CAJ | 학술논문

选取1997年至2011年作为样本区间，以国际原油市场结构的周期性和突变特征作为研究对象，在筛选变量的基础上，以原油的价格、供应、需求、美元指数和中国原油净进口为内生变量，以库存和投机因素为外生变量，建立原油市场结构经验VABX模型，分析各变量对原油价格的影响。并以此为基础建立基于Bayes理论的原油价格系统MSBVAR模型。识别和分析原油价格系统在考察期内的结构性变化。研究结果表明，影响原油价格波动的首要因素为中国原油净进口，存在亚洲溢价现象且持续期为2个多季度，美元指数影响次之，之后是原油需求，原油供应的贡献率影响最小；原油价格的翘尾效应在不同状态下的滞后期均为1个季度，且效应显著。突发事件对原油价格系统均衡结构的冲击不可忽视，1997年至2011年国际原油市场只存在一个结构突变点。即美国金融危机是导致该次原油价格系统结构平衡被打破的唯一事件。
선취1997년지2011년작위양본구간，이국제원유시장결구적주기성화돌변특정작위연구대상，재사선변량적기출상，이원유적개격、공응、수구、미원지수화중국원유정진구위내생변량，이고존화투궤인소위외생변량，건립원유시장결구경험VABX모형，분석각변량대원유개격적영향。병이차위기출건립기우Bayes이론적원유개격계통MSBVAR모형。식별화분석원유개격계통재고찰기내적결구성변화。연구결과표명，영향원유개격파동적수요인소위중국원유정진구，존재아주일개현상차지속기위2개다계도，미원지수영향차지，지후시원유수구，원유공응적공헌솔영향최소；원유개격적교미효응재불동상태하적체후기균위1개계도，차효응현저。돌발사건대원유개격계통균형결구적충격불가홀시，1997년지2011년국제원유시장지존재일개결구돌변점。즉미국금융위궤시도치해차원유개격계통결구평형피타파적유일사건。
This study selects the data from 1997 to 2011 as the sample interval and takes the periodicity and mutation of the inter- national crude oil market structure as the research object. A VARX model of crude oil market structure is established to study the effect of every variable on oil price by screening variables with price, supply, demand of oil, the U.S. dollar index and Chinese net imports of crude oil as the endogenous variables and reserve, speculative factors as the exogenous variables. Based on this VARX model and the Bayes theory, we construct MSBVAR model to identify and analyze the structural changes of crude oil price system within the study period. The results show that the primary factor influencing oil price is Chinese net imports of crude oil and the duration of Asian Premium exists and is more than two quarters. The second influencing factor is the U.S. dollar index, followed by the demand of crude oil and the crude oil supply. The lag phase of carryover effects of crude oil price under different states is a quarter, and the effects are remarkable. The shock of unexpected events on the crude oil price system cannot be ig- nored. There is only one structural mutation in the international crude oil market. That is the American financial crisis, which is the sole event to break the balance of the oil price system structure during the period 1997-2011.