Nonlinear Oil Price Dynamics and the Impact of Heterogeneous Agents

異質交易行為與原油價格之非線性動態分析

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

《應用經濟論叢》 97期 (2015/06) Pp. 85-133

https://doi.org/10.3966/054696002015060097003

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。

關鍵字

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

並列摘要

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.

並列關鍵字

Heterogeneous Agent Models ； Nonlinear Modeling ； WTI Oil Price ； Chartist and Fundamentalist

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