國際指標原油價差之研究

林淑娟

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國際指標原油價差之研究

The Study of the Spread of International Index Crude Oil Price

林淑娟 , Ph.D　　Advisor：張四立;廖惠珠;林茂文　　

繁體中文

國際原油價差；結構轉變分析；分量單根檢定；時間變化參數；時間數列轉換函數； International Crude Oil Price Spread ； Structural Change Analysis ； Quantile Unit Root Test ； Time Varying Parameter ； Time Series Transfer Function

Abstract │ Reference (94) │ Times Cited (1) │ Altmetrics

Abstract 〈TOP〉

Parallel Abstract 〈TOP〉

This study aims to explore and realize the movement and trend of international crude oil benchmark price and their price spreads by using the structural change analysis to detect and examine the structural change point of crude oil price spread, and the quantile unit root test to analyze the mean-reverting trait for higher and lower crude oil price spreads. The analyzed results could provide as a reference for oil companies to properly plan the strategies of production, marketing, and storage and pipeline construction when the structure change occurs in the oil market. In doing so, three international crude oil benchmark price spread, i.e., Brent-WTI, Brent-Dubai, and WTI-Dubai, were examined by using unit root test and Granger causality test. And then, several structural change analysis methods, i.e., Bai & Perron test, Chow test, moving Chow test, and time series outliner detecting analysis, were applied to detect the structural change point for three crude oil price spreads with daily, weekly, and monthly time series data. The analyzed results show that the structural change points detected with different methods are consistent and robust. 
In term of quantile unit root test, although the localized or globalized phenomenon for daily, weekly, monthly data of three crude oil price spreads with higher or lower quantiles are different, QKS test statistics indicated the co-integration phenomenon for the whole time series period. This shows that three crude oil price spreads deviate from mean within some time series period but revert to the mean within whole time series period. Among them, Brent-WTI and Brent-Dubai price spreads with lower quantile while WTI-Dubai price spread with higher quantile have lower half-life, that means that more stable characteristics. Else, the half-life of Brent-Dubai price spread are the smallest, while the half-life of Brent-WTI and WTI-Dubai price spreads are larger. Furthermore, time varying parameter (TVP) module was adopted to examine the impact of WTI on Brent-WTI price spread in time series transfer function, the result shows the impact extent of WTI on Brent-WTI price spread are getting larger as time elapses. Moreover, dummy variable represented structural change point of time series was included into model to evaluate the MAPE performance, the result indicated that goodness of fit of the model increased after considering structure change in the model. In summary, this study suggested that the methods of structural change and quantile unit root test should be used to understand the characteristics of time series before analyzing the movement and trend of international crude oil benchmark price. This helps to enhance the goodness of fit and the forecast performance of the forecasting model.

Reference ( 94 ) 〈TOP〉

Abraham, B. & Box, G. E. P. (1979) Bayesian analysis of some outlier problems in Time Series, Biometrika, 66. 229-236.
連結：
Adelman, M. A. (1984) International Oil Agreements, Energy Journal, 5, 1-9.
連結：
Allan, W. G. & Bruce, E. H. (1996) Residual-based tests for cointegration in models with regime shifts, Journal of Econometrics, 70, 99-126.
連結：
Andrews, D.W.K. (1993) Test for prarameter instability and structure change with unknown change point, Econometrica, 61(4), 821-856.
連結：
Andrews, D.W.K. & Ploberger, W. (1994) Optimal tests when a nuisance parameter is present only under the alternative, Econometrica, 62(6), 1383-1414.
連結：

Times Cited (1) 〈TOP〉

吳思儒(2008)。濕地的社區參與式管理-以臺北市雁鴨自然公園為例。臺北大學自然資訊與環境管理研究所學位論文。2008。1-139。

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