Market integration among electricity markets and their major fuel source markets

Dynamic price information flows among U.S. electricity wholesale spot prices and the prices of the major electricity generation fuel sources, natural gas, uranium, coal, and crude oil, are studied. Multivariate time series methods applied to weekly price data show that in contemporaneous time peak electricity prices move natural gas prices, which in turn influence crude oil. In the long run, price is discovered in the fuel sources market (except uranium), as these prices are weakly exogenous in a reduced rank regression representation of these energy prices.     

基于谱分析的国内外能源价格周期关系研究

为了更好地应对经济全球化背景下的能源价格问题,基于谱分析方法对国内外典型市场的石油、煤炭、电力、天然气四种主要能源价格的周期互动关系进行了初步研究与探讨,考虑到我国天然气与电力市场的发展现状,借鉴发展相对成熟的美国市场进行分析。结果表明,煤炭、电力、天然气三种能源市场价格均滞后于国际原油价格波动,其中煤炭价格波动略滞后于石油,而根据美国市场经验,天然气和电力价格波动周期均滞后于煤炭和石油市场价格。     

国际原油价格的主控因素分析

现代国际油价有美国西得克萨斯中质原油（WTI）价格、欧洲布伦特（BRENT）油价及OPEC一揽子价格三大价格体系。根据国际原油价格变化的主控因素差异,可以将其划分为结构性转变、基本面趋势和波动3个部分。油价结构性转变与全球主要资源区和市场区的结构性调整有关,其直接诱因是世界原油供需体系的结构性紊乱．根源在于生产或市场的无序及对定价权的争夺,而结果均导致定价体系的嬗变。原油名义价格由供需矛盾、石油货币价格、边际成本和替代能源共同决定,这四者构成决定国际原油价格基本面趋势的主要因素。石油供需矛盾的日益突出和美元贬值必然导致油价上涨;而大型油公司高成本区的边际成本决定了未来国际油价基本面将围绕80美元／bbl波动：基础能源的垄断属性将可能最终使替代能源与目标能源的竞争关系转变为价格继承关系。波动情况主要受石油巨头或金融投机者操纵,他们通过原油供应链中段的多种实体原油仓储以及虚拟经济所衍生的多种投机括动达到操纵油价波动的目标,而WTI油价最容易受到地区市场因素的影响,从而为各种投机炒作和油价操纵提供了有利条件。一旦油价定价体系存在某种操纵,就可以通过分析操纵者的战略动机实现对油价趋势的合理判断。     

Asymmetry in retail gasoline and crude oil price movements in the United States: An application of hidden cointegration technique

There is a common belief that gasoline prices respond more quickly to crude oil price increases than decreases. Some economists and politicians believe that asymmetry in oil and gasoline price movements is the outcome of a non-competitive gasoline market requiring that governments take policy action to address “unfair pricing”. There is no consensus as to the existence, or nature, of the asymmetric relationship between prices of gasoline and crude oil. Much of this literature specifies asymmetry in the speed of adjustment and short-run adjustment coefficients. In contrast, Granger and Yoon's [Granger, C.W. and Yoon, G. “Hidden Cointegration”, University of California, San Diego, Department of Economics Working Paper, (2002).] Crouching Error Correction Model (CECM) identifies asymmetry of the cointegrating vectors between components (cumulative positive and negative changes) of the series. Applying the CECM to retail gasoline and crude oil prices for the U.S., we find that there is only evidence of cointegration between positive components of crude oil prices and negative components of gasoline prices. In contrast to the literature which attributes asymmetric price movements to market power of refiners, these findings suggest that gasoline prices –in the long run– are more influenced by the technological changes on the demand side than crude oil price movements on the supply side.     

Hard coal for energetic purposes: price–quality relationships; international coal market observations and Polish practice

Coal is the most abundant and commonly used energy carrier in the world. In coal-producing countries, coal is often the cheapest fuel for electricity and heat production. Prices of steam coals offered by exporters on international markets reflect current economic and market conditions and are also related to the prices of other fossil fuels like crude oil and natural gas. International coal-market observations and analyses lead to the conclusion that steam-coal prices depend only on heating value. In Polish practice, steam-coal prices are calculated using a price formula in which coal price is a function of three quality parameters: net calorific value, ash content and sulphur content, and a price of ‘basic’ or ‘reference’ coal (which means: coal of defined quality). This paper presents the results of international coal-market analyses of relationships between coal price and quality and describes the Polish coal-pricing system. A new solution, relevant to domestic coal mines and power plants, is presented to improve and simplify the conditions of bilateral settlements of coal deliveries.     

我国成品油价格形成机制改革演变过程、现状及建议

成品油价格形成机制不能仅仅等同于定价机制,定价机制只是价格形成机制的核心,而成品油价格形成机制改革是包括定价机制改革在内的一系列改革措施。我国成品油价格形成机制改革是一个长期过程,1998年以后,国家在成品油价格形成机制改革方面步伐明显加快,每一次重大改革不仅在成品油定价方面做出一定的改革和调整,而且还出台了一系列综合配套措施。现行成品油价格形成机制具有其积极的一面,例如逐步走向市场化,扭转了生产企业在高油价下严重亏损的局面,培育了市场主体,提高了透明度等;当然同时也存在不足之处,如现有定价机制上调和下降的起点不平等,为成品油零售价"易涨难落"创造了条件;带有一定的"时滞性";容易受到国际原油价格的被动影响,不能真实反映国内市场的供需状况;"非成本"因素比重过高等。成品油价格形成机制改革必须坚持市场化原则、竞争性原则、政府适当干预原则、国际化原则、协调性原则和透明化原则。建议国家进一步完善现行成品油价格形成机制,进一步加大公开透明度,逐步打破原油和成品油流通领域的垄断经营格局;建立健全相关法律法规体系和财政、货币、税收政策;加强国际石油市场话语权,规避油价大幅波动带来的风险。     

The roles of inter-fuel substitution and inter-market contagion in driving energy prices: Evidences from China’s coal market

Coal has been dominating energy supply and consumption in China, with the country becoming the largest energy supplier and consumer worldwide. Due to inter-fuel substitution of crude oil and inter-market contagion of international coal market, China's coal price might be interrelated with crude oil price and international coal price. However, the precise roles of these two effects in determining China's coal price are unknown. This paper contributes to previous literature by investigating this issue. We find that co-movements between China's coal price and crude oil price largely hinge on the shares of oil and coal in China’s energy mix, while its co-movements with international coal price depend on scales of coal trade. Inter-fuel substitution dominated the interaction of China's coal market with other energy types, but the importance of inter-market contagion has been increasing. We also find that China might have become an originator for driving the returns of crude oil and international coal, in particular after 2008. Furthermore, China's coal market is still a net volatility recipient for shocks from both crude oil market and international coal market. Given the increased integration of global energy markets, we anticipate this paper to provide a better understanding on the dynamic changes in China's coal prices.     

基于VEC模型的国际油价波动与中国经济增长关系的实证研究

国内外学者对油价变动与经济增长之间的非对称性进行了大量研究,但缺乏系统的实证分析。利用1992~2011年来自美国能源信息署(EIA)的国际原油价格(以WTI代表)和来自中国国家统计局的中国国内生产总值(GDP)的季度数据,采用向量自回归VEC模型对国际油价变动对中国经济增长的影响进行了实证分析。Johansen协整检验和Granger因果检验结果表明,国际油价与我国经济增长之间存在协整关系,国际油价是预测我国经济增长的一个重要因素或先行指标;由于我国在国际石油市场中缺乏发言权和定价权,导致被动接受国际石油市场的价格,因此我国经济增长对国际油价波动的反应存在时滞。建立了国际油价变动与经济增长的VEC模型,反映出短时间内国际油价波动对我国经济增长产生负向影响,即国际油价每增加1%,引起我国经济增长率下降0.056%。为规避油价风险对我国经济增长带来的冲击,建议我国调整能源消费结构、发展新能源产业、提高能源利用效率,以逐步摆脱"能源消耗式"经济增长模式,同时应加强和完善石油战略储备,缓解和预防剧烈的石油价格波动对经济造成的严重影响。     

国际市场煤炭与石油价格相关性研究

煤炭消费增长与我国国民经济增长速度关系密切,2011年以来中国连续成为全球最大煤炭进口国,2013年煤炭进口量达到3.3×108t。国内煤炭价格日益受到国际市场煤炭价格的影响,两者之间的联系愈发紧密。而国际市场上煤炭价格与石油价格的波动具有较强的一致性。通过对煤炭价格和石油价格的相互影响机制进行定性分析、相关性分析以及回归分析,证实煤炭价格与石油价格之间存在显著的正相关关系,石油价格上涨或下跌1%则煤炭价格上涨或下跌0.3654%,石油价格的变化可以解释煤炭价格约18%的变动。煤炭与石油互为能源替代品,石油价格通过替代效应和影响宏观经济来直接、间接地影响煤炭价格。过高的石油价格会使消费者选用相对便宜的煤炭,改变市场供求从而拉高煤炭价格,使两者价格趋向于一致。鉴于外界预测2014年全球石油价格将维持在目前的较高水平,考虑到煤炭与石油价格的正相关性,据此判断国际市场煤炭价格也将保持在现有水平,并随石油价格小幅波动。由于国内外煤炭品质及价格存在差异,因此国内煤炭价格将继续承受下行压力,并逐步向国际市场煤价靠拢。     

Electricity prices and fuel costs: Long-run relations and short-run dynamics

The paper examines the long-run relation and short-run dynamics between electricity prices and three fossil fuel prices – coal, natural gas and crude oil – using annual data for the U.S. for 1960–2007. The results suggest (1) a stable long-run relation between real prices for electricity and coal (2) Bi-directional long-run causality between coal and electricity prices. (3) Insignificant long-run relations between electricity and crude oil and/or natural gas prices. And (4) no evidence of asymmetries in the adjustment of electricity prices to deviations from equilibrium. A number of implications are addressed.     

国内成品油定价机制及其对炼油企业的影响

近年来,消费者和社会普遍质疑国内成品油价格是“涨快跌慢”、“涨多跌少”.油价不断上涨,其根本原因是国际原油价格的持续上涨和国内石油需求的大幅增长.通过对比国内外不含税成品油价格可见,截至2011年10月9日,原油移动变化率合计上涨105.39％,Brent油价上涨61.60％,而国内90号汽油价格仅上涨38.99％,同时下调油价速度远远快于上调速度.在当前政策条件下,炼油企业没有成品油定价权,既要面对原油价格高涨、原油成本占生产成本95％左右的现实,又要服从国家以民生利益为重的指导思想,成品油价格只能少涨或不涨.经粗略计算,原油价格92.5美元/bbl是目前炼油企业的赢亏平衡点,按2012年1月30日Brent油价110.75美元/bbl和当日汇率计算,炼油企业每加工1t原油就亏损约844元人民币.当前的成品油定价机制有必要进一步改进,建议应把22个工作日缩短为10个或5个,油价波动幅度缩小为2％～3％;适当修正同等涨跌幅度下上涨和下跌之间存在的额度差异:适当选择并合理调整参照原油的品种和权重;同时也可以考虑将成品油消费税由价内税改为价外税.     

Can increasing gasoline supply in the United States affect ethanol production in Brazil?

The increasing supply of non-conventional oil in the U.S. has changed the dynamics of crude oil market and the flow of oil products in the Atlantic Basin. The Gulf of Mexico (GoM) emerges as an exportation hub of oil products, contributing to a scenario in which gasoline prices tend to decline. Meanwhile, from 2010, the competitiveness of the Brazilian sugarcane ethanol has been ruptured by the country's gasoline price policy that had not followed international price parity. The political conjuncture of the U.S. incites high utilization rates of their refining system in the GoM. In this context the profitability of the ethanol business can be impacted in Brazil, by either the current policy of controlled domestic gasoline prices or a future scenario of declining gasoline international prices. Therefore, this study tests if this gasoline price scenario can compromise even more the competitiveness of the Brazilian ethanol. Particularly, for a scenario of falling prices, ethanol production in Brazil would be under strong pressure of gasoline supply coming from the U.S. This can impact Brazil's ethanol industry, whose development has been justified by climate change policies. In that sense, the paper also discusses the future opportunities and challenges for Brazil's ethanol industry.     

深化中国能源管理体制改革——问题、目标、思路与改革重点

当前中国能源管理体制存在的问题主要是能源法律体系建设滞后,市场机制建设进展缓慢,市场监督机制不健全。新一轮能源管理体制改革的目标应是"四个形成":即形成比较完整的能源法体系,形成良性的市场竞争秩序,形成综合与分类相结合的能源监管体制,形成以市场为基础的能源定价新机制。能源管理体制改革的思路是以法治建设作为能源管理体制改革的基础,以系统思维和顶层设计的思路确定改革方式,将价格机制改革作为能源管理体制改革的突破口。改革的重点是理顺煤电价格,推进电价改革;改善原油成品油定价机制,尽早推出天然气价格机制,完善市场准入制度,打破企业市场垄断,尽快完善电力监管体系,健全煤炭、石油天然气行业的监管体制,及早应对国际能源格局新变化,积极参与全球能源治理。     

What explain the short-term dynamics of the prices of CO2 emissions?

Using a Bayesian Structural VAR (BSVAR), this paper analyzes the short-term dynamics of the prices of CO₂ emissions in response to changes in the prices of oil, coal, natural gas and electricity. The results show that: (i) a positive shock to the crude oil prices has an initial positive effect on the CO₂ allowance prices, which later becomes negative; (ii) an unexpected increase in the natural gas prices reduces the price of CO₂ emissions; (iii) a positive shock to the prices of the fuel of choice, coal, has virtually no significant impact on the CO₂ prices; (iv) there is a clear positive effect of the coal prices on the CO₂ allowance prices when the electricity prices are excluded from the BSVAR system; and (v) a positive shock to the electricity prices has a negative impact on the price of the CO₂ allowances. We also find that the energy price shocks have a persistent impact on the CO₂ allowance prices, with the largest effect occurring 6 months after a shock strikes. The effect is particularly strong in the case of the shocks to the natural gas and crude oil prices. Finally, the empirical findings suggest an important degree of substitution between the three primary sources of energy (i.e., crude oil, natural gas and coal), particularly when electricity prices are excluded from the BSVAR system.     

Price discovery in Brazil: causal relations among prices for crude oil,ethanol, and gasoline

ABSTRACT

Brazil is among the largest producers of ethanol and crude oil. Like other emerging countries, Brazil seeks to keep domestic prices for liquid fuels consistent with the international market. To evaluate Brazil’s policy of pricing petroleum products, price controls to curb inflation, and price liberalization (international parity), we analyze causal relations among domestic prices for hydrated ethanol, gasohol (anhydrous ethanol blended into gasoline), and gasoline, and the crude oil benchmark WTI during four sample periods. Before October 2016, flex-fuel vehicles make hydrated ethanol and gasohol substitutes, which creates a bidirectional causal relation between their prices. This causal relation disappears after October 2016. During this period, WTI and gasoline are the main source of new information for the price of hydrated ethanol.     

Exploring asymmetric behavior pattern from Indian oil products prices using NARDL and GHSOM approaches

The present work endeavors to explore the potential asymmetries in the pricing of oil products in India where prices are not only affected by the crude oil price changes in the international markets but are also subject to government interventions. In order to protect domestic consumers from this volatility, historically the government of India tried to control the domestic price of petroleum products by cross subsidization and giving subsidies. In this paper, we analyze the impact of crude oil price on domestic oil prices by applying nonlinear autoregressive distributed lag (NARDL) and Growing Hierarchical Self-Organizing Map (GHSOM) approaches for the period of April, 2005–July, 2014. The GHSOM has been explored through pattern analysis on the asymmetric behavior using similarity measures. From the study it can be interpreted that the prices of products left to be determined by the market exhibit a strong asymmetry. However, pricing of the products that are monitored and controlled by the government do not exhibit any such asymmetry. Hence, the question still remains – should the government intervene in pricing petroleum products when monopolistic attitudes of large oil companies are detrimental to the interest of retail consumers?     

2010年国际原油价格走势分析与判断

2010年国际原油价格走势将继续受到全球经济复苏、需求、供应、库存、美元走势、投机以及地缘政治等因素的影响。预计2010年国际油价仍将在震荡中不断走高,波动区间大致为70～90美元/桶。为应对国际油价的波动,中国应更多地参与国际油价的决定,关键是建立和完善石油战略储备体系和石油金融战略体系。     

当前煤炭价格存在问题及解决思路

文章详细剖析了我国煤炭价格存在的主要问题,明确国内电煤价格改革应逐步向市场化方向迈进,由供需双方按市场机制进行确定。在目前情况下,应坚持放开煤炭价格的市场化改革方向,坚持由供需双方协商定价的基本原则,真正落实煤炭供需企业协商定价自主权。     

通过匹配原油计价量与加工量规避原油计价风险的探讨

进口原油具有的贸易特点及计价方法,与炼油企业当期销售成品油的计价方法不同,造成原油与成品油计价期不同,在国际油价剧烈波动,特别是油价快速下跌时,使炼油企业严重亏损。当企业均衡生产时,这种时间差带来的市场风险会通过装置长周期运行而减小,但当企业的加工和采购进度因装置检修、非计划停工以及市场供需调整等原因进行大幅调整时,成本和产品价格之间的时间差可能会给企业带来巨大风险。分别介绍了进口原油、成品油的贸易特点及计价方法,提出了如何研究国际油价走势。分析了国际油价上涨时,如何选择原油计价期,实现低价采购原油、高价销售成品油的目标;国际油价下跌时,如何实现同期原油计价量与原油加工量匹配,实现均衡计价,规避因国际油价波动造成的企业亏损,进一步剖析了如何运用套期保值方法,锁定当期炼油企业原油加工效益。同时,列举了操作中的注意事项,提出套期保值应善于选择时机操作,加强计划管理的重要性,以及控制合理库存的必要性。     

燃料油期货市场价格发现功能的研究——基于2005~2012年的数据

采用对时间序列数据的计量分析,对2005年8~2012年12月国内燃料油期货价格与国内燃料油现货价格、国际原油现货价格、国际原油期货价格、中国股票市场交易额数据之间关系进行实证分析后发现：国内燃料油现货价格和期货价格呈现双向引导作用;国际原油期货价格对国内燃料油期货具有单向引导作用;国内燃料油期货价格和国际原油期货价格具有双向引导作用。由此可以看出：我国燃油油期货价格发现功能得到了初步的发挥,但是其作用明显要小于国外市场;我国燃料油期货价格与市场形成联动,经济功能得到逐渐发挥,影响不断提升;虽然燃料油的相关国际市场与国内市场已经形成了良好的互动关系,但是国内市场相还是比较被动;资本市场资金量的波动在燃料油期货价格中的表现出来的主要是反映了短期的投机因素。为此,建议进一步加强燃料油期货市场监管力度,正确引导并鼓励石油企业利用期货市场进行套期保值,加大以资本市场为主的金融支持体系建设,完善期货市场的准入制度。