| 摘要 |
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Since 2003, international oil prices fueled. Emerging economies such as China's oil demand and insufficient increase of oil supply capacity in oil producing countries are the story that mainstream economists have provided. For many years tightness of the international oil supply and demand situation is the key explanatory variables. Putting weight on the supply and demand side explanation are most economists typically Krugman (2008), Hamilton (2009), Kilian (2008).
The surge in trading volume of oil futures markets, changes in the dollar value, energy size increase due to expanding international financial and capital market factors that affect volatility in international oil prices have emerged as main reason for extreme oil price unstability from financial fields. Therefore needs to analyze international oil market linked with financial markets is spreading. However, studies to explain oil prices with financial factors, expecially such as derivatives, are at superficial level at best. To determine relationships between oil prices and financial factors, authenticity of the finatialization should be clear explained by more systematic and empirically methods.
Therefore, this study uses widely accepted empirical methodologies to look at whether the international oil market financialization is real and to test relationship of international oil prices and major financial and capital market variables.
In this report, the financial parameters of the empirical analysis and statistical correlation between crude oil were investigated. The selected financial variables to represent the U.S. dollar exchange rate, the capital of the U.S. stock market, and the degree of overheating of the oil futures market, net buying by traders, are accepted in this study. The shortest period possible for each variable, daily exchange rates and stock prices, weekly net buying of oil futures trading market a weekly (weekly) is used.
The biggest achievement of this paper is that the U.S. stock price index and the U.S. dollar exchange rate show statistically significant relationship with oil prices in the long term as well as in the short-term. In particular, the fact that the oil boom years showed a negative correlation between the dollar value and oil prices is very suggestive to the uncertain global economic situation today.
Supply and demand fundamentals of oil markets in mid-term outlook would not be favorable. Global-scale economic stimulus packages are in effect to recent economic recovery but still the banking industry's bad bonds linked to the collapsed US housing market put a heavy pressure on global economy. From the standpoint of the oil producing countries, with uncertain future to invest, prefers to wait enjoying current "moderately high" oil prices and see how the world economy goes. Thus, assuming the global economy does not experience a double dip, a gradual recovery of oil demand would rase oil prices in the future.
In terms of dollar value, future is not bright. In G20 summit scheduled for November this year, the exchange rate is expected to be a main issue. Traditionally, the U.S. current account balance maintains deficit and in order to stimulate economic growth they have to print dollars more unless inflation issue come out. In this respect dollar value would fall in the future. The dollar value decline will lead to a rise in oil prices. When supply and demand disturbances occurs the future oil price volatility can be even larger. As noted earlier, in terms of supply and demand fundamentals are expected to tight for a several years. Prediction of the dollar value declining indicates oil price rise. Oil prices and the stock price correlation showed negative correlation indicates that inflow of funds from financial sector seems to continue as global economy goes sluggish. |
