国际原油期货价格与现货价格动态关系研究——基于WTI原油实证检验

摘要

As viewed from dynamic linkages between the futures prices and spot prices and with WTI crude oil as an example, the price discovery of international crude oil futures market is quantitatively analyzed , by means of cointegration test, vector error correction model, Granger causality test, impulse response and variance decomposition etc. The results indicate that, first, there is a long-term equilibrium relation between WTI crude oil futures price and spot prices; second, the spot market of WTI crude oil partially owns the function of price discovery during the early period of the futures contract, but its function decreases to zero as time goes on; finally, the WTI crude oil futures market plays a leading role during the price discovery process.%从期货价格与现货价格的动态关系入手,借助协整检验、向量误差修正模型、格兰杰因果检验以及脉冲响应、方差分解等方法,以WTI原油为例,定量分析了国际原油期货市场的价格发现功能.结果表明,WTI原油期货价格与现货价格存在长期均衡关系.期货合约初期WTI原油现货市场具有部分价格发现功能,但随后将减弱并最终趋于消失.WTI原油期货市场在价格发现过程中起主导作用.