题名

Nonlinear Oil Price Dynamics and the Impact of Heterogeneous Agents

并列篇名

異質交易行為與原油價格之非線性動態分析

DOI

10.3966/054696002015060097003

作者

高崇瑋(Chung-Wei Kao)；柯大衛(David Kleykamp)；萬哲鈺(Jer-Yuh Wan)

关键词

異質交易者模型 ； 非線性 ； 西德州中級原油價格 ； 圖形分析者與基本分析者 ； Heterogeneous Agent Models ； Nonlinear Modeling ； WTI Oil Price ； Chartist and Fundamentalist

期刊名称

應用經濟論叢

卷期/出版年月

97期（2015 / 06 / 01）

页次

85 - 133

内容语文

英文
中文摘要

本文以非線性異質交易者模型分析美國原油價格在2000年1月至2012年3月的起伏變化，希望瞭解當原油市場「金融化」後，影響油價走勢的因素是否有所改變。研究顯示，交易者行為具非線性特性且存在結構變化。分界點位於2005年中，時間接近文獻記載國際投資人大量進入原油期貨交易市場的時點。在分界點之前，油價走勢顯現「高報酬、低風險」特性，但分界點後轉變成「低報酬、高風險」特性。交易者策略在分界點前後出現明顯差異。在「高報酬、低風險」時期，油價由基本分析者的行為主導，並對價格安定貢獻顯著。而來自金融面的影響，包括美元漲跌、股價變化、黃金價格變化等因素並不顯著。在「低報酬、高風險」時期，基本分析者因缺乏信心退出市場交易，油價走勢由技術分析者的追漲殺跌策略主導，並且也受到美元、股價、黃金等價格變化的正面影響。此結果隱含當原油市場湧進大批國際投資人後，油價變化已不再完全由基本面主導，市場投機行為升高，價格偏離程度擴大。
英文摘要

This study uses a nonlinear agent-based model to examine the impact of speculative behaviors on WTI oil prices since 2000. The purpose is to find the consequences of ＂financialization＂ of the oil market, especially after oil prices exhibited roller-coaster dynamics in recent years. The major conclusions are: (1) A structural break exists during the sample period from 2000/01/04 to 2012/03/27 and oil dynamics can be divided into two distinct periods constituting quite different investment environments. (2) The first period is characterized as a ＂high return, low risk＂ period, while the second is a ＂low return, high risk＂ state. The breakpoint is supported by existing literature which claims that huge flows of index-funds have change the oil market generating increasingly large trading volumes. (3) In the first period, oil price is basically driven by agent behavior. Fundamentalists play a crucial role in market stabilization. Price follows closely to its long-run equilibrium level. (4) In the second period, financial market conditions appear to explain oil price fluctuations. Fundamentalists lose confidence and stop trading when price deviations increase. Chartists' chase-and-sell strategies cause a wider range of surge and slump. Evidence shows that ＂financialization＂ has generated greater speculation in oil and larger departures from fundamental pricing.
主题分类 基礎與應用科學 > 永續發展研究
生物農學 > 農業
生物農學 > 森林
生物農學 > 畜牧
生物農學 > 漁業
社會科學 > 經濟學
社會科學 > 財金及會計學
参考文献
  1. Akram, Q. F.(2009).Commodity Prices, Interest Rates and the Dollar.Energy Economics,31,838-851.
  2. Al Janabi, M. A. M.,Hatemi-J, A.,Irandoust, M.(2010).An Empirical Investigation of the Informational Efficiency of the GCC Equity Markets: Evidence from Bootstrap Simulation.International Review of Financial Analysis,19,47-54.
  3. Apergis, N.,Miller, S. M.(2009).Do Structural Oil Market Shocks Affect Stock Prices?.Energy Economics,31,569-575.
  4. Arezki, R.,Loungani, P.,van der Ploeg, R.,Venables, A. J.(2014).Understanding International Commodity Price Fluctuations.Journal of International Money and Finance,42,1-8.
  5. Arouri, M. E. H.,Lahiani, A.,Nguyen, D. K.(2011).Return and Volatility Transmission between World Oil Prices and Stock Markets of the GCC Countries.Economic Modelling,28,1815-1825.
  6. Arouri, M. E. H.,Rault, C.(2012).Oil Prices and Stock Markets in GCC Countries: Empirical Evidence from Panel Analysis.International Journal of Finance and Economics,17,242-253.
  7. Artis, M.,Okubo, T.(2009).Globalization and Business Cycle Transmission.North American Journal of Economics and Finance,20,91-99.
  8. Atkins, A. B.,Dyl, E. A.(1990).Price Reversals, Bid-ask Spreads, and Market Efficiency.Journal of Financial and Quantitative Analysis,25,535-547.
  9. Bai, J.,Perron, P.(1998).Estimating and Testing Linear Models with Multiple Structural Changes.Econometrica,66,47-78.
  10. Bai, J.,Perron, P.(2003).Computation and Analysis of Multiple Structural Change Models.Journal of Applied Econometrics,18,1-22.
  11. Beckmann, J.,Czudaj, R.(2013).Oil and Gold Price Dynamics in a Multivariate Cointegration Framework.International Economics and Economic Policy,10,453-468.
  12. Bhar, R.,Malliaris, A. G.(2011).Oil Prices and the Impact of the Financial Crisis of 2007-2009.Energy Economics,33,1049-1054.
  13. Bierens, H. J.(1997).Testing the Unit Root with Drift Hypothesis against Nonlinear Trend Stationarity, with an Application to the US Price Level and Interest Rate.Journal of Econometrics,81,29-64.
  14. Bollerslev, T.,Wooldridge, J. M.(1992).Quasi-maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances.Econometric Reviews,11,143-172.
  15. Büyükşahin, B.,Robe, M. A.(2014).Speculators, Commodities, and Cross-market Linkages.Journal of International Money and Finance,42,38-70.
  16. Cifarelli, G.,Paladino, G.(2010).Oil Price Dynamics and Speculation: A Multivariate Financial Approach.Energy Economics,32,363-372.
  17. Coleman, L.(2012).Explaining Crude Oil Prices Using Fundamental Measures.Energy Policy,40,318-324.
  18. Coudert, V.,Mignon, V.,Penot, A.(2008).Oil Price and the Dollar.Energy Studies Review,15,45-58.
  19. Day, R. H.,Huang, W. H.(1990).Bulls, Bears and Market Sheep.Journal of Economic Behavior and Organization,14,299-329.
  20. De Bondt, W. F. M.,Thaler, R.(1985).Does the Stock Market Overreact?.Journal of Finance,40,793-805.
  21. Dorsman, A.(ed.),Simpson, J. L.(ed.),Westerman, W.(ed.)(2013).Energy Economics and Financial Markets.Heidelberg:Springer.
  22. Ellen, S.,Zwinkels, R. C. J.(2010).Oil Price Dynamics: A Behavioral Financial Approach with Heterogeneous Agents.Energy Economics,32,1427-1434.
  23. Fan, Y.,Xu, J. H.(2011).What Has Driven Oil Prices Since 2000? A Structural Change Perspective.Energy Economics,33,1082-1094.
  24. Ghate, C.,Pandey, R.,Patnaik, I.(2013).Has India Emerged? Business Cycle Stylized Facts from a Transitioning Economy.Structural Change and Economic Dynamics,24,157-172.
  25. Granger, C. W. J.,Teräsvirta, T.(1993).Modeling Nonlinear Economic Relationships.Oxford:Oxford University Press.
  26. Gujarati, D. N.,Porter, D. C.(2009).Basic Econometrics.Singapore:McGraw-Hill.
  27. Hamilton, J. D.(2009).NBER Working Paper, No. 15002NBER Working Paper, No. 15002,未出版
  28. Hamilton, J. D.,Wu, J. C.(2014).Risk Premia in Crude Oil Futures Prices.Journal of International Money and Finance,42,9-37.
  29. Heer, B.,Süssmuth, B.(2013).Tax Bracket Creep and Its Effects on Income Distribution.Journal of Macroeconomics,38,393-408.
  30. Henriques, I.,Sadorsky, P.(2008).Oil Prices and the Stock Prices of Alternative Energy Companies.Energy Economics,30,998-1010.
  31. Kao, C. W.,Wan, J. Y.(2012).Heterogeneous Behaviors and the Effectiveness of Central Bank Intervention in the Yen/Dollar Exchange Market.Applied Financial Economics,22,967-975.
  32. Kapetanios, G.,Shin, Y.,Snell, A.(2003).Testing for a Unit Root in the Nonlinear STAR Framework.Journal of Econometrics,112,359-379.
  33. Kaufmann, R. K.(2011).The Role of Market Fundamentals and Speculation in Recent Price Changes for Crude Oil.Energy Policy,39,105-115.
  34. Kaufmann, R. K.,Ullman, B.(2009).Oil Prices, Speculation, and Fundamentals: Interpreting Causal Relations among Spot and Future Prices.Energy Economics,31,550-558.
  35. Kesicki, F.(2010).The Third Oil Price Surge - What's Different This Time?.Energy Policy,38,1596-1606.
  36. Kilian, L.,Lee, T. K.(2014).Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories.Journal of International Money and Finance,42,71-87.
  37. Kisswani, K. M.,Nusair, S. A.(2013).Non-linearities in the Dynamics of Oil Prices.Energy Economics,36,341-353.
  38. Liao, H. C.,Lee, Y. H.,Suen, Y. B.(2008).Electronic Trading System and Returns Volatility in the Oil Futures Market.Energy Economics,30,2636-2644.
  39. Mabro, R.(ed.)(2006).Oil in the Twenty-first Century: Issues, Challenges, and Opportunities.Oxford:Oxford University Press.
  40. Miller, J. I.,Ratti, R. A.(2009).Crude Oil and Stock Markets: Stability, Instability, and Bubbles.Energy Economics,31,559-568.
  41. Narayan, P. K.,Narayan, S.(2010).Modelling the Impact of Oil Prices on Vietnam's Stock Prices.Applied Energy,87,356-361.
  42. Prat, G.,Uctum, R.(2011).Modelling Oil Price Expectations: Evidence from Survey Data.The Quarterly Review of Economics and Finance,51,236-247.
  43. Reitz, S.,Rülke, J. C.,Taylor, M. P.(2011).On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rate.The Economic Record,87,465-479.
  44. Reitz, S.,Slopek, U.(2009).Nonlinear Oil Price Dynamics: A Tale of Heterogeneous Speculators?.German Economic Review,10,270-283.
  45. Reitz, S.,Taylor, M. P.(2012).FX Intervention in the Yen-US Dollar Market: A Coordination Channel Perspective.International Economics and Economic Policy,9,111-128.
  46. Reitz, S.,Taylor, M. P.(2008).The Coordination Channel of Foreign Exchange Intervention: A Nonlinear Microstructural Analysis.European Economic Review,52,55-76.
  47. Reitz, S.,Westerhoff, F.(2007).Commodity Price Cycles and Heterogeneous Speculators: A STAR-GARCH Model.Empirical Economics,33,231-244.
  48. Rothman, P.(ed.)(1999).Nonlinear Time Series Analysis of Economic and Financial Data.New York:Springer Science+Business Media.
  49. Sari, R.,Hammoudeh, S.,Soytas, U.(2010).Dynamics of Oil Price, Precious Metal Prices, and Exchange Rate.Energy Economics,32,351-362.
  50. Soytas, U.,Sari, R.,Hammoudeh, S.,Hacihasanoglu, E.(2009).World Oil Prices, Precious Metal Prices and Macroeconomy in Turkey.Energy Policy,37,5557-5566.
  51. Teräsvirta, T.(1994).Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models.Journal of the American Statistical Association,89,208-218.
  52. Teräsvirta, T.,Anderson, H. M.(1992).Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models.Journal of Applied Econometrics,7,119-139.
  53. Tesfatsion, L.(ed.),Judd, K. L.(ed.)(2006).Handbook of Computational Economics.Oxford:Elsevier.
  54. Tsay, R. S.(1998).Testing and Modeling Multivariate Threshold Models.Journal of the American Statistical Association,93,1188-1202.
  55. Tverberg, G. E.(2012).Oil Supply Limits and the Continuing Financial Crisis.Energy,37,27-34.
  56. Uebele, M.,Ritschl, A.(2009).Stock Markets and Business Cycle Comovement in Germany before World War I: Evidence from Spectral Analysis.Journal of Macroeconomics,31,35-57.
  57. Wan, J. Y.,Kao, C. W.(2009).Evidence on the Contrarian Trading in Foreign Exchange Markets.Economic Modelling,26,1420-1431.
  58. Westerhoff, F.,(2003).Speculative Behavior and Asset Price Dynamics.Nonlinear Dynamics, Psychology, and Life Science,7,245-262.
  59. Westerhoff, F.,Reitz, S.(2003).Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists.Studies in Nonolinear Dynamics & Econometrics,7,1558-3708.
  60. Yousefi, A.,Wirjanto, T. S.(2004).The Empirical Role of the Exchange Rate on the Crude Oil Price Formation.Energy Economics,26,783-799.
  61. Zeeman, E. C.(1974).On the Unstable Behavior of Stock Exchange.Journal of Mathematical Economics,1,39-49.
  62. Zhang, Y. J.,Wei, Y. M.(2010).The Crude Oil Market and the Gold Market: Evidence for Cointegration, Causality and Price Discovery.Resources Policy,35,167-177.
  63. Zhu, H. M.,Li, S. F.,Yu, K.(2011).Crude Oil Shocks and Stock Markets: A Panel Threshold Cointegration Approach.Energy Economics,33,987-994.
print cancel