重大供给冲击对石油市场的影响分析

摘要

This paper collected historical significant supply shocks as events, including Venezuela Strike, Iraq War, Hurricane Katrina, Turkey's Attack towards Kurdish, Gulf Oil Spill and Libya War. We built GRACH model to investigate the impact on volatility induced by supply shock on Brent and WTI crude oil spot and future markets, Dubai and Aman spot markets. Then we further adopted event study considering heteroskedasticity correction to examine the short run impact on the returns of main global oil markets due to these supply shocks. The empirical results show that: most of these events induced lager volatility in the event window; the cumulative abnormal returns in the event window are significantly positive for almost all the events except for Iraq war and Gulf oil spill; the trend of cumulative abnormal returns of all the markets exhibit the same pattern in the event window for any given event; the geographical location where events happened has a larger impact on the returns of the neighboring markets. This paper presents the economic interpretations for these empirical findings and proposed corresponding policy suggestions for different participants of oil market.%收集历史上石油市场的重大供给冲击事件,包括委内瑞拉大罢工、伊拉克战争、卡特琳娜飓风、土耳其攻打库尔德、墨西哥湾漏油事件和利比亚战争,选取Brent、WTI现货和期货以及迪拜和阿曼现货等国际主要石油市场数据,建立GARCH模型,分析供给冲击对市场波动性的影响,进一步采用异方差修正的事件分析法考察这些事件对全球主要石油市场收益率的短期影响.研究结果表明,大部分事件会导致事件窗内的方差变大,除伊拉克战争和墨西哥湾漏油事件外,其他事件的事件窗内的累计超额收益显著为正,同一事件下所有市场事件窗内累计超额收益走势一致,重大事件发生的地理区位对邻近市场的收益率的影响更大.对实证结果进行经济解释,针对不同的石油市场参与者给出相应的政策建议.