A Study on the Impact of Shale Gas Supply to Ethylene Market

本研究使用時間序列模型進行實證分析，探討從油頁岩中取得之液態天然氣、石油、乙烯之間的價格波動關係，主要價格指標選用液態天然氣價格、西德州中級原油價格、乙烯價格，研究期間為2009年01月至2014年12月。研究目的主要了解石化市場加入新興能源液態天然氣對於原有的石油市場及大宗石化原料乙烯市場之衝擊，並了解液態天然氣、西德州中級原油、乙烯之間價格的相互影響能力。 首先共整合關係檢定結果發現，液態天然氣價格、西德州中級原油價格、乙烯價格之間具有長期均衡關係。再由Granger因果關係檢定，得知西德州中級原油價格對於乙烯價格變動趨勢具有預測能力，並且也發現乙烯價格對液態天然氣價格變動趨勢具有預測能力。 再藉由觀察預測誤差變異分析結果，西德州中級原油價格預測誤差以液態天然氣價格解釋比例佳，其10期後的解釋比例約為36%，而西德州中級原油價格預測誤差以乙烯價格解釋比例最佳，其10期後的解釋比例約為55%。此外，西德州中級原油價格對液態天然氣價格模型所產生之衝擊反應為正向影響，而西德州中級原油價格對乙烯價格模型所產生之衝擊反應則為負向影響。 實證分析得知，雖然乙烯價格波動會受到自身的變動影響，但西德州中級原油價格是影響乙烯價格波動的主要因素，並且乙烯價格波動會連帶影響液態天然氣價格變動。統計結果支持乙烯價格與液態天然氣價格之間波動存在關聯性影響。The research conducts empirical analyses by adopting time series model, and studies the relationship of price fluctuation among liquefied natural gas, petroleum, and Ethylene obtained from oil shale. Prices of liquefied natural gas (LNG) , West Texas Intermediate (WTI) and Ethylene from January 2009 to December 2014 are used as the main price reference. The primary purpose of the research is to find out the impact of adding newly developing LNG to petrifaction market to original petroleum market and petrochemical raw material markets for Ethylene, and to study the interactions of prices of LNG, WTMI and Ethylene. Firstly, it is observed by the Cointegration Test that approves the prices of LNG, WTI and Ethylene are in long-run equilibrium relationship. The results of the Granger Causality test are also supported that price of WTI has ability to predict future price fluctuation of Ethylene; and the price of Ethylene has predictive ability for price fluctuation of LNG. By means of observing result by forecast error variance decomposition, it is found that cumulative proportion of price of LNG is good for forecast tolerance of the price of WTI, and its cumulative proportion is about 36% after 10 periods, while cumulative proportion of price of Ethylene is best for forecast tolerance of the price of WTI, and its cumulative proportion is about 55% after 10 periods. In addition, the impulse response of price of WTI to price model of LNG appears positive impact, but the impulse response of price of WTI to price model of Ethylene appears negative impact. It is observed from empirical analysis that price fluctuation of Ethylene is influenced by change in itself, but price of WTI is the main factor that influence price fluctuation of Ethylene, and price fluctuation of Ethylene will also influence the price fluctuation of LNG. Statistical result supports that correlation impact are existing in fluctuation of price of Ethylene and price of LNG. Keywords: Liquefied Natural Gas, Ethylene Price, Impulse Response Function, Forecast Error Variance Decomposition，Vector Autoregressive Model第一章 緒論 ....................................1 第一節 研究動機與目的 ..........................1 第二節 研究流程 ................................5 第二章 文獻回顧 ................................6 第一節 產業概述 ................................6 第二節 石油價格波動相關文獻 ....................10 第三節 石化產業相關文獻 ........................13 第四節 時間序列模型參考文獻 ....................15 第五節 文獻總結 ................................16 第三章 研究方法 ................................21 第二節 結構性轉變檢定 ..........................21 第一節 單根檢定 ................................24 第三節 向量自我回歸模型與向量誤差修正模型 ...... 26 第四節 共整合檢定與 Granger因果關係檢定 ........28 第四章 模型設定與資料 ..........................33 第一節 研究估計流程圖 ..........................33 第二節 變數與樣本說明 ..........................34 第五章 統計結果與分析 ..........................39 第一節 結構性分析 ..............................39 第二節 估計檢定與實證結果 ......................41 第三節 實證結果小結 ............................61 第六章 結論與建議 ..............................64 第一節 結論 ....................................64 第二節 建議 ....................................65 參考文獻 .......................................6