中國資產投機對石油價格泡沫化之影響

Abstract

近年來油價快速上升，甚至超過指數增長，使我們可能處於一個石油泡沫之中；目前全球石油供給已經超過需求，唯價格還繼續上升，此說明影響油價的主要因素就是投機。因自2003 年以來，中國原油消費量已超過日本，成為繼美國之後的世界第二；且對原油的渴望程度卻有增無減，故對油價提供支撐作用。同時，因人口眾多、快速經濟成長與外匯累積、加上迅速上升的購買力，及過多的流動性，導致中國資產市場這兩年亦出現泡沫化現象。因此本計畫主要目標想要探究：究竟是什麼原因造成中國資產市場上的泡沫現象？與經濟成長、外匯存底等有何種關係？中國資產投機對石油價格泡沫化之影響？而欲瞭解此泡沫現象及對經濟的衝擊，需藉由對石油市場泡沫化的正確解讀。鑑於石油市場相對一般金融市場屬較不效率，以估計市場基要價格方式，來衡量泡沫幅度較易產生偏誤；故本文嘗試採用狀態空間模型（State-Space Model）研究石油市場泡沫現象，以油價所得比相對關係估計石油市場泡沫，希望從消費面與投資面來探討，金融風暴發生以來石油市場泡沫化的現象。

Since approximately 2008, a growing number of journalists, academics have been discussing the pros and cons of the hypothesis that assets, and in particular oil, have entered a bubble regime. One key question is to explain the quadrupling fast-than-exponential since 2003. Some attribute it mainly to the pricing of the growing demand (in particular from the emergent China and India markets) imperfectly balanced by the increasingly apparent limits of world oil production. Others are raising the specter of rising speculation. In addition, China’s asset prices have been increasing sharply recently as well, lots of people are wondering if there were bubbles in China’s asset market. Since China accounted for one-fourth of the world’s incremental oil demand over 1995-2004 and is expected to account for 12% of global oil demand in the future, we are interesting to study some related Chinese bubble issues those including high income growth rate, quickly accumulated foreign reserve, and slowly responded exchange rate. Therefore, this project try to use State-Space Model to study the bubble phenomenon of China asset market, we want to find how impact of China’s asset speculative on the oil market bubbles.