| Abstract: | 隨著國際金融市場的開放，能源交易日趨盛行且各項能源各有其主要交易市場，例如:石油市場可分為歐洲布蘭特原油、美洲的西德州中級原油和杜拜原油三大原油價格市場，天然氣和煤炭也可分成歐洲、美洲和亞太市場，各自具有相當大的透明度，也是各地區能源價格相當重要的價格指標。因此三大能源價格可能不像以往的趨勢是亦步亦趨的。
本研究旨在探討石油、天然氣和煤炭價格之間的關聯性。透過各項時間序列分析，以檢定國際能源價格是否有共整合現象，形成長期均衡關係，本研究期間為2006年8月至2014年11月之月資料，分別從區域別、能源別的角度檢測與分析，推知國際能源價格的演化。
區域別之估計結果顯示，歐洲、美洲與亞太地區的原油、天然氣和煤炭價格之間顯示有長期的關係存在，表示價格之間有互相影響的關係。而在能源別價格方面，三區域的原油及煤炭指標價格間也發現有存在長期的共整關係。最後本研究也進行誤差修正模型之分析，而發現價格受衝擊時，也可透過調整彼此價格而回歸長期均衡關係。
The liberalization of international financial market brings more energy trade in the world, and every energy fuel in different areas has its own trade market such as the crude oil markets of Brent in Europe, WTI in America, and Dubai in Asia. Similarly, the trade of natural gas and coal can also be separated as the market in Europe, in America, and in Asia. With the high trade transparency of these markets, their market prices are then turned out to be the benchmark price of the representative areas.Since the influential factors may not be the same in different areas, it is more likely to find different price path, which is deviated from those consistent price path as we observed before.
The study would like to investigate the price correlation among the crude oil, the natural gas and the coal. We examine their cointagration relationship for capturing their long term relationship. Our monthly data is ranging from August of 2006 to November 2014.
Our empirical results show that there are long term relationship among crude oil, natural gas and coal no matter in the area of Europe, America, or in Asia. Similarly, there are long term relationship among Europe, America and Asia, no matter in the crude oil market, the natural gas market, or in the coal market. Finally, we also implement the error correction model and find all above prices can return to their long term relationship by price adjustment process. |
