库存对石油期货市场联动关系有影响吗?--基于随机Copula模型的分析

Does Storage Affect the Co-movement of Oil Futures Markets?An Empirical Analysis Based on Stochastic Copula Models

作为全球石油价格基准的WTI(West Texas Intermediate)和Brent(Brent oil)一直保持较为紧密的联动关系,但是2010年以后两个市场的价格走势发生显著分化,一些研究认为这种现象和WTI交割地库欣地区石油库存(Cushing storage capacity)情况相关。本文以2007—2016年WTI、Brent期货合约交易数据和库欣地区库存数据作为样本,构建含外生变量的随机Copula模型分析库存对市场联动关系的影响情况,采用有效重要性抽样最大似然法(EIS-ML)对参数进行估计,并对两者联动关系的时变特征进行描述。研究发现2010年以后石油库存对期货市场间联动关系的影响显著,且库存对市场间上下尾相关性的影响具有不对称性。联动关系具有明显的时变特征,金融危机期间联动性变化幅度较大但恢复较为迅速,2010年以后联动关系有明显减弱且持续性较强。研究表明增加石油库存可以抑制市场间溢出效应,建议我国应该加力建设石油储备体系。由于库存的不断升高会导致WTI和Brent的割裂程度进一步加深,与仍为全球性石油贸易标杆的Brent市场相比,WTI更多体现出美国本土石油市场供求情况。现有的分析模式已经不适合应用于石油跨市场套利等操作,建议投资者在构建和交易头寸时应充分考虑库存对市场联动关系的影响,为防范极端事件发生应增加持有头寸的多样性。

As the benchmarks of global oil price,WTI and Brent had strong co-movement.But after 2010,the price trends of the two markets diverged significantly.Some studies believe that this phenomenon is related to the oil storage capacity in Cushing,where WTI is delivered.Taking 20072016 WTI,Brent futures contract trading data and Cushing storage data as samples,a stochastic copula model with exogenous variables is applied to analyze the impact of storage on co-movement and use the maximum likelihood method based on efficient importance sampling(EIS-ML)to estimate the parameters.This paper also investigates the dynamic co-movement between WTI and Brent.The research shows that the change of oil storage affects the co-movement after 2010,and the influence of storage on the dependence between the upper and lower tail of the market is asymmetric.The co-movement has obvious time-varying characteristics:during the financial crisis,the co-movement decreased significantly,and the volatility of market co-movement increased after the shale oil revolution.The result implies that increasing oil storage can restrain spillover effect between markets.It is suggested that China should strengthen the construction of oil reserve system.The increasing storage will further deepen the split between WTI and Brent.Compared with Brent market,which is still the benchmark of global oil trade,WTI more reflects the supply and demand of domestic oil market in the United States.The existing analysis model is no longer suitable for oil cross market arbitrage and other operations.It is suggested that investors should fully consider the impact of storage on co-movement and diversity of positions should be increased.