摘要
近年来对美国西德克萨斯中质(WTI)原油现货价格结构进行建模受到了越来越多的关注.然而,现有大多数的文献集中在经典的计量经济学方法和点值反事实分析上,这可能会受到信息损失的影响.本文提出了一种新的区间反事实分析方法来研究2011年发生的油价波动事件对WTI原油现货价格的影响.利用区间模型可以同时估计出在没有事件影响的情况下WTI价格的水平和波动性.这些反事实估计是基于WTI和其它10种国际原油现货市场之间的横截面相关性得到的.研究结果表明,由于页岩油繁荣引起的原油供应过剩使得WTI价格的水平和波动性都出现了降低,而且这种影响直到2014年底才消失.该结果可以为政府,行业从业人员和个人投资者提供重要参考.
Modelling the US West Texas Intermediate(WTI) crude oil spot price structure has received an increasing attention in recent years. However, most of the existing literatures focus on classical econometric methods and point-valued counterfactual analysis, which may suffer from informational loss. This paper proposes a novel interval-based counterfactual analysis to explore the impact of crude oil fluctuation events that appeared on WTI crude oil spot prices in 2011. The interval-based models can be used to simultaneously estimate hypothetical values of level and volatility of WTI price that are not affected by the event. These counterfactual estimations are based on the cross-sectional correlations between WTI and other 10 international crude oil spot markets. Our findings reveal that both the level and volatility of WTI price were lowered by the oversupply of crude oil production caused by shale oil boom, and this effect did not disappear until the end of 2014. The results can provide an important reference for the government, industry practitioners and individual investors.
作者
杨博宇
卢全莹
孙玉莹
汪寿阳
张珣
YANG Boyu;LU Quanying;SUN Yuying;WANG Shouyang;ZHANG Xun(Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China;Center for Forecasting Science,Chinese Academy of Sciences,Beijing 100190,China;School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190,China;School of Economics and Management,Beijing University of Technology,Beijing 100124,China)
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2023年第1期191-205,共15页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(72073126,72103185,71988101)
第六届2020–2022年度中国科协青年人才托举工程(2020QNRC001)
国家能源集团2021年度十大软课题《能源系统模型构建与中国能源展望研究》(GJNY-21-141)。
关键词
定量评估
反事实分析
面板数据
页岩油
区间分析
quantitative evaluation
counterfactual analysis
panel data
shale oil
interval analysis
