摘要
研究新冠疫情影响下英国布伦特原油期货与中国上海原油期货的关系,有助于理清期现货市场之间的传导及其因此产生的影响。本文选取上海原油期货上市之日至2019年12月31日的样本数据为疫情前数据、2020年1月1日至2021年4月23日的样本数据为疫情后数据,建立VAR模型并在此基础上进行格兰杰因果关系检验。研究表明:疫情后上海原油期货市场的影响力相对于疫情前扩大,体现为其对布伦特原油现货和胜利原油现货市场具有显著影响,具备价格发现功能。此外,疫情前布伦特原油期货市场对胜利原油现货市场存在单方面的显著影响,疫情后两者存在相互影响。基于此结论,本文提出以下相关政策建议:加强对原油期货价格走势的分析研判;持续推进上海原油期货市场国际化;提高能源现货市场的抗风险能力;提高原油产业链企业抗风险能力。
To study the relationship between UK Brent crude oil futures and China Shanghai crude oil futures under the impact of COVID-19,it is helpful to clarify the transmission between spot market and its influence.In this paper,sample data from the listing date of Shanghai crude oil futures to December 31,2019 were selected as pre-epidemic data,and sample data from January 1,2020 to April 23,2021 were selected as post-epidemic data.VAR model was established and Granger causality test was conducted on this basis.The research shows that the influence of Shanghai crude oil futures market has expanded after the epidemic compared with that before the epidemic,which is reflected in its significant influence on Brent crude oil spot market and Shengli crude oil spot market,which has the function of price discovery.In addition,the Brent futures market had a unilateral and significant impact on the Shengli crude oil spot market before the epidemic,while the two had a mutual impact after the epidemic.Based on this conclusion,this paper puts forward the following policy suggestions:strengthen the analysis and judgment of crude oil futures price trend;Continue to promote the internationalization of Shanghai crude oil futures market;Improving the resilience of spot energy markets;Improving the resilience of oil industry chain enterprises.
出处
《价格理论与实践》
北大核心
2021年第5期126-130,共5页
Price:Theory & Practice
