中国原油期货与聚氯乙烯期货价格关联性研究

Research into the price relationship between oil futures and polyvinyl chloride futures

2018年3月26日,中国原油期货在上海期货交易所上市交易,上市8个月后,便成为世界第三大原油期货品种,仅次于纽约商品交易所的WTI原油期货和伦敦洲际交易所Brent原油期货。其上市交易完善了中国石油产业期货市场体系,对于人民币国际化有着重要的促进作用。上海原油期货的成功上市,对于以原油为原材料的石油化工品期货市场将产生一定的影响。本文以三大合成材料之一的,聚氯乙烯(PVC)期货作为研究对象。研究上海原油期货上市后对其价格的影响。PVC以原油为原材料的生产产业链如下:原油—石脑油—乙烯—氯乙烯—聚氯乙烯。因此,二者现货、期货价格之间存在着一定的相关关系。研究原油期货与聚氯乙烯期货价格的关联性,对认识两者价格间的内在联系及规律;对石油石化企业更好利用其进行套期保值、规避价格波动风险,都具有重要意义。本文选取2018年3月26日至2019年9月25日中国原油期货与聚氯乙烯期货价格作为连续数据,采用平滑转换回归(STR)模型对原油期货与聚氯乙烯期货价格关联性进行了研究。研究得出,原油期货与聚氯乙烯期货价格间不仅存在线性关系,同时存在非线性关系。基于产业链视角,原油期货与聚氯乙烯期货未能达到长期均衡状态。建议中国原油期货、聚氯乙烯期货市场应该加快发展和完善。

On March 26,2018,China crude oil futures were listed on the Shanghai Futures Exchange.Eight months after listing,it became the third largest crude oil futures market in the world.WTI crude oil futures on the New York Mercantile Exchange is the largest crude oil futures market in the world,and Brent crude oil futures on the London Intercontinental Exchange is the second largest.The Shanghai listing improves the futures market system of China’s oil industry,and it plays an important role in promoting the internationalization of the RMB.The successful listing of Shanghai crude oil futures will have a significant impact on the petrochemical futures market with crude oil as raw material.In this paper,the authors focus on polyvinyl chloride(PVC),which is the one of the three major synthetic materials made from oil.The paper studied the polyvinyl chloride(PVC)futures price,and how the Shanghai crude oil futures after listing affect the price of PVC futures.The production chain of PVC with crude oil as raw material is as follows:crude oil,naphtha,ethylene,vinyl chloride,polyvinyl chloride.The fluctuation of crude oil price is bound to affect the spot price of PVC with crude oil as its raw material.There is a strong correlation between the crude oil price and crude oil futures prices.Similarly,there is a strong correlation between the PVC spot price and PVC futures prices.This paper studies the price relationship between crude oil spot,crude oil futures,PVC spot and PVC futures prices.This paper hopes to clarify the correlation between crude oil futures prices and PVC futures prices.It is of great significance for petroleum and petrochemical enterprises to study the correlation between crude oil futures and PVC futures prices,so they can make better use of them to hedge and avoid the risk of price fluctuation.This paper selects the prices of China’s crude oil futures and PVC futures from March 26,2018 to September 25,2019 as continuous data,and uses the smooth transition regression(STR)model to study the price correlation between crude oil futures and PVC futures.The results show that there is not only a linear relationship between crude oil futures and PVC futures prices,but also a nonlinear relationship.Based on the perspective of an industrial chain,crude oil futures and PVC futures failed to achieve long-term equilibrium.It is suggested that China’s crude oil futures market and PVC futures market should speed up its development and improvement.