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页岩气开采技术的大规模应用增加了非常规天然气供应潜力,对国际天然气市场供需格局产生了较大冲击。本文利用带结构断点的协整检验、时变系数模型和条件误差修正模型等方法系统地研究了天然气价格与原油价格的动态关系,以及库存、天气和投机等短期因素对气价变化的影响。结果显示,国际天然气价格与原油价格间的协整关系在2005年飓风季与2008年金融危机期间发生了结构性变化,而且原油价格对天然气价格的影响强度呈现倒U型结构。此外,极端天气、突发性事件及投机等短期因素对气价存在显著的短期影响。不过,随着天然气供应出现过剩局面,天然气价格对这些短期因素的敏感性已大幅降低。
The large-scale application of shale gas mining technology has increased the potential of unconventional gas supply and has had a big impact on the supply and demand pattern of the international natural gas market. This paper systematically studies the dynamic relationship between the price of natural gas and the price of crude oil using the cointegration test with structural breakpoints, time-varying coefficient model and conditional error correction model, as well as the effect of short-term factors such as inventory, weather and speculation on gas price changes . The results show that the co-integration relationship between international natural gas prices and crude oil prices has undergone structural changes during the hurricane season in 2005 and the financial crisis in 2008, and the effect of crude oil prices on natural gas prices has an inverted U-shaped structure. In addition, short-term factors such as extreme weather, unexpected events and speculation have a significant short-term impact on gas prices. However, with an excess of natural gas supplies, the sensitivity of natural gas prices to these short-term factors has drastically reduced.