石油产品定价外文文献翻译中英文.docx

石油产品定价外文文献翻译中英文.docx

《石油产品定价外文文献翻译中英文.docx》由会员分享，可在线阅读，更多相关《石油产品定价外文文献翻译中英文.docx（8页珍藏版）》请在冰豆网上搜索。

石油产品定价外文文献翻译中英文

石油产品定价外文文献翻译中英文

（节选重点翻译）

英文

Characteristicsofpetroleumproductprices:

Asurvey

LouisEderington，ChitruFernando，etc

Abstract

Wereviewandsynthesizetheempiricalevidenceonseveralfactorsrelatedto petroleumproduct prices:

（1）thegeneraldistributionalcharacteristicsofpetroleumproductprices;

（2）theinfluenceofrefineryoutages,extremeweather,andsimilarcircumstancesonproductprices;（3）thewaythatpricediscoveryoccursforpetroleumproducts;（4）thepredictiveaccuracyofpetroleumproductfuturespricesforfuturespotprices;and（5）theimpactofspeculationonproductprices.

Keywords:

Petroleumproductprices,Commodities,Energyeconomics

1. Introduction

Thisreviewisthesecondofatwo-partseriessurveyingtheextantliteratureonthebehavioranddeterminantsof petroleumproductfuturesprices. Ederingtonet al.（2018a） focusesontherelationbetweenpetroleumproductpricesandoilprices.Inthispart,weturntothegeneraldistributionalcharacteristicsofpetroleumproductprices,theinfluenceoffundamentalfactorssuchasrefineryoutagesandtheweatheronproductprices,thewaythatpricediscoveryoccursforpetroleumproducts,andthepredictiveaccuracyofpetroleumproductfuturespricesforfuturespotprices.

Recentyearshaveseenasurgeinresearchdevotedtothequestionofwhetherfundamentalsupplyanddemandfactorsorexcessspeculationhaveinfluencedmovementsincrudeoilprices.However,littleattentionhasbeenpaidtowhetherspeculationappearstoinfluencepetroleumproductprices.Wealsoreviewtheresearchonthistopic.

2. Pricesandinventories

Thetheoryofstorage（Kaldor,1939; Working,1949）predictsthat pricevolatility andpricelevelareinverselyrelatedtoinventorylevels.Whentherearelittleornoinventoriestoactasabuffer,imbalancesinsupplyanddemandmayresultindramaticpricechanges.Inaddition,pricesandvolatilitywillbepositivelycorrelated,asbotharenegativelyrelatedtoinventories.Aseparateargumentmadeby Smith（2009） andothersemphasizesthatoilpricevolatilitycanbehighbecausetheunderlying demandandsupplycurvesaresoprice-inelasticthatshockstosupplyordemandareimmediatelyreflectedintheprice.Finally,therelationbetweenvolatilityandinventorycanrunintheoppositedirectionaswell;thatis,volatilitycanpotentiallyinfluenceinventorylevels.Forinstance,as Pindyck（2004） hassuggested,highoilpricevolatilityincreasestheopportunitycostofproducingnowincontrasttoproducinglater;thatis,waitingtoseeiffuturespotpricesaregreaterthancurrentspotprices.Balancingtheseviews, Smith（2009） pointsoutthatpricevolatilityprovidesincentivestoholdinventories,butbecauseinventoriesarecostly,theymaynotbesufficientlylargetofullyoffsettherigidityofdemandandsupply.

Gortonet al.（2012） studytherelationbetween petroleumproductfutures'excessreturns（whattheyrefertoastheriskpremium）andinventories.Theyfindthattime-seriesvariationandcross-sectionalvariationoftheriskpremiumareinverselyrelatedtoinventorylevelsofheatingoil,gasoline,andcrudeoil.However,althoughnegativerelationsaredocumentedforallthreecommodities,noneisstatisticallydifferentfromzeroatconventionallevels.Theauthorsattributetheweakstatisticalsignificancelevelstothefactthatinventoriesaremeasuredwitherror.

ArecentstudycompletedbytheU.S.EnergyInformationAdministration（U.S.EnergyInformationAdministration,2014）focusesontherelationbetweenchangesinthebenchmarkprices（BrentandWTI）andgasolineprices.Thestudyalsopresentsresultsregardingtheconditionaleffectsongasolinepricesofchangesindeviationsofgasolineinventoriesfrompriorfive-yearaverages.Theauthorsgenerallyfindaninverseandstatisticallysignificantrelationbetweeninventorydeviationsandgasolinepricechange.

Pindyck（2004） developsastructuralmodelofinventories,spotprices,andfuturespricesthatexplicitlyconsiderstheroleofvolatilityandestimatesthemodelwithdailyandweeklydataoncrudeoil,heatingoil,andgasolineduringtheperiod1984–2001.Weeklyvolatilitiesareestimatedassample standarddeviations ofadjusteddailylogchangesinprices. Pindyck（2004） findsthatspotprices,inventories,and convenienceyield donotcausevolatilityincrudeoilandthusconcludesthatvolatilityisanexogenousvariable.However,healsofindsthatthemodelperformspoorlyforthecrudeoilmarket.Forheatingoil,changesinvolatilityinfluenceconvenienceyieldsand,toalesserextent,inventories,buttheeffectsarenotlarge.Thereisnostrongevidenceofsucheffectsinthecrudeoilandgasolinemarkets.Furthermore,althoughchangesinheatingoilvolatilitycanhelpexplainchangesinthespot-futuresspread（convenienceyield）,itdoesnotexplainthespotpriceitself. Pindyck（2004） concludesthattheresultsfitthetheoreticalpredictionsforheatingoilbutnotforcrudeoilorgasoline.Pindyckconjecturesthatthemixedresultsmightbean artifact ofmodelmisspecificationsorthatmarketvariablesaffectproductiondecisionsmoreslowlythancanbecapturedwithweeklydata.Pindyckalsonotesthatspeculationmightinfluencepricevolatility,whichisnotconsideredinthemodel.

Kaufmannet al.（2009） studytherelationbetweenoilprices,gasolineprices,inventorylevelsforoilandgasoline,refineryutilizationrates,andthepriceofasubstitutefuel（naturalgas）.Theyareinterestedinhowoilpricechangesaretransmittedhorizontallyand/orverticallythroughtheenergysupplychain.Theauthorsdefine“horizontaltransmissionsaschangesthataregeneratedbylinkagesamongfuelsatasimilarstageofprocessingwhileverticaltransmissionsarechangesthataregeneratedbyupstream/downstreamlinkagesintheoilsupplychain”（p.644）.Theyestimate vectorerrorcorrectionmodels amongtheseriesusingbothweeklyandquarterlyobservations,concludingfromtestsof causality thatthepriceofcrudeoilisanimportantdeterminantofbehaviorsthroughouttheoilsupplychain.Analyzingimpulseresponsefunctions,theyfindthatshockstocrudeoilpricesaffectinventorybehaviors,refineryutilizationrates,andthepriceofmotorgasoline,andaretransmittedlaterallytothe naturalgasmarket.

Studiesby Kilian（2010） and BilginandEllwanger（2017） bothemphasizetheroleofinventories（bothoilinventoriesandinventoriesofpetroleumproducts）intheformationofgasolinedemandandprices. Kilian（2010） examinestherelationshipbetweentheglobalcrudeoilmarketandU.S.fuelconsumption.HefindssignificantoilpriceeffectsassociatedwithshiftsinU.S.gasolineconsumption. BilginandEllwanger（2017） developandestimateamodeloftheoilandgasolinemarketthatreflectstheunderlyingpremisethat“demandfromcrudeoilisderivedfromthedemandforoilproductsthatitisconvertedto”（p.3）.Themodelincludesbothoilandpetroleumproductinventories.Theauthorsfindthatglobalfueldemandisinelasticwithrespecttocrudeoilprices.

3. Refineryoutages,weather-relatedfactorsandproductprices

FocusingonweeklywholesalegasolinepricesintheUnitedStatesfromJanuary2002toSeptember2008, KendixandWalls（2010）quantifytheimpactofrefineryoutageson petroleumproduct prices.Theauthorsmatchrefineryunitoutputtospecificwholesalegasolinemarkets,thenestimatepaneldataregressionsandquantifytheimpactofrefineryunitoutagesonwholesalegasolineprices.Theycontrolfortime-specificeffects,city-specificeffects,fuel-specificeffects,refineryconcentration,andotherfactorsthatcouldaffectthepricesofrefinedpetroleumproducts.Theirresultsshowthatrefineryoutageshaveastatisticallysignificantpositiveimpactonrefinedproductpricesandthatthemagnitudeofthiseffectislargerforcertainfuelblends.

Chesnes（2015） alsoinvestigatestherelationbetweenrefineryoutagesoncurrentpetroleumproductpricesandfuturerefineryinvestment.Theauthorstudiesdetailedrefinery-leveldataonplannedandunplannedrefineryoutagesfortheperiod2001–2011.Thedataaremeasuredatthemonthlyfrequency,whichincludesthewholesalepricesstudied.OutagesareaggregatedtothePetroleumAdministrationforDefenseDistrict（PADD）-monthlevel,andtheauthorcontrolsforsuchthingsasstocksandhurricaneactivity.Similarlyto KendixandWalls（2010）,Chesnesconcludesthatrefineryoutages“canhaveaneconomicallysignificanteffectonproductprices”（p.333）.Hefindsthatproductpricesarepositivelyrelatedtooutages.

Finket al.（2010） studyhowtropicalstormsinfluencepetroleumproductprices.Theauthorsexaminetheeffectoftropicalstormforecastsonthe3-2-1crackspread—thedifferencebetweenrefinedpetroleumandcrudeoilpricesfocusingonrefineryactivityinthe GulfCoast region.TheauthorstesttheeffectofthereleaseoftheleadingseasonalhurricaneforecastintheAtlanticbasin,theGray-KlotzbachforecastfromColoradoStateUniversity,onthecrackspreadmarketandfindimportanteconomiceffects.Pricesappeartoreflectstormeffectsatthe24-hforecasthorizon.Further,themagnitudeissignificant—category4hurricanesinthisregionincreaserefinedpetroleumpricesrelativetocrudeoilbyabout13.5%.

Inafollow-upstudy, FinkandFink（2014） alsofindthatcrackspreadpricesareaffectedbyseasonalhurricaneforecasts.TheirapproachistotesttheeffectofthereleaseoftheGray-KlotzbachforecastsintheAtlanticbasin（whichincludestheGulfofMexico）onthecrackspreadmarket.Theauthorsshowthat3-2-1crackspreadpricesincreasebymorethan9%whentheJuneforecast