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本文从市场结构性转变的角度,研究了金融危机对石油市场潜在价格机制的冲击和影响。研究采用内生结构性断点检验方法,考察石油市场的结构性改变特征,并采用多因素动态模型(NW OLS)和GARCH模型,分阶段考察了供需基本面和金融市场驱动因素(股票价格、美元汇率、黄金价格和期货市场投机行为)在石油定价机制演变过程中的作用。实证结果表明,在“金融危机”时期(2008:07-2010:04),供需基本面主导了油价变化,石油市场不能很好地对冲股市价格风险。而在危机之前的“泡沫累积”时期(2004:03_2008:07)和“后金融危机”时期(2010:04-2012:03),金融市场因素可以很好地解释油价波动,但作用机制明显不同。
This article studies the impact and impact of the financial crisis on the potential pricing mechanism in the oil market from the perspective of structural changes in the market. The study uses endogenous structural break-point test to examine the structural change characteristics of the oil market and uses the multi-factor dynamic model (NW OLS) and GARCH models to examine in different stages the supply and demand fundamentals and financial market drivers (stock price, The exchange rate of the U.S. dollar, the price of gold and the speculation in the futures market) in the evolution of the oil pricing mechanism. The empirical results show that in the “financial crisis” period (2008: 07-2010: 04), supply and demand fundamentals dominate the oil price changes, and the oil market can not hedge the stock price risk well. However, during the “bubble accumulation” period (2004: 03_2008: 07) and the post-financial crisis period (2010: 04-2012: 03) before the crisis, financial market factors can explain the volatility of oil prices well, The mechanism of action is obviously different.