“黑天鹅”和“灰犀牛”事件对原油市场的冲击效应测算:GSI-BN研究框架

Estimating the Shock Effect of “Black Swan” and “Gray Rhino” Events on the Crude Oil Market:The GSI-BN Research Framework

波谲云诡的国际形势及多变的全球市场环境,伴随着一系列的“黑天鹅”、“灰犀牛”突发事件.重大突发事件的冲击效应测算及价格拐点预测一直是学术界特别关心的热点和难点问题之一.本文提出了一个新的研究框架GSI-BN来分析重大突发事件对原油市场的冲击效应并预测不同事件发生时油价的走势.首先,基于谷歌搜索指数(Google Search Index,GSI)构建突发事件网络舆情关注度指标,确定不同种类的突发事件的时间窗.其次,引入贝叶斯网络(Bayesian Network,BN),将突发事件简化到拓扑网络图上,细分突发事件并挖掘事件及其背后的条件概率,分析突发事件影响机制并预测其发生概率;最后,基于情景预判分析预测不同情景下突发事件所导致的油价走势.实证结果表明:当供给和需求的月均增速都较高时,供需仍处于均衡状态,油价在低价格区间的概率最大;当供给冲击较大,需求处于正常水平增速时,油价处于中低价格区间的概率最大;需求侧方面,当金融危机发生时,原油消费量的次月增速绝对值在中速增长区间的概率最大;供给侧方面,两种或三种突发事件同时发生都是小概率事件.此外,随着OPEC致力于减产,全球石油需求走高.飓风对价格的影响相较于往年逐渐变小.金融危机对原油市场的影响是全面的,只有部分影响会通过需求冲击传导到价格.战争和OPEC会议都是短暂的供给冲击,更多的是反映了市场的预期,传导到价格时,不会产生较大的价差.本文为研究突发事件对原油市场的冲击效应及油价拐点提供了一个新的视角和方法.

The changing international situation and global market environment are accompanied by a series of "Black Swan" and Gray Rhino" events.Estimating the shock effect of significant emergencies and predicting price change points have always been among the hot and challenging issues the academic circle faces.This paper developed the GSI-BN research framework to analyze the shock effect of significant emergencies on the oil market and predict the oil price trend when different events occur.This paper explores the impact of emergencies and forecasts the crude oil price by developing the GSI-BN research framework.First,we construct the network public opinion attention index of emergencies and determine the time windows of different emergencies based on the Google Search Index(GSI).Secondly,the impact mechanism of emergencies is simplified to the topological network diagram based on the Bayesian network(BN).The emergencies are subdivided and the conditional probability behind them is mined to predict the occurrence probability of the emergencies.Finally,we analyze and forecast the price caused by emergencies in different scenarios.The results show that when the monthly average growth rates of supply and demand are high,supply and demand are still in a state of balance,and the price will not rise or fall sharply.Therefore,the probability of low price is the largest.When the supply shock is significant and the demand is growing at a normal level,the probability of a medium-low price is the largest.On the demand side,when the financial crisis occurs,the probability of absolute growth of crude oil consumption in the next month was highest in the medium growth range;On the supply side,the simultaneous occurrence of two or three emergencies is a small probability event.In addition,the global oil demand will rise as OPEC is committed to reducing production.Therefore,the impact of hurricanes on prices is smaller than in previous years.The effect of the financial crisis on the crude oil market is comprehensive,and the demand shock caused by the financial crisis is only one of the factors.Both the war and the OPEC meeting were short-lived supply shocks and primarily reflected market expectations,and they may not cause a supply side shock.Therefore,there will not be a significant price difference when the impact is transmitted to the oil price.This paper provides a new perspective and method for studying the shock effect of emergencies on the crude oil market and the change point of oil price.