石油产品定价外文文献翻译中英文Word文件下载.docx
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石油产品定价外文文献翻译中英文Word文件下载.docx
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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,
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.
developsastructuralmodelofinventories,spotprices,andfuturespricesthatexplicitlyconsiderstheroleofvolatilityandestimatesthemodelwithdailyandweeklydataoncrudeoil,heatingoil,andgasolineduringtheperiod1984–2001.Weeklyvolatilitiesareestimatedassample
standarddeviations
ofadjusteddailylogchangesinprices.
findsthatspotprices,inventories,and
convenienceyield
donotcausevolatilityincrudeoilandthusconcludesthatvolatilityisanexogenousvariable.However,healsofindsthatthemodelperformspoorlyforthecrudeoilmarket.Forheatingoil,changesinvolatilityinfluenceconvenienceyieldsand,toalesserextent,inventories,buttheeffectsarenotlarge.Thereisnostrongevidenceofsucheffectsinthecrudeoilandgasolinemarkets.Furthermore,althoughchangesinheatingoilvolatilitycanhelpexplainchangesinthespot-futuresspread(convenienceyield),itdoesnotexplainthespotpriceitself.
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.
examinestherelationshipbetweentheglobalcrudeoilmarketandU.S.fuelconsumption.HefindssignificantoilpriceeffectsassociatedwithshiftsinU.S.gasolineconsumption.
developandestimateamodeloftheoilandgasolinemarketthatreflectstheunderlyingpremisethat“demandfromcrudeoilisderivedfromthedemandforoilproductsthatitisconvertedto”(p.3).Themodelincludesbothoilandpetroleumproductinventories.Theauthorsfindthatglobalfueldemandisinelasticwithrespecttocrudeoilprices.
3.
Refineryoutages,weather-relatedfactorsandproductprices
FocusingonweeklywholesalegasolinepricesintheUnitedStatesfromJanuary2002toSeptember2008,
KendixandWalls(2010)quantifytheimpactofrefineryoutageson
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
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