4.2. 1. 1 market demand
In recent years, due to the sustained and steady growth of the international economy, the demand of the international oil market has continued to rise on the whole, which has formed a long-term huge support for the rapid rise of oil prices. It started to rise from about $30/barrel in 2003, broke through 100/barrel in early 2008, and kept all the way, and soared to the highest record of 147/barrel in mid-July 2008. From mid-July to the second half of 2008, the expectation of slowing down the international economic development, slowing down the growth rate of oil demand, or even absolute decline frequently appeared, which led to the fluctuation and decline of international oil prices, and fell below the historical peak of $30/barrel at the end of 2008.
Looking into the future, because the development momentum of emerging economies is still strong, the growth of oil demand still has momentum (Figure 4. 1), while the development of oil alternative energy is slow; On the other hand, the shadow of the global economic and financial crisis is difficult to recover in the short term. Therefore, the risk of oil demand will be a long-term pressure on the international oil market.
Figure 4. 1 Growth trend of international oil consumption
(According to EIA)
4.2. 1.2 market supply
With the development of international economy, the demand for oil is rising, while the supply capacity of the oil market is growing slowly and the adjustment space is limited. Especially since 2003, the surplus capacity of the Organization of Petroleum Exporting Countries (OPEC), as the main force in the international oil supply market, has jumped from about 2 million barrels per day to 4.33 million barrels per day in 2009, and it is estimated that 20 10 and 20 1 1 will exceed 5 million barrels per day. It provides many hype topics for traders in the oil market, especially hedge funds, such as geopolitics, hurricane influence, military conflict and so on. These all affect the fluctuation of oil price through the oil supply situation, which brings obvious uncertainty to ensure the income of oil investors.
In 2007, OPEC countries accounted for 43% of global oil production, and non-OPEC countries accounted for 57%. Judging from the growth rate of world oil production in recent years, the output of OPEC countries has grown slowly in recent years, and the growth rate has been declining. In 2007, there was even a year-on-year decrease of 1.2% (Figure 4.2).
Figure 4.2 Comparison of World Oil Production Growth Rate
(According to BP's 2008 statistical report)
As shown in Figure 4.3, by 2009, according to the SEO forecast report released by EIA in August 2008, the oil output of the Organization of Petroleum Exporting Countries will drop to 310.6 million barrels per day; However, the overall production capacity of O PEC will show an upward trend. Therefore, the surplus capacity of the Organization of Petroleum Exporting Countries will increase to 4.33 million barrels per day in 2009. However, compared with the high and steady growth of oil demand, the power of overcapacity is very weak, and the international oil market will maintain a fragile balance for a long time (Figure 4.4).
Figure 4.3 0PEC Remaining Capacity
(According to EIA)
Figure 4.4 World Oil Production and Consumption
(According to BP's 2009 statistical report)
In addition, the geological conditions of petroleum resources will become more and more severe in the future, the technological innovation of petroleum development will progress slowly, and the exploitation cost will increase obviously, so it is difficult to realize the desire of greatly improving the oil supply capacity in the short term, and the international oil market will also bear the supply risk for a long time.
4.2. 1.3 speculative shocks
Looking back at the last round of oil price rise, the most prominent feature is the speculation of speculative funds. In 2007, the US stock market and property market fell into a continuous downturn due to the subprime mortgage crisis. As the currency of international crude oil futures trading, the dollar continued to depreciate, and a large number of speculative funds were transferred to the commodity futures market, which led to a sharp rise in global commodity futures prices, with crude oil prices bearing the brunt.
The continuous growth of oil demand and the shortage of excess capacity are the main reasons for speculative funds to speculate on oil prices. When people expect that the excess capacity cannot meet the future demand growth, they will buy more oil prices and use hedging to avoid the risk of high oil prices, so oil prices will naturally rise. In June, 2008, a report of Commodity Futures Trading Commission (CFTC) showed that the amount of money hoarded in the futures market at that time was as high as $260 billion, while in 2003 it was only 1/20. Of which pure speculation accounts for 7 1%.
As shown in Figure 4.5, from the perspective of oil futures positions, in 2003, the total oil futures positions of NYMEX Exchange in the United States were 542,000 lots/day; Since then, these positions have continued to rise. By 2007, the total positions reached 1, 386,5438+0,000 lots/day, an increase of 1.5 times, with an average annual growth rate of 23. 1%. During this period, the price of NY M EX crude oil futures fluctuated and hit record highs, rising from 3 1.0 USD/barrel in 2003 to 88.9 USD/barrel in 2007, up by 1.9 times, with an average annual growth rate of 30.2%. In 2008, the historical high price of 140.97 USD/barrel appeared.
Figure 4.5 the New York Mercantile Exchange Oil Price and Number of Open Contracts
(According to EIA and CFTC)
According to the historical data provided by CFTC, the ratio of oil price to positions held by non-commercial traders on NYMEX Exchange is shown in Figure 4.6. We find that, on the one hand, in the NYMEX oil futures market, although the proportion of commercial traders' positions is still higher than that of non-commercial traders' positions, the proportion of commercial traders' positions is shrinking, while the proportion of non-commercial traders' positions is rising, gradually narrowing the gap between them. It can be seen that in recent years, the signs of speculative power in the international oil futures market are obvious; On the other hand, the oil price is negatively correlated with the overall trend of commercial traders' positions, while it is positively correlated with the overall trend of non-commercial traders' positions. To some extent, this shows that speculative trading is an important support that cannot be ignored in the rise of oil prices since 2003.
Figure 4.6 Oil price ratio held by non-commercial traders in the New York Mercantile Exchange.
(According to EIA and CFTC)
In the oil futures market, speculators' transactions are divided into position speculation and arbitrage speculation (referring to intertemporal arbitrage). Judging from speculative trading in positions, in recent years, generally speaking, bulls are positively correlated with oil prices, while bears are often negatively correlated with oil prices. Generally speaking, both bulls and bears are fluctuating upward, which is consistent with the oil price (Figure 4.7).
Figure 4.7 International oil prices and positions of non-commercial traders
(According to EIA and CFTC)
From the relationship between oil price and arbitrage speculation, it is found that arbitrage position is closely related to oil price and the pace is quite consistent. In recent years, both of them have shown an obvious growth trend (Figure 4.8).
Figure 4.8 Oil prices and arbitrage positions of non-commercial traders
(According to EIA and CFTC)
4.2. 1.4 exchange rate impact
International oil transactions are mainly denominated and settled in US dollars, so the fluctuation of US dollar exchange rate has a significant impact on oil price fluctuation. In order to investigate the interaction between the international oil market and the dollar exchange rate market, we adopt the nominal price, that is, the market transaction price.
From the perspective of market transactions, WTI oil price is one of the most important representatives of international crude oil prices in the international oil market. We use the daily spot price data of WTI crude oil in USD/barrel, and the data comes from EIA. In the dollar exchange rate market, because the exchange rate transaction between the euro and the dollar is the largest part of the dollar exchange rate transaction and even the whole international exchange rate transaction, we choose the nominal spot exchange rate between the euro and the dollar as the research object, which is also daily data, from the Federal Reserve Board (Fed).
Since the summer of 2005, the fluctuation of international oil prices has been greatly influenced by non-market factors such as geopolitics and hot money speculation. Therefore, in order to avoid the interference of non-market factors as much as possible and quantitatively analyze the interactive relationship between oil price fluctuation and US dollar exchange rate fluctuation from the market perspective, we choose 65438+20001October 4 to 3 1 and May 2005 * * 1342 samples for price trend analysis.
Figure 4.9 Trend of international oil price and US dollar exchange rate
(According to EIA and Federal Reserve)
Generally speaking, in 2000-2002, oil prices fell as a whole and the dollar continued to appreciate; But since 2002, the situation has changed, oil prices have continued to rise, and the dollar has depreciated all the way. It can be seen that there is basically a consistent trend between the international oil price and the US dollar exchange rate, with a strong correlation coefficient of 0.78.
In order to further calculate the impact of the exchange rate of the euro against the US dollar on the oil price, the WTI international oil price from the beginning of 2000 to the end of June 2008 was calculated in US dollars and euros respectively (Figure 4. 10). The results show that if the price of oil is denominated in euros, the whole price should fall since 2003. It can be seen that the continuous depreciation of the US dollar in these years has obviously boosted the rise of oil prices.
Figure 4. Relationship between10 oil price and US dollar exchange rate
(According to EIA and Federal Reserve)
4.2. 1.5 Major emergencies in the oil market
Major events in the international oil market often affect the supply and demand of oil, and then cause oil price fluctuations. Therefore, when analyzing the fluctuation law of international oil price and market risk, we can't ignore the consideration of major events. Since 1970, the major events in the international oil market are shown in Figure 4. 1 1, in which the oil price is a nominal price. Please refer to the appendix for specific events.
Figure 4. Major events in the international oil market since11970.
(According to EIA)