題目：Do oil spot and futures prices move together?
主講人：張存炳 教授（臺(tái)灣實(shí)踐大學(xué)）
時(shí)間：2015年8月7 日15:30
地點(diǎn)：主樓6層會(huì)議室
主講人簡介：
張存炳老師現(xiàn)為臺(tái)灣實(shí)踐大學(xué)行銷管理系專任教授，目前主要研究專長為能源經(jīng)濟(jì)、計(jì)量經(jīng)濟(jì)、產(chǎn)業(yè)經(jīng)濟(jì)、公共經(jīng)濟(jì)與政治經(jīng)濟(jì)。自2007年擔(dān)任實(shí)踐大學(xué)專任教職人員來，對(duì)內(nèi)的學(xué)術(shù)成就表現(xiàn)上，包括通過科技部專題研究計(jì)畫與課題基金8件； 2013年7月亦榮膺臺(tái)灣科技部「科學(xué)發(fā)展月刊」(Science Development)，專題：「臺(tái)灣新發(fā)現(xiàn)」-受邀採訪學(xué)者成就 (每年篩選1-2為研究績優(yōu)人員為採訪對(duì)象)。對(duì)外學(xué)術(shù)成就表現(xiàn)上，張教授迄今共發(fā)表SSCI源國際期刊學(xué)術(shù)論文近60餘篇，其中擔(dān)任第一作者與通訊作者約30篇。有數(shù)篇發(fā)表在政經(jīng)類頂級(jí)期刊如Journal of Applied Economics, Energy Economics, European Journal of Political Economy ,Economics Letters 等，2010后發(fā)表的文章被他人引用1841多次，h指數(shù)19。12次在WEA International Conference, Pacific Rim Conference, Midwest Economics Association Annual Conference等重要國際會(huì)議上作邀請(qǐng)報(bào)告或會(huì)議主席。候選人亦曾擔(dān)任European Journal of Political Economy, Journal of Development Economics, Public Choice 等權(quán)威期刊雜志審稿人。且經(jīng)國際知名期刊生態(tài)經(jīng)濟(jì) (Ecological Economics, SSCI, IF:2.713, 2012) 評(píng)選，計(jì)調(diào)查6597篇論文主要計(jì)算根據(jù)為論文引用率與下載率，(參見Hoepner et al., 2012，Environmental and ecological economics in the 21st century: An age adjusted citation analysis of the influential articles, journals, authors and institutions, 77, 193-206.)，2000-2009在環(huán)境與生態(tài)經(jīng)濟(jì)學(xué)界最具影響力之學(xué)術(shù)著作全球排名第5名。著作名稱：Energy consumption and economic growth in Asian economies: A more comprehensive analysis using panel data；并名列全球最具影響力之學(xué)者排名第7名；而實(shí)踐大學(xué)因而成為此領(lǐng)域具影響力之學(xué)術(shù)機(jī)構(gòu)排名作全球排名第27名。因此，在IDEAS: Economics and Finance Research 全球最大經(jīng)濟(jì)學(xué)文獻(xiàn)數(shù)據(jù)庫 （統(tǒng)計(jì)標(biāo)的包含13,253經(jīng)濟(jì)系所，44,388經(jīng)濟(jì)學(xué)家與作者），張存炳教授位居臺(tái)灣經(jīng)濟(jì)學(xué)家學(xué)術(shù)排名14/168，top 10%；全亞洲排名341/ 4225, top 9%。
內(nèi)容簡介：
This paper investigates the time-varying correlation and the causal relationship between crude oil spot and futures prices using a newly developed approach — wavelet coherency analysis in time–frequency domain. First, we find evidence of a long-run co-integration relationship between oil spot and futures prices. Moreover, the short-run causality is more significant in shorter maturity pairs versus longer maturity pairs in the vector error correction framework. Second, the results from wavelet coherency analysis show significant dynamic correlations between variables in the time–frequency domain. Third, the illustration of the phase-difference series around zero suggests that spot and futures prices contribute to the dynamics of the long-run equilibrium. Fourth and finally, we provide reasons for the structural changes in oil prices and also recommend investment strategies corresponding to risk diversification. Future studies focusing on the behavior of oil prices should consider the characteristics of the time–frequency space and lead–lag dynamic relationships.
（承辦：能源與環(huán)境政策研究中心、科研與學(xué)術(shù)交流中心）
