(2011)that Russian Urals could serve as a benchmark invalid in the long sample period.