能源比价风险预警研究

伴随着我国经济的高速发展,其能源需求不断增加,能源市场化程度越来越高,所面临的风险也越来越大。而我国目前的能源价格风险预警主要针对单个价格,对能源比价预警的研究很少。首先基于时差相关分析法、Granger因果关系检验法及协整关系检验法,建立了原油、煤炭、天然气、成品油、电力这五种能源的价格风险指标体系;其次从能源价格比价结构的角度,通过计算能源比价的变异系数及波动系数遴选了做预警的时间序列;然后基于CGE模型及能源比价的风险分布得出了能源比价的合理范围,并划分了相应的警度区间,提出了能源比价预警响应机制;最后分析了2012年我国能源比价的警度,得出汽油与原油比价、居民天然气与原油比价、工业用电与原油比价、居民用电与原油比价、天然气与煤比价、电与煤比价不合理情况严重;同时,柴油与原油比价存在较大的风险,需要重点关注。

Early Warning Model for Energy Price Ratio

With the rapid economic development in China,energy demand increases greatly and energy becomes more marketized and its risks grows.At present,the early warning for energy price risk focuses on individual energy price, with less attention to price ratio risk.Therefore,based on time difference cross correlation analysis,Granger causality test and co-integration test,this paper firstly constructs the price risk index system for the five energy resources: crude oil,coal,nature gas,product oil and electricity.Secondly,select the time series suitable to perform early warning by calculating the variation coefficient of energy price ratio from the perspective of energy price ratio structure. Thirdly,estimate the reasonable price ratio range based on CGE model and risk distribution,classify the corresponding warning degree and propose the early warning response mechanism.Finally,analyze the warning degree of energy price ratio in 2012,and point out the unreasonable price ratios between gasoline and crude oil,diesel oil and crude oil,nature gas and crude oil,electricity and crude oil,nature gas and coal,and electricity and coal,especially the high risk in the price ratio of diesel oil and crude oil.