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国际天然气价格驱动因素的结构性变化
引用本文:姬强,刘明磊,范英.国际天然气价格驱动因素的结构性变化[J].数理统计与管理,2016(6):951-960.
作者姓名:姬强  刘明磊  范英
作者单位:1. 中国科学院科技政策与管理科学研究所,能源与环境政策研究中心,北京100190;2. 上海国际能源交易中心,上海,200122;3. 北京航空航天大学经济管理学院,北京,100191
基金项目:国家自然科学基金支持(91546109
摘    要:页岩气开采技术的大规模应用增加了非常规天然气供应潜力,对国际天然气市场供需格局产生了较大冲击。本文利用带结构断点的协整检验、时变系数模型和条件误差修正模型等方法系统地研究了天然气价格与原油价格的动态关系,以及库存、天气和投机等短期因素对气价变化的影响。结果显示,国际天然气价格与原油价格间的协整关系在2005年飓风季与2008年金融危机期间发生了结构性变化,而且原油价格对天然气价格的影响强度呈现倒U型结构。此外,极端天气、突发性事件及投机等短期因素对气价存在显著的短期影响。不过,随着天然气供应出现过剩局面,天然气价格对这些短期因素的敏感性已大幅降低。

关 键 词:页岩气革命  带结构断点的协整检验  时变系数模型  驱动因素

Structural Changes in the Driving Factors of International Natural Gas Price
Abstract:The supply-demand situations of international natural gas market have been largely shocked by the large-scale shale gas production which can increase the potential supply of non-conventional gas.This paper apply cointegration test with regime shift,time-varying parameter model and conditional error correction model to systematically study the dynamic relationship between natural gas and crude oil prices,as well as the effects of short-term factors such as storage,weather and speculation ctc on gas prices.The results show that the cointegration relation between gas and oil prices has undergone two structural shifts during the hurricane season of 2005 and the financial crisis of 2008,respectively.Moreover,the influential power of oil price on gas price has presented an inverse U shape.Besides,there are significant effects of short-term factors (extreme weather,disruption and speculation etc) on gas prices.But the gas price trend has become more robust to these short-term factors during the recent excess-supply period.
Keywords:shale gas revolution  cointegration test with regime shift  time-varying parameter model  driving factors
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