基于ACF BP滤波的国际油价长周期测定(1861-2016年)

Determination of oil price super cycle via ACF BP filters: from 1861 to 2016

为判断新一轮油价长周期拐点是否已经出现,应用ACF BP滤波方法对1861-2016年国际原油价格进行周期成分测定。结果显示,国际原油价格存在三个明显的长周期:第一个从1861年开始到1885年结束;第二个从1967年开始到1996年结束;第三个从1997年开始,2010年后已经进入下行通道。1886-1966年国际原油价格波动较小,因此认为是不确定周期波动时期。油价长周期除受经济周期的影响外,还受到固定资产投资周期的影响。在已经结束的两个长周期中,下行周期最短为15年。如果油价周期波动特性不发生明显偏离,那么本轮油价的下行周期将持续至2025年左右。当前全球经济增长乏力,可替代能源迅猛发展,非常规油气开采技术不断进步,都是阻碍油价进入新一轮上行周期不利因素。在油价可能持续低迷的情景下,石油企业除加强对油价的监测预测和采取金融工具对冲外,还应针对油价的不同周期阶段采取不同的经营策略。

In order to investigate whether the new round of super cycle turning point of oil prices has appeared, an ACF BP filter method is applied to determine the periodic component of international crude oil price from 1861 to 2016. The results show that there are 3 obvious super cycles for international crude oil prices as follows： the first one began in 1861 and ended in 1885; the second began in 1967 and ended in 1996; the third, since 1997, has entered a downward path after 2010. In 1886-1966, international crude oil prices fluctuated less, so it is considered as an uncertain period. The super cycle of oil price is affected by the fixed asset investment cycle besides the economic cycle. In the last two long periods that have ended, the downward cycle is the shortest of 15 years. If the volatility of the oil price cycle does not deviate significantly, the downward cycle of oil prices will continue to 2025. The current sluggish global economic growth, the rapid development of alternative energy sources, and the continuous progress of unconventional oil and gas extraction technologies have been the hindrance to the new round of upward cycle of oil prices. In addition to strengthening monitoring and forecasting of oil prices and adopting financial instrument hedging, oil companies should take different business strategies for different periods of oil prices.