中国原油价格争取成为国际基准指标的进程研判

Study and Judgethe Process of China’s Oil Price Striving to Become the International Benchmark Index

针对研判中国原油期货价格争取成为国际基准油价指标进程中遇到的理论支撑不足问题,基于多变量时间序列因果分析理论,提出国际基准油价指标的价格发现机制、价格影响机制与价格公认机制等概念。计量经济分析结果显示:上海国际能源交易中心(INE)油价在不同周期内均对北美原油市场的西德克萨斯(WTI)油价、欧洲原油市场的布伦特油价、东亚原油市场的东京商品交易所(TCE)油价等产生了显著的单方向因果影响,具备了影响机制;同时受到其他油价的单方向因果作用微小,正在逐步形成价格发现机制;在持仓量、媒体报道、学术征引等方面目前尚未获得价格公认机制。

Faced with insufficient theoretical support to study and judge the process of China’s crude oil futures price to become an international benchmark oil price index, based on the theory of multivariate time series causality analysis, the concepts of price discovery mechanism, price influence mechanism and price recognition mechanism of international benchmark oil price index are proposed. The results of econometric analysis show that the Shanghai International Energy Exchange(INE) oil price has a significant one-way causal effect on the West Texas Intermediate(WTI) oil price, the Brent oil price of the European crude oil market and the Tokyo Commodity Exchange(TCE) oil price of the East Asian crude oil market during different periods and thus has an impact mechanism. At the same time, the one-way causal effect of other oil prices is small, and the price discovery mechanism is gradually forming;the price recognition mechanism has not been obtained in terms of position, media report, academic citation, etc.