بررسی تأثیر ساختار بازار نفت خام دوبی و عمان بر روی نفت خام ایران در بازار آسیا

نوع مقاله : مقاله پژوهشی

نویسندگان

• سید عبداله رضوی ¹
• محمد باقر بیات ²

¹ دانشیار گروه اقتصاد و مدیریت دانشگاه صنعت نفت

² دانشجوی دکتری مدیریت قراردادهای بین‌الملل نفت و گاز، دانشگاه علامه طباطبایی، تهران، ایران

https://doi.org/10.22067/erd.2023.79779.1152

چکیده

هدف مقاله حاضر بررسی لایه‌های مالی بازار نفت دوبی شاخص بازار آسیا بر روی قیمت نفت خام‌های عمان و ایران است. در این راستا با استفاده از روش گارچ چند متغیره و داده‌های سری زمانی روزانه سال 19-2010 به بررسی تأثیر ساختار مالی بازار نفت آسیا بر روی قیمت نفت ایران پرداخته‌شده است؛ بورس‌های نفتی و عوامل تأثیرگذار بر ساختار مالی بازار نفت (کانتانگو و بکواردیشن) تأثیر چشم‌گیری بر قیمت نفت خام‌های شاخص و سایر نفت خام‌های بازار نظیر ایران دارند. نتایج نشان می‌دهد که رابطه منفی بین تأثیرات بازار سرمایه و قیمت نفت خام وجود دارد. کانتانگو بودن بازار و همین‌طور قیمت نفت خام‌های شاخص در تعیین قیمت نفت خام ایران تأثیرگذار است و رابطه منفی بین این متغیرها و قیمت نفت خام وجود دارد. علاوه بر تمامی موارد یادشده در تخمین‌ها به بررسی مواد دیگری ازجمله کیفیت نفت خام، موقعیت خرید و قیمت آتی‌های نفت خام شاخص برنت در و تأثیرات آن‌ها پرداخته شد که نتایج برآورد تخمین معادلات تأثیر مثبت این عوامل را بر تعیین قیمت نفت خام ایران نشان داده است.

کلیدواژه‌ها

• نفت خام ایران
• بازار آسیا
• نفت خام دوبی
• شاخص نیکی
• نفت خام عمان
• نفت برنت
• قیمت اسپات برنت
• قیمت آتی برنت
• ساختار کانتانگو و بکوارد

عنوان مقاله [English]

Investigation of the Impact of Dubai and Oman Crude Oil Market Structure on Iranian Crude Oil in the Asian Market

نویسندگان [English]

• Seyyed Abdollah Razavi ¹
• Mohammad Bagher Bayat ²

¹ Associate Professor, Department of Energy Economics and Management, Petroleum University of Technology, Tehran Faculty of Petroleum, Tehran, Iran.

² Ph. D Student of Management of Oil and Gas Contracts, Department Economic Law, Allame Tabatabaee University, Tehran, Iran.

چکیده [English]

 
1- INTRODUCTION
Financial markets and oil exchanges and their expectations play a major role in understanding oil price changes. To analyze and understand how crude oil prices change, it is important to pay attention to these markets. In IRAN, the International Deputy of National Oil Company determines the price of Iranian oil by using different pricing methods and mechanisms. One of the factors they use for pricing is the price of oil in the FOB Persian Gulf region, including the oil price of Dubai and Oman oil exchanges.
The current pricing models of Iran's crude oil prices in the East Asian market have not yet taken into account the role of stock exchanges and capital markets in price calculations. Current method of determination of the price of Iranian crude oil in Asia, it uses the price of index oil in the physical market and the price of index oil in the stock market of that region. This article examines the impact of the financial layers of the Dubai crude oil market on the price of Iranian crude oil and the extent to which the behavior of the price of Iranian crude oil in the Asian market affects the financial markets of Asia such as the Dubai Stock Exchange.
 
2- THEORETICAL FRAMEWORK
The Asian oil market is one of the largest markets in the world and the largest oil customers such as China, India, etc. are located in this region. Also, this market is one of the largest customers even in the condition of Iran's oil embargo, so investigating various financial factors and market structure of competitive and leading crude oil in the Asian market is one of the important issues in maintaining the country's oil market. If the country's oil price formula is developed based on the oil considerations of other competitors, it will have the characteristic of being competitive with other producers in this region. On the other hand, maintaining the market share in the Asian market depends on the price formula that takes into account the most considerations of the capital market (stocks in this region) along with the fluctuations in the price of crude oil indicators in this market.
 
3- METHODOLOGY
In this research, the multivariate GARCH method and daily time series data of 2010-2019 are used to investigate the impact of the financial structure of the Asian oil market on the price of Iranian oil.
 
4- RESULTS & DISCUSSION
The price of Iranian crude oil in the Asian market is dependent on the financial markets of Dubai index crude oil, and as expected, using the Brent market structure in the ICE exchange for the pricing of Iranian crude oil in the Asian market gives a wrong signal because the European crude oil exchange market has a significant effect on the price of crude oil. Iran has no market in the East and this is despite what is usually said in academic societies. On the other hand, due to the regional nature of the oil market, the price of regional crude oil influences the Iranian oil market, and the stock market has a regional effect on the price of crude oil.
 
5- CONCLUSIONS & SUGGESTIONS
In this research, three markets were examined; the Oil market, the Tokyo stock market and the Iranian crude oil market in the East Asia region. First, a shock is created in the stock market. With the effect of policy changes, market expectations are changed and price shocks are created in the stock market. The effect of turbulence in one market is transferred to other markets. Every shock in one market creates a positive impulse in another market. In other words, if the fluctuations in the futures market (Dubai Stock Exchange) increase, the price of Iranian crude oil will also increase in the market and have a positive effect on the fluctuations.
Based on the findings of this research, it can be stated that oil exchanges play an important, influential and positive role in determining the price of Iranian crude oil, and any fluctuation in the market structure of oil exchanges will cause fluctuations in the price of Iranian crude oil. Also, the price of Iranian crude oil in the Asian market is a function of the structure of the oil market (contango or backward).
The Ministry of Petroleum, especially the international affairs of the National Iranian Oil Company, should pay attention to the developments of the oil market regionally, the connection of the capital and futures markets in crude oil pricing, oil sales negotiations, marketing and conclusion of oil sales contracts. Also, it is suggested to modify the traditional pricing models in the Asian market in such a way that in the oil pricing formulas in the Asian market, especially the changes in the future prices of the index crude oil of this region and its stock market and the financial structure of the oil market of Dubai and Oman are also taken into account.  Also, in the pricing formula of Iranian oil in the Asian market, in addition to the role of Saudi Arabia as a competitor, use the variables of the model used in the current article. It is also suggested that the international affairs of the National Oil Company pay attention to futures contract transactions in paper exchanges in this Asian market to cover the risk caused by crude oil price fluctuations. In short-term and long-term budget planning of the government should pay attention to the relationship between capital markets and oil futures with the oil market, especially in this region; have such models and use them in their policies. The central bank of IRAN also has models to explain the behavior of crude oil prices in the market so that it can control the currency fluctuations that are mainly caused by the fluctuations of the financial markets and the oil market. The Budget Management and Planning Organization needs to estimate the price of crude oil in the annual budget to calculate the country's annual income, and also to implement development plans, it is necessary to estimate oil revenues and oil prices. Based on the analysis of financial factors, they can have a more correct analysis of the price of oil.
For further studies, other target markets for the sale of crude oil (including the Mediterranean and North American markets) and other grades of Iranian crude oil in those markets can be examined. It is better to use other econometric methods, for example, IGARCH, ARFIMA and FIGARCH methods for estimation. In the same way, I suggest that in the next studies, the interest rate and the dollar rate, as well as the effects of other stock exchanges, should be considered as a variable, and the effect of other economic indicators should be investigated, and other non-oil stock market items can also be added to the model and be checked

کلیدواژه‌ها [English]

• Iranian Crude Ooil
• Asian Market
• Dubai Crude Oil
• Nikkei Index
• Oman Crude Oil
• Brent Oil
• Brent Spot Price
• Brent Future Price
• Contango and Backward Structure

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