股票與油價之關係 (1)

The relationship between stocks and oil prices- 股票與油價之關係 (1)

   

The past decade has been a roller coaster for oil prices, one that market participants have probably not much enjoyed riding (Figure 1). The period includes much volatility and two sharp crashes. One crash, in 2008, was associated with the financial crisis and the Great Recession. The second may still be going on: Oil prices have fallen from over $100 per barrel in mid-2014 to around $30 per barrel recently.

過去十年石油價格一直像雲霄飛車一樣，這是一個市場參與者，有可能並不太喜歡乘坐的(圖 1)。這段期間包括巨大的波動性和兩個尖銳的衝撞。2008 年的那一次衝撞，是與金融危機和經濟大蕭條有關。第二次可能仍在進行中: 油價從2014 年中期的每桶100 美元跌到最近約 30 美元。

Stock prices have also been falling recently, and these moves have generally followed the course of oil prices, a development much commented on by the financial press (for example, see here and here). On the surface, the tendency for stocks to fall along with oil prices is surprising. The usual presumption is that a decline in oil prices is good news for the economy, at least for net oil importers like the United States and China.[1]

股票價格最近也一直下跌，在這些舉措通常一直跟在油價之後。這個發展常被財經媒體所評論(例如, 見在這裡和這裡)。表面上看，股票隨著油價下跌的趨勢是令人驚訝。通常的假設是，石油價格下降對於經濟是個好消息，至少對石油淨進口國家，如美國和中國而言。[]1

One plausible explanation of the tendency for stocks and oil prices to move together is that both are reacting to a common factor, namely, a softening of global aggregate demand, which hurts both corporate profits and demand for oil. As a recent Wall Street Journal article put it: “Oil and stock markets have moved in lockstep this year, a rare coupling that highlights fears about global economic growth.”

股票和油價一起變動的趨勢的一個合理解釋是，兩者都反應到一個共同的因素，即全球總需求的軟化，它傷害了企業利潤和對石油的需求。像最近華爾街日報 文章說的那樣:" 今年的石油和股票市場已經停在原地，這一項罕見的耦合，突出了對全球經濟成長的擔憂"。

In this post we first confirm the positive correlation between stocks and oil prices, noting that it is not just a recent phenomenon. We then investigate the hypothesis that underlying changes in aggregate demand explain the oil-stocks relationship. We find that an underlying demand factor does account for much of the positive relationship, and that if, in addition, we account for shifts in market risk preferences, we can explain still more. However, even with these two factors included, a significant part of the oil-stocks correlation remains unexplained.

在這篇文章中，我們首先確認股票和油價的肯定相關性，並注意到，它不只是最近的現象而已。然後，我們調查這個假設-總需求的基本變化，解釋了石油與股票的關係。我們發現潛在的需求因素，的確說明大部分的正面關係。而且此外，如果我們能解釋市場風險偏好的變化，我們就可以解釋更多。然而，即使有這兩個因素包在內，石油股票相關性有意義的部分仍然原因不明。

To set the stage, let’s look at the raw correlations of (the percentage changes in) stocks and oil prices.  Using daily data, my research assistant Peter Olson and I calculated those correlations for the past five years (Figure 2 below). To capture short-term variations, we estimated correlations using a rolling window of 20 business days. 

為了便於清楚瞭解，讓我們看看股票和石油價格(百分比變化) 的概略關係。 (下面的圖 2) 過去五年我和我的研究助理彼得 · 奧爾森使用日常資料，計算了這種相關性。為了捕捉短期變化，我們預計使用 20 個工作日滾動視窗的相關性。

The impression from Figure 2 is that the relationship between stocks and oil is itself volatile, with the correlation between the returns to stocks and to oil swinging between positive and negative values. In other words, sometimes the prices of stocks and oil move in the same direction, sometimes in opposite directions. On average, however, the correlation is positive (stocks and oil move in the same direction).  Interestingly, although the correlation has ticked up in the past few months, it has not been unusually high recently, compared to the rest of the five-year sample.

從圖 2 顯示股票與石油之間的關係是本身變化不定，股票和石油的投資回報之相關性，而此回報有正負值之間來回的變動。換句話說，有時股票和石油的價格朝相同方向移動，有時朝相反的方向。然而，平均來看，這相關性是正面的 (股票和油價移動方向相同)。 有趣的是，雖然在過去幾個月的相關性已經開始小幅上升，但與其餘的五年例子相比，最近通常一直不高。

As we mentioned earlier, the positive correlation of stocks and oil might arise because both are responding to underlying shifts in global demand. For a simple test of that hypothesis, we apply a decomposition suggested by James Hamilton, a macroeconomist and expert in oil markets at the University of California-San Diego. In a post from the end of 2014, Hamilton proposed estimating an equation relating changes in oil prices to changes in copper prices, changes in the ten-year Treasury interest rate, and changes in the dollar, then using the value of the oil price predicted by that equation to measure the effect of demand shifts on the oil market.[2] The premise is that commodity prices, long-term interest rates, and the dollar are likely to respond to investors’ perceptions of global and US demand, and not so much to changes in oil supply. For example, when a change in the price of oil is accompanied by a similar change in the price of copper, this method concludes that both are responding primarily to a common global demand factor. While this decomposition is not perfect, it seems reasonable to a first approximation.

正如我們剛才所說，股票和石油的正面關係可能出現，因為兩者都回應全球需求的根本轉變。為了一個簡單的測試該假設，我們應用建議宏觀用的James 漢密爾頓的分解方法，他是加州大學 San Diego的石油市場專家。在從 2014 年年底後，漢密爾頓提出了估計方程，在石油價格與銅價價格的變化有關的，在十年期國債利率的變化和美元變化，然後使用由平均值預測的油價來衡量，需求變化對石油市場的影響。[2] 的前提是商品價格、 長期利率和美元，很可能反應出全球投資者的看法和美國的需求，而較少反應出油料供應的變化。例如，當油價的變化伴隨著銅價類似的變化，這種方法得出結論，是兩者主要回應了一項共同的全球需求要素。雖然此項分解不完美，但似乎對第一個首項的近似值是合理的。

未完


 作者 Ben S. Bernanke- (柏南克-前美國聯邦儲備銀行理事主席)

Justin Lai  編譯

03/28/2016