Analysis on the Impact of Finical Market Factors to Fluctuation of Global Oil Price
Author:Zhang Zhi Nan
Supervisor:ou yang hong bing
Oil is the important strategic resource which greatly matters national economy and people’s livelihood.With the deeper degree of financialization for commodity,the financial pricing phenomenon for oil is more and more obvious.Therefore,financial market fluctuation has caused great impact on international oil market as well as the fluctuation of international oil price.It is important to research the financial factors’ function on international oil price fluctuation and mechanism together with channels,how do these factors affect international oil price.On the basis of reviewing the pricing mechanism of global oil price and oil price changes,this dissertation attempts to identify the general impact mechanism of financial factors to international oil price from aspects of factors such as money supply,speculation in financial market and exchange rate movement.Meanwhile,on one hand,Chinese factors have had gradually increased influence on the fluctuation of international oil price in recent years,the dissertation supposes channels of China financial market’s impact on international oil,including: Macro Economy Change Channel,Macro News Influence Channel,Financial Market Information Transfer Channel,Foreign Currency Market Expectation Channel and etc.On the other hand,concerning the relationship between the fluctuation of US dollar currency rate and international oil price is dynamic,the dissertation build a key mediating factor theory.All of these will provide more insightful analysis for the impact of financial factors in international oil price fluctuation.Through empirical research,this dissertation finds that:(1)Since 2000,financial factors represented by speculation impact,US dollar index and international monetary liquidity,have been vital reason causing the fluctuation of international oil price.Compared with fundamental factors for example,actual supply and actual total demand,the explanatory power of financial factors to the change of international oil change has been obviously enhanced and surpass fundamental factors after financial crisis in 2008,which indicates that financial market factors have become the key reason affecting the change of oil price.The increasing influence of financial market factors is related with the financialization trend of international oil market and the global financial market turbulence after 2008 financial crisis.(2)Before financial crisis,China stock market and the spot exchange rate of RMB did not have influence on international oil price.Whereas,the expected change of RMB exchange rate was remarkable.After financial crisis,the influence of China financial market factors has improved obviously.Among three Chinese financial factors,stock market’s explanatory power is largest,followed by RMB exchange rate expectation and spot exchange rate.But,compared with international financial market factors such as US stock market and US dollar index,the explanatory power and influence of Chinese financial market factors are still insufficient,there is much great enhancement space in the future.(3)The correlation between oil price and US dollar index is time-varying obviously since 1990.The reason of such time-varying is whether there is a key mediating factor which impacts both two market fluctuations simultaneously.Before the outbreak of financial crisis,the market expectation and hedging transaction strategy were the intermediary of the negative relationship between them.After the outbreak of financial crisis,the sentiment of financial market became intermediary.In other periods,the lack of common key factors causes a weak correlation.This dissertation shows that,in order to judge and forecast the price fluctuation of international oil rationally,investors not only have to concern the fluctuations of international and domestic financial markets,but also need to analyse macroeconomic environment carefully.