中国上海燃料油定价模型研究.doc

金融类 中国上海燃料油期货定价模型研究 高 辉 （中大期货公司 研究所 浙江 杭州 310003） 摘要：本文采用协整理论及基于VAR的Grange 因果关系检验与冲击反应函数方法对中国上海期货交易所燃料油期货价格作建模分析。单位根检验显示，选取的样本序列均为I(1)。Granger因果关系检验显示：美原油期货价格，新加坡180燃料油现货价格变量为燃料油期价的Granger原因；上海燃料油期货价格是黄埔现货价格的单向的Granger原因，期货价格对现货价格具有发现作用。最终作出的长期协整方程显示：美原油期货价格，新加坡180燃料油现货价格、欧元汇率与上海燃料油现货价构成长期显著的均衡关系。美原油期货价格对沪燃料油期价的弹性为0.85；新加坡180燃料油现货价格对沪燃料油期价的弹性为0.78；欧元汇率对沪燃料油期价的弹性为1.04。从最终建立动态模型来看，模型有较好的拟合及预测精度。因此，该模型对沪燃料油期价风险控制具有较好的参考作用。 关键词：燃料油 协整检验 VAR 冲击反应 Model-Building Study for Making a Price of Fuel Oil Futures of Shanghai in China Gao hui (Zhongda Futures company Research Institute Hangzhou Zhejiang 310003 ) Abstract: In this paper, we made model-building analyze to prices of fuel oil futures of Shanghai futures Exchange through Cointegration theory and Grange Causality testing and impulse analysis which based on VAR. Unit-Root-Testing results show that Time series data, which were selected, are I(1). Grange causality testing show that futures price of crude oil of USA and spot prices of 180 fuel oil of Singapore are Grange cause of futures prices of Shanghai fuel oil ,and fuel oil futures prices of Shanghai is single directional Granger cause of spot prices of HuangPu in China. Cointegration testing showed that futures price of crude oil of USA and spot prices of 180 fuel oil of Singapore and Exchange rate of Euro (to dollar) have long-term marked equilibrium relationship with futures prices of Shanghai fuel oil. The elasticity of futures price of crude oil of USA to futures prices of Shanghai fuel oil is 0.85. The elasticity of spot prices of 180 fuel oil of Singapore to futures prices of Shanghai fuel oil is 0.78; the elasticity of Exchange rate of Euro (to dollar) to futures prices of Shanghai fuel oil is 1.04. Dynamic models have good statistical property and good fitness and forecasting premise. Therefore, the models have good consultation function to forecast and control risk of futures prices of Shanghai fuel oil. Key Words: Fuel Oil, Cointe