بررسی وجود پدیدة بازگشت به میانگین و پیش‌بینی قیمت‌های نقدی گازطبیعی با استفاده از مدل اورنشتاین-اوهلن‌بک

اقتصاد پولی مالی

مقاله 6، دوره 25، شماره 16، آبان 1397، صفحه 159-200   

نوع مقاله: پژوهشی

شناسه دیجیتال (DOI): 10.22067/pm.v25i15.57467

نویسندگان

نرگس صالح نیا^{* 1}؛ احمد سیفی²؛ محمد علی فلاحی²؛ محمدحسین مهدوی عادلی²

¹دانشگاه فردوسی مشهد

²فردوسی مشهد

چکیده

هدف از این مقاله، اثبات وجود پدیدة بازگشت به میانگین، برآورد مدل بازگشت به میانگین اورنشتاین-اوهلن‌بک (OUMRM) و پیش‌بینی قیمت‌های نقدی گاز طبیعی بر اساس داده‌های هنری هاب در دوره زمانی 07/01/1997 تا 20/03/2012 است. استفاده از انواع آزمون‌های بازگشت به میانگین مانند ریشه واحد، ضرایب خودهمبستگی و ... نشان می‌دهند که سری‌ بازده‌ مورد بررسی از یک فرآیند گام تصادفی پیروی نمی‌کند. همچنین مقدار میانگین بلندمدت تعادلی قیمت برابر با 16/4 دلار بر هر میلیون بی‌تی‌یو بوده و به طور متوسط 48 هفته طول می‌کشد تا شوک‌های وارد شده بر قیمت‌های نقدی گاز رفع شود. به دلیل شفافیت و سیالیت بیشتر اطلاعات و نیز وجود رقابت بیشتر در بازارهای گاز در سال‌های اخیر هر چه به دوره‌های اخیر‌تر رجوع شود سرعت بازگشت به میانگین بیشتر شده که بیانگر رفع سریع‌تر انحرافات ناشی از شوک‌های وارد شده به بازار بوده و مقدار بالاتر میانگین تعادلی بلندمدت در دوره-های اخیر نشان دهندۀ آن است که سرمایه‌گذاران و مبادله‌گران انتظار انتقال رو به بالای قیمت‌های گاز در بازار را دارند و تلاطم قیمت در قیمت‌های بالاتر از میانگین بیشتر از قیمت‌های پایین‌تر از میانگین است. در نهایت، مقادیر معیارهای ارزیابی عملکرد و مقایسة آن‌ها برای تعداد اجراهای مختلف تصادفی نشان می‌دهد که نتایج مربوط به میانگین 1000 اجرا دارای بهترین مقادیر است.

کلیدواژه‌ها

گاز طبیعی؛ قیمت نقدی؛ بازگشت به میانگین؛ مدل اورنشتاین-اوهلن بک

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