Research On Structural Change And Evolution Process Of Price Driving Mechanism In Petroleum Market

Since2000, the international oil market has undergone significant changes. Before the outbreak of the global economic crisis in2008, the global economy presented the trend of rapid growth, which led to the constant growth of global oil demand. The capacity utilization of Organization of the Petroleum Export Countries—OPEC rose to an unprecedented level. And the control power over oil price declined constantly. Because of booming international trade and the information technology revolution, world oil markets have been gradually unifying into a global market. Second, the oil markets are becoming increasingly related to the macroeconomic and financial markets, exhibiting a prominent financial attribute. Oil prices are no longer fully subject to the impact of the supply and demand relationship, but are determined by many factors as a financial concept, of which the supply and demand fundamentals are merely one of many fundamentals affecting the oil price. Therefore, in this paper, we investigated the evolution of the oil market price mechanism, as well as different driving factors of oil prices under different market mechanisms by means of the tools of structural change model, co-integration, Granger causality test method, regime switching model. We performed a series of research work for oil price and related affecting factors. This paper mainly completed several work as follows:(1) Establishing the general analytical framework of oil market based on structural change theory of market mechanism. Under the framework, we assume that the main factor affecting oil price could be different in the different market mechanism, and mainly consider two kinds of factors:Supply-demand fundamental and financial attribute of oil product since2000. We examine the relationship of these two kinds of factors in the different market mechanism under this framework.(2) Examining the structural change features and exploring the law of oil price fluctuation by means of structural change test tools and monitoring methods.(3) Examining the evolution process of market mechanism and the main affecting factors of oil price in the different mechanism based on structural change model and multifactor model.(4) Investigating the regime switching feature of international oil price since2000based on regime switching model, and oil price fluctuation feature.(5) Investigating the effect of speculative factor on oil price changes under different structural change period based on multiple factor model and Granger Causality Test.(6) Analyzing quantitatively the accident probability risk during the oil field development stage based on accident tree simulation method.This paper gets the conclusion as follows:firstly based on endogenous structural change model, this paper finds that the oil market mechanism undergoes three great market adjustment process, which correspond to March12,2004, July4,2008and April26,2010and divide the oil market into four different stages.Secondly, based on structural change model and Markov regime switching model, this paper finds the obvious structural change feature in petroleum market. In the different structural change period, the fluctuation way of oil price and the causes which lead to structural break points are different.Thirdly, through the judgement and monitoring of structural change points, this paper finds the oil price has price mean shifts for four times. The former two shifts are related to the war and petroleum crisis and are attributed to the reason of oil supply side. The latter two shifts are tightly related to the economic fundamental and could be attributed to the reason of oil demand side, which show that OPEC is difficult to completely control the oil price like1970s and1980s.Fourthly, this paper finds that before the outbreak of financial crisis in2008, speculation was the important factor affecting oil price change, and the explanatory ability of the model (R2) increased significantly. The Granger causality test shows that during this period speculation was the Granger cause of oil price return rate in oil future market rather than oil spot market. After the outbreak of financial crisis in2008, the results show that speculative fund withdrawed the oil future market in the initial period (July4,2008—April26,2010), but with the recovery of global economy gradually the speculative fund returned the oil future market again. But at this time, the speculative traders became the follower of oil priceFively, this paper described the mechanism of the accidents using fault tree analysis (FTA), and then made use of Bayesian method; The results show that the method could effectively reduce the uncertainty arisen from limited sample data and judge difference from experts.The innovation points of the paper are as follows:firstly, this paper characterizes the oil market price, and investigates the structural change feature and the monitoring issues, and the evolving process of oil mechanism based on the oil fundamental and global economic growth. Secondly the paper makes clear the main driving factors and the influence way and extent in the different market mechanisms. Thirdly by comparing the regression analysis and Granger causality test, the paper makes clear the role of speculation on oil price before and after the financial crisis. Forthly, this paper proposes the accident probability measurement method during the oil and gas field development stage and partly make up for the default of the lack of actual accident statistics.