石油产品定价外文文献翻译中英文.docx
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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