中國資產投機對全球石油價格泡沫化之影響

Abstract

2008 年以來油價快速上升，甚至超過指數增長，使我們可能處於一個石油價格泡沫之中。當時全球石油供給已經超過需求，唯價格還繼續上升且波動劇烈，此說明影響油價的因素除了供需之外，可能包含投機行為。其中，中國原油消費量自2003 年以來已超過日本，且往後對原油的需求程度仍有增無減，對油價提供支撐作用。本研究目的即在檢測中國的資產投機行為是否為石油價格泡沫的主因？而欲瞭解石油價格泡沫現象，需藉由對石油市場泡沫化的正確解讀。為達成此一研究目的，本文採用資產定價模型CAPM理論，並同時考慮GARCH 效果及狀態空間模型（State-Space Model）機制來研究中國資產價格投機與石油價格泡沫的關聯性，期能提供近幾年國際油價大漲一個合理的解釋因素。研究結果顯示：在考慮中國進口需求、中國資產價格、國際金價及世界資金寬鬆環境下；中國資產價波動對世界石油價格的影響並不顯著，二者在統計上並無顯著的關聯性。可能的原因：選取的時間點不夠長，致使本文採用之變數無法掌握油價可能發生泡沫前後的差異。其次，由於中國大陸仍是屬於計畫經濟的國家，政府掌控其國內資產價格的波動仍相當強；因此與油價的連動關係受到扭曲，以致呈現統計上不顯著的結果。

Since approximately 2008, a growing number of journalists and academics have been discussing the situation of the oil price. One key question is to explain the quicker-than-exponential quadrupling since 2003. Some attributes mainly point out that the growing demand of oil（in particular from the emergent Chinese and Indian markets）imbalanced 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 as well, and many are wondering if there were increasing speculators 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 interested in studying some relationship between China’s asset market speculation and the bubble phenomenon of oil price. This study uses the GARCH and the State-Space Model to study the impact of China’s asset speculative on the oil market bubbles. The result indicates that the China`s speculation do not significantly impact the world`s oil price, which supports the evidence for neutrality hypothesis. The possible reasons are as following: the empirical time period is not enough to identify differences before and after the occurrence of oil bubbles. In addition, possible links between China’s asset speculative and the oil market bubbles are missing since China remains under a planned economy.