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Spillover of international crude oil prices on China's refined oil wholesale prices and price forecasting:daily-frequency data of private enterprises and local refineries

引用

Petroleum Science 2022年第3期19卷 1433-1442页

作者： Xun-Zhang Pan Xi-Ran Ma Li-Ning Wang Ya-Chen Lu Jia-Quan Dai Xiang Li School of Economics and Management China University of PetroleumBeijing 102249China Economics&Technology Research Institute China National Petroleum CorporationBeijing 100724China Key Laboratory of Oil and Gas Market Simulation and Price Forecasting China National Petroleum CorporationBeijing 100724China Institue of Energy Peking UniversityBeijing 100080China

Compared with retail prices of state-owned companies used in almost all existing studies,China’s refined oil wholesale prices of private enterprises and local refineries are more affected by the market and better reflect the real supply-demand *** the first time,this paper applies own-monitored dailyfrequency wholesale prices of China’s private enterprises and local refineries during 2013-2020 to derive spillover effects of international crude oil prices on China’s refined oil prices through the VAR-BEKKGARCH(vector autoregression-Baba,Engle,Kraft,and Kroner-generalized autoregressive conditional heteroscedasticity)model,and then tries to forecast wholesale prices through the PCA-BP(principal component analysis-back propagation)neural network *** show that international crude oil prices have significant mean spillover and volatility spillover effects on China’s refined oil wholesale *** in crude oil prices are the Granger cause of changes in refined oil wholesale *** the improvement of China’s oil-pricing mechanism in 2016,the volatility spillover from the international crude oil market to China’s refined oil market gradually increases,and the BRENT price variation has an increasing impact on the refined oil wholesale price *** PCA-BP model could serve as a candidate tool for forecasting China’s refined oil wholesale prices.

关键词： own-monitored daily-frequency data Refined oil wholesale prices Spillover effects VAR-BEKK-GARCH PCA-BP neural Network

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