国际能源价格的持续性结构突变研究

Detecting Multiple Shifts in Persistence in International Energy Prices

作为生产投入品,不可再生能源对于各国的经济发展具有重要意义。基于多次持续性结构突变检验方法,发现石油与天然气价格均存在两次持续性结构突变,而煤炭价格为一个持续的单位根过程。石油价格在两次世界石油危机后处于非平稳状态,1986年初进入长期平稳区间,并在亚洲金融危机后再一次回到非平稳轨道;天然气价格最初具有较强的平稳性,在2000年初进入非平稳区间,并于2008年末回归平稳过程。此实证检验结果对能源价格平稳性的区间划分具有重要的理论与实证意义,且具有丰富的能源政策意义。

As important production inputs,nonrenewable energies have crucial impacts on the economic development.Based on the multiple continuous structural abrupt change test method,it is found that oil and natural gas prices have two continuous structural abrupt changes,while coal price is a continuous unit root process.After two world oil crises,the oil price was in a non-stable state,entered a long-term stable range in early 1986,and returned to a non-stable track again after the Asian financial crisis.At the beginning,natural gas price had a strong stability,entered a non-stationary range at the beginning of 2000,and returned to a stable process at the end of 2008.The results of this empirical test have important theoretical and empirical significance for the interval division of energy price stability,and have abundant energy policy significance.