頁岩油產量對於國際原油價格報酬率之影響 -門檻多變量GARCH模型之應用-

Abstract

能源的充足與否對於人類一直是一項重大的議題，而美國大片頁岩層中之石油蘊藏量雖大，但過去受限於開採技術不成熟被認為沒有開採價值，但自21世紀以降，隨著水平鑽深與高水壓裂岩的技術漸趨成熟，使得開採頁岩層中的石油成為了可行且符合成本的辦法。頁岩油之產地主要集中於美國，本研究利用EIA(美國能源資訊協會)所公布之每年之頁岩油日均產量，並分別使用單變數GARCH模型及Cholesky分解之Matrix-diagonal模型，輔以TGARCH模型中槓桿效應之觀念，以估計西德州原油、布蘭特原油及杜拜原油報酬率之模型。 本研究實證結果顯示，由頁岩油所設置之虛擬變數於單變數GARCH中為顯著，但其於三變數之MGARCH模型中則顯示係數不顯著，其原因可能為頁岩油之產量相較傳統石油之產量仍太低，其對於國際石油價格之影響不大因此被模型中其他項所造成之影響取代，且受限於其資料為年資料，僅能設置虛擬變數以代表之。本研究透過門檻項、自我相關項及交叉相關項之設定，除了使各個GARCH模型之係數統計結果均顯著以外，且皆能通過殘差自我相關檢定。

Energy’s sufficiency is always one of the most important issues to human. U.S. always has a great deposit of oil shale, but extracting tight oil from it was too expensive due to lack of technology in the past. After 21st century, as the technology of horizontal well and hydraulic fracturing becoming more and more matured, it became practicable and cost-effective to extract tight oil from oil shale. Most of the production of tight oil in the world is in U.S., so it will be proper to use the data of U.S. tight oil production (million barrels per day) to represent the world shale oil production, and we get the data from EIA (U.S. Energy Information Administration). We run those data separately by using univariate GARCH model and Cholesky decomposition’s Matrix-diagonal multivariate GARCH model to estimate the model of West Texas Intermediate, Dubai, and Brent crude oil price’s return rate. The outcome models show that the dummy variable that we set for the tight oil production will be significant in the univariate GARCH model, but it is not the case in the multivariate GARCH model. Possible reasons may be the tight oil production is still too low compared to the conventional crude oil production, so its influence is too low and be replaced by the other variables; and the data of the tight oil is yearly so that we can only set a dummy variable to represent it. With the settings of threshold variables, self-correlated variables, and cross-correlated variables, the estimated GARCH model’s coefficients are all significant, and can all pass the autocorrelation test.