| Because international crude oil trade was usually settled by international crude oil spot price,the studying of international crude oil spot price bubble is one of hot topics under the background of international crude oil spot price violent fluctuation.There are two shortcoming of existing research of international crude oil price bubble.One is only involves international crude oil futures prices doesn't involve spot price.Another is only empirical tests the relationship between financial speculation and international crude oil futures prices doesn't study the forming mechanism of international crude oil price bubble.In theory,the futures price can price discovey future spot prices,and there is an interaction between the futures price and spot price.Thus,in the angel of interaction between international crude oil futures price and spot price,it is necessary to make further mechanism studying to reveal whether international crude oil futures prices discovery spot price which include bubbles.Because of this,the paper use international crude oil convenience yields as measure variables of international crude oil futures and spot price interaction relationships to make deep research of above problem.First,the paper empirical tests the existence of the interaction between international crude oil futures and spot price and constructs a cobweb model between them.Secondly,after proving the international crude oil financial attributes,the paper on the one hand constructs a international crude oil futures market positive feedback trade model which reveals financial speculator manipulates international crude oil futures price using the behavioral finance theory;On the other hand,the paper empirical tests the existence of international crude oil spot price bubble using the asset price bubble theory.Thirdly,the paper analyzes why the international crude oil futures and spot price interaction can cause the spotprice bubble using conclusions of above positive feedback trade model and international crude oil market interaction cobweb model.Finally,this paper empirical tests the impact of the international crude oil spot price bubble on China's economy growth.The research not only reveal the mechanism that interaction between international futures price and spot price can lead to spot price bubbule,enrich the futures warehousing theory and crude oil finance theory,but also can provide theoretical guidance for the enterprise avoiding international crude oil spot price bubbles risk.The paper carries out innovative work and draws following main conclusions.First,the paper finds international crude oil owns different attributes in the different sample period.Basing on the price volatility is the foundation of the price bubble formation and international crude oil spot price volatility is different in every sample period,the part carries out research which overcomes existing research shortcoming that seperates the demand and supply analysis from financial speculation analysis,therefore,in theory,the paper integrated applies the futures warehousing theory and crude oil finance theory to study the international crude oil price bubble.In particularly,after dividing the sample into four periods,by means of using international crude oil convenience yield's option characteristics and the influencing factors empirical analysis,international crude oil convenience yield to empirical tests international crude oil financial attribute,the paper comes to conclusion that international crude oil owns evident financial attributes in the sample stage1,owns physical commodity attributes in the sample stage 2 and 4,and owns weak financial attributes in the sample stage 3.The reaearch conclusion of the part shows that the comparsion results between demand supply and financial speculation which determineds international crude oil price decides international crude oil attributes in the different sample periods,and enrichs and develops the relevant contents of international crude oil convenience yield which indicates the interaction between international crude oil futures price and spot prices.Secondly,the paper finds the mechanism of interaction behavior among international crude oil futures market trader and financial speculator of the international crude oil futures market manipulates the futures price.Baing on the view that international crude oil futures price discovery spot prices and the nature of international crude oil financial attribute is international crude oil price was determined by financial speculation,the part carries out research and overcomes the exising research shortcoming which pays attention to emipirical test but neglects mechanism research,and in throry,puts forwards introducing the hedger,relaxing hypothesis that the number of the positive feedback trader equals the rational traders to construct the positive feedback trade model of international crude oil futures market.In particular,the paper uses the behavioral finance theory to reveal the change of demand and supply in internationalcrude oil spot market is the foundation that the rational speculator manipulates the futures price.Because rational speculator and hedger are on the contrary in the impact direction of the international crude oil futures prices,therefore,the number of passive investor becomes a weight which determines whether rational speculator can determined international crude oil futures prices.If the rational speculator dominates the international crude oil futures prices,it will make use of positive feedback effect which was formed from international crude oil futures market positive feedback trader to strengthen manipulating the price.As result,the international crude oil futures price will keep rise.Thirdly,the paper finds that although international crude oil futures market owns the form of price disvovery,the interaction between international crude oil futures price and spot price can give rise to different degree spot price bubbles under the different international crude oil attributes,because of international futures market existing financial speculation.Basing on reflecting international crude oil futures price discovery result,the part carries out research and overcomes existing research shortcoming which only empirical tests the existence of futures price discovery,neglects thinking its result.In theory,the paper puts forwards to study international crude oil spot price bubble in the angle of interaction between internation crude oil futures price and spot price.In particular,the paper first empirical tests the existence of international crude oil futures price discovery based on the first order moment and second moment.Second,constructs international crude oil convenience yield cobweb interaction model of international crude oil futures and spot price.Third,uses TAR model to empirical test the existence of international crude oil spot price bubble and its extent.Finally,uses international crude oil market cobweb interaction model to reveal the mechanism that the interaction between international crude oil futures and spot price producing the international crude oil spot price bubble.The research finds that because international crude oil owns financial attribute in sample stage 1,the interaction between international crude oil futures and spot price belongs to divergent cobweb at same stage,which leads more international crude oil spot price own bubble.Because international crude oil owns physical commodity attribute in sample stage 2 and stage4,the interaction between international crude oil futures and spot price belongs to convergent cobweb at same stage,which leads relatively fewer international crude oil spot price own bubble.Because international crude oil owns weak financial attribute in sample stage 3,the interaction between international crude oil futures and spot price belongs to closed cobweb at the same stage,in line with sample stage1,which lead more international crude oil spot price own bubble than sample stage 2 and stage 4,but its price bubble severity less than sample stage1.The reaearch conclusions of the part shows the impact of financial speculation on the result of international crude oil futures price discovery,enrichs and develops the relevant researchcontents of crude oil finance.Finally,the paper finds that the influence of international crude oil spot price bubble on China's economy growth was ultimately determined by the change of China's aggregate demand rather than international crude oil spot price.Basing on thinking the relation between international crude oil spot bubble and China's economy growth,the part carries out research and overcomes existing linear research shortcoming in method,in theory,put forwards to study above relation not only from aggregate supply but also from aggregate demand.Particularly,in the nonlinear perspective,the paper uses the STR model to empirical study the influence of international crude oil spot price bubble on China's economy growth.The paper finds that in the aggregate supply hand,the rising of international crude oil spot price will directly lead to a negative impact on China's economy growth because of cost change.But in the aggregate demand hand,fixed asset investment and money supply increase will stimulate aggregate demand in the same direction,which is greater than above negative impact.Therefore,there is same direction change relation between international crude oil spot price bubble and China's economy growth.The research conclusion of the part reveals the relation between international crude oil spot price bubble and China's economy growth,enrichs and develops the relevant research contents of international crude oil spot price bubble. |
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