【百家大讲堂】第87期：页岩革命及原油动态变迁

　　讲座题目：页岩革命及原油动态变迁（Shale Revolution and Shifting Crude Dynamics）

　　主 讲 人：吴留仁 教授（美国纽约市立大学巴鲁克商学院席坐金融教授）

　　时   间：2018年7月13日（周五）下午16：00

　　地   点：中关村校区国际交流中心406室

　　报名方式：扫描下方二维码

　　主办单位：研究生院、校友会办公室

【主讲人简介】

　　吴留仁，美国纽约市立大学巴鲁克商学院席坐金融教授。研究方向涵盖资产定价，期货期权定价，信用风险理论，利率期限结构理论，计量经济，及市场观微观结构。在国际顶尖金融经济杂志发表40余片影响深远的文章。特别在期权研究和应用方面，作为学术和业界权威，引领世界学术研究的主导方向。同时，吴教授一直工作在金融业界第一线，为投资银行（如摩根士淡利，加拿大皇家银行）作定价，风险管理；为数据分析公司（如 Bloomberg）作技术支撑，数据分析，过滤，和定价；为对冲基金和投资公司（如 Caspian Capital Management, Tudor, Automated Trading Desk）研发投资策略和风险管理。近几年 同合伙人共同创建了紧密结合计算技术，数据平台，和金融理论的量化对冲基金。

Professor Liuren Wu: Liuren is the Wollman Distinguished Professor of Finance at Zicklin School of Business, Baruch College, City University of New York. Liuren's major research interests include option pricing, credit risk and term structure modeling, market microstructure, and general asset pricing. During the past decade, Liuren has published over 40 articles, many of them in top finance journals such as the Journal of Finance, the Journal of Financial Economics, Review of Financial Studies, the Journal of Financial and Quantitative Analysis, Management Science, and Journal of Monetary Economics. Mr. Wu has worked extensively as consultants in the finance industry, including Bloomberg, Morgan Stanley, Royal Bank of Canada, and several fixed income, equity, and equity options hedge funds and market making firms. As a consultant, he has developed statistical arbitrage strategies, risk management procedures, and quantitative models for pricing fixed income and equity derivative securities. 

【讲座摘要】

　　原油价格变动对社会经济影响深远，但供给和需求的变动带来的影响完全不同。社会，企业都应甄别应对。本文提议一种新的期权分析模式，可用来及时，准确判定供给和需求变动对原油的动态贡献。分析表明，2008年前油价变动多有供给动荡引起，但之后需求动荡对油价的贡献开始占主导地位。2008年的金融危机引起一次大的需求震荡。之后的页岩革命更是改变了 原油供给的旧次序，降低的供给震荡，使需求变动成为主导。航空公司一直以来用石油期货对冲燃油成本变动。在需求主导的当下，应当减少对冲。

Oil price fluctuates in response to both demand and supply shocks. Major events and structural changes induce large variations in the intensity of the shocks and their relative contribution to the oil price movements. We propose a new methodology that allows timely identification of the shifting contribution from the two types of shock through a joint analysis of crude futures options and stock index options. Applying the methodology to historical data shows that crude futures price movements were dominated by supply shocks in the earlier half of our sample from 2004 to 2008, but have since become much more demand driven. The large demand shock following the 2008 financial crisis contributed to the start of this shift in the dynamics, while the subsequent rise of the shale revolution fundamentally altered the crude supply behavior.  The increasing U.S. shale oil production at a competitive cost has undercut the price-setting power of the OPEC, and lowered the OPEC's incentive to self-regulate its production. As a result of this dynamics shift, investors have shifted from being concerned with crude oil price hikes as a gauge of increasing production cost, to worrying about crude oil price declines as an indication of weakening demand. Identifying the time variation in the relative contribution of demand and supply shocks to crude oil prices can fundamentally improve the efficiency of fuel cost hedging decisions by heavy oil users such as the airline industry. We show that while hedging crude supply shocks can reduce bottom-line fluctuation due to fuel cost variation, hedging with crude futures becomes less desirable when its variation is mainly driven by demand shocks.