基于跳扩散模型的石油价格长期趋势分析

分析了国际石油市场1986至2012年周价格形成机制的长期演变趋势.在讨论均衡理论基础上,以长期市场供求关系解释了国际油价长期波动现象.基于跳扩散模型拟合石油价格动态过程,利用结构变点检验和累积量估计方法进行了实证研究.历史数据分析表明石油价格具有高波动性、高强度跳跃性和上升漂移特征.此外,模型预测即使当前大幅增加石油投资,未来几年内石油价格变化仍会处于一种高频跳跃的上行阶段.

Long term analysis of oil price forecasting based on jump-diffusion models

This paper studies a long-term of crude oil markets and trend of dynamic weekly price during 1986-2012. Based on the discussion of multiple equilibria theory, the paper tries to explain the long cycle phenomenon of crude oil price fluctuations by taking close look at the evolution of the long-term market supply and demand. Resorting to structural breaks test and cumulants test, a jump diffusion model is investigated. Historical data analysis shows that the crude oil prices were characterized by high volatility, high intensity jumps, and upward drifts. Furthermore, the models forecast that even given the current sharp rise in the investment in the oil development, crude oil price will still remain at a high frequency jump and stay in jump for the next couple of years.