探討方便收益率對未來原油期貨價格的趨勢; Discussion of Convenience Yield Trends of Crude Oil Futures Prices on the Future

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题名:	探討方便收益率對未來原油期貨價格的趨勢;Discussion of Convenience Yield Trends of Crude Oil Futures Prices on the Future
作者:	楊函玲;Han-Ling Yang
贡献者:	統計研究所
关键词:	方便收益率;Brennan-Schwartz model;convenience yield;Brennan-Schwartz model
日期:	2011-07-06
上传时间:	2012-01-05 14:42:18 (UTC+8)
摘要:	近年來，原油能源成為一門重要的議題。全球石油供應增長緩慢，對供應能力的擔憂一直是支撐高油價的重要因素。但在國際石油交易商看來石油供應增長幅度遠遠跟不上市場需求的增長，不能徹底緩和市場的緊張氣氛。我們將探討庫存量對石油交付在未來一到十年現值的趨勢。在本文中，利用布倫南-史瓦茲模型（Brennan-Schwartz model），兩因子為石油現貨價格和瞬時方便收益率。該模型的參數估計使用紐約商業期貨交易所（NYMEX）輕原油期貨價格從1995年1月2日至2011年2月18日的日資料。最後，利用該模型計算一桶石油交付在未來一到十年的現值，並計算此現值對其兩個狀態變量（現貨價格與方便收益率）的避險比率。 In recent years, oil energy has become an important topic. Global oil supply is growing slowly; the worry of supply ability is always the main factor to support high oil price. From the perspective of International oil traders, the oil supply growing rate is far away from the need to the market, the tension of the market can not be eased up thoroughly. We will explore convenience yield trends of crude oil delivered in one to ten years time. This research uses Brennan - Schwartz model (Brennan-Schwartz model). The factors are the spot price of oil and the instantaneous convenience yield. The parameters of model are estimated using daily light sweet crude oil futures prices from January 2, 1995 to February 18, 2011 on NYMEX. Finally, the model is applied to determine the present values of one barrel of oil delivered in one to ten years time, and calculate hedge ratios with respect to the two state variables of these present value factors(spot price and convenience yield).
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