新冠肺炎疫情下国际原油价格驱动因素研究--基于断点最小二乘法与邹突变点检验

Research on the driving factors of international crude oil price under COVID-19--Based on least square with breakpoint and Chow breakpoint test

新冠肺炎疫情在全球范围内暴发,持续冲击世界经济,2020年4月20日,美国原油期货价格史无前例地跌至-40.32美元/桶,疫情期间国际原油价格驱动因素值得探讨。选取2020年1月13日至8月3日交易日数据,考虑结构突变,构建国际原油价格驱动因素断点最小二乘法模型。经实证,原油价格跌至负值当日确为模型的结构断点,结构断点前新冠肺炎疫情对国际原油价格上涨起严重阻碍作用,投资者预期对国际原油价格上涨也存在消极影响;结构断点后货币政策消极程度严重阻碍国际原油价格上涨;原油需求对原油期货价格的影响在结构断点前后有所不同。据此认为,疫情防控和提升货币的政策积极性是各国的首要任务,保持对投资者具有重大利好的货币政策倾向、提升信息透明度是促进原油价格提升的重要手段。

The outbreak of COVID-19 on a global scale continues to impact the world economy.On April 20,2020,the US crude oil futures price fell to USD-40.32/barrel for an unprecedented time due to the impact of the pandemic.It is worth exploring the driving factors of international crude oil price during the pandemic.The paper selects the trading date of solstice on January 13,2020 to August 3,considers the abrupt change of structure,and constructs driving factors of international crude oil price—the least square model of the breakpoint.Empirical results show that the day when crude oil price falls to the negative is indeed the structural break point of the model.Before the structural break point,COVID-19 has seriously hindered the rise of international crude oil price,and investor’s expectations also have a negative impact on the rise of international crude oil price.After the structural break point,the degree of monetary policy passivity seriously hinders the rise of international crude oil price.The effect of crude oil demand on crude oil futures price varies before and after the structural break point.Therefore,this paper believes that the prevention and control of the pandemic and the promotion of monetary policy initiatives are the top priorities of all countries in the world,and maintaining a monetary policy orientation that is highly beneficial to investors and improving information transparency are also important means to promote the increase of international crude oil prices.