- 學位論文
溫度及庫存對天然氣與熱燃油期貨價格影響之研究
Examining the Impact of Temperature and Inventory on Nature Gas and Heating Oil Futures Price
摘要
過去幾十年，由於市場景氣的巨幅變化與天氣的變幻無常，使得能源的消費呈現明顯增減，從而造成能源價格波動甚大。眾所周知，影響能源價格之主要因素為能源之供給與需求，而美國在能源的供需方面均佔有舉足輕重的角色。 本研究以在NYMEX交易的溫度期貨為樣本來源，並利用Mu(2007)建構之溫度與庫存變數模型，俾探討與比較NYMEX交易之天然氣與熱燃油之近月及遠月期貨之報酬率，是否會受到預期意外溫度、預期意外庫存變動、道瓊工業指數報酬率、冬天增熱季、庫存公告、強烈颶風公告及溫度非線性效應的影響。實證結果彙總如下： 1. 本研究發現預期溫度的意外變化及預期意外溫度的非線性效應，對天然氣期貨報酬率有顯著正向影響。實證結果顯示，天然氣期貨報酬率的庫存公告效應確實存在，且每週四EIA公告的上周天然氣之庫存量，的確使得天然氣期貨價格之波動率高於其他帄常日。 2. 本研究亦發現預期溫度的意外變化對熱燃油期貨報酬率呈現顯著正向影響，而道瓊工業指數報酬率對熱燃油期貨報酬率則呈現顯著負向影響。 3. 本研究採用四大主要氣象站站(紐約、山克拉門都、芝加哥、底特律)之能源消費量的加權的溫度資料來估計GARCH模型，發現所得到的天然氣期貨價格較佳。但採用單一氣象站(紐約)的溫度資料(即原始溫度)來估計GARCH模型時，所得到的熱燃油期貨價格較佳。 彙總而言，無論在天然氣或是熱燃油兩種商品之近月及遠月期貨的模型下，預期溫度的意外變化對天然氣期貨及熱燃油期貨的報酬率均產生顯著影響。
並列摘要
For the past decades, the energy consumption fluctuated dramatically due to the changes of economic environment and the drastic change of the weather conditions. Additionally, one main factor affecting the energy prices is the supply and demand of energy in which United States served as an important role. This study examines and compares the NYMEX natural gas and heating oil futures returns based on MU (2007)’s weather and storage model. The sampling period runs from 2003 to 2006. This work attempts to investigate whether the natural gas and heating oil futures returns are affected by the expected temperature shock, the change in expected storage shock, Dow Jones industrial index returns, winter heating season, storage announcement, strong hurricane announcement and non-linear temperature effects. The conclusions are summarized below: 1. The findings indicate that the expected temperature shock and the non-linear effects of temperature have positive impact on NYMEX natural gas futures returns, revealing that a storage announcement effect exists. Empirical result also shows that the volatility is higher on each Thursday when previous week’s storage report is released by EIA than other weekly trading days. 2. The expected temperature shock has positive impact on the NYMEX heating oil futures returns, and Dow Jones industrial index returns has a negative impact on NYMEX heating oil futures returns. 3. This study finds that when the GARCH model is used, the natural gas futures prices are affected more by using the temperature data obtained from the weighted average of four weather stations based on energy consumption for each state (i.e. New York, Sacramento, Chicago and Detroit) than that from single weather station (New York). However, the Heating oil futures prices are influenced more by employing the temperature data obtained from single weather station (New York) than that from the weighted average of four weather stations based on energy consumption for each city. This investigation concludes that the change in expected temperature shock has positive impact on both the natural gas and heating oil futures returns for both the near-month and far- month futures.