آیا بازارهای نوظهور در سیستم قیمت گذاری نفت در جهان اثرگذار هستند؟ مدارک و شواهد از نفت خام وارداتی چین و هند

This paper provides empirical evidence on the changing structure of world oil price system by identifying an additional driver-emerging market factor. We choose China and India as a representative of emerging markets to examine if the quantity of crude oil imported by China and India is significant in the existing oil pricing system (Kaufmann et al., 2004). Our data starts from January 2002 and ends in March 2010, which includes the oil shock of 2007–2008. We utilize cointegration and error correction model framework developed by Engle–Granger (1987) and Gregory–Hansen (1996) in the analysis. Our results indicate that demand from emerging markets has become a significant factor in the world oil pricing system since 2003. This result is significant as it lends empirical support to the widely held conjecture that the oil shock of 2007–2008 is a demand-led shock (Hamilton, 2009). Our result also has significant policy implications that go beyond the oil shock. The emerging market factor is there to stay and reflects the changing power between emerging and developed economies in the world economic system as a result of decades of fast economic development in the former. It will certainly influence policy issues related to oil and beyond.

World oil markets have experienced rapid changes of record prices during the oil shock of 2007–2008. Various conjectures have been put forward to explain this phenomenon. One popular explanation stems from demand shocks (Hamilton, 2009). It is argued that in the short run, when supply infrastructure does not have any chances to adjust to demand changes, unexpected increases in demand could cause supply–demand imbalances, and if demand outpaces supply to a large extent, record prices could be reached as a result. If the supply is lagging behind demand for a period of time, the supply–demand imbalances could sustain over a period of time and a series of record prices could be reached. In the case of emerging market demand, there may be a prolonged short-term supply–demand imbalances caused by the lag of expectation on true demand for imported oil from emerging economies, such as China and India. The unprecedented growth in China and India for the last 20 years has led to rapidly increased demand for imported oil, competing for its share in a pool of steady world oil supplies for the last 10 years. Market expectations of demand for crude oil from emerging economies may have consistently lagged behind actual demand, suggesting that planned supplies are not sufficient to meet actual demand. This possible supply–demand imbalance may well be exacerbated by one of the longest post-war economic booms during the period from 2004 to 2008. As oil supply capacities take years to build up, the increased demand from China and India on imported oil may have tilted market supply–demand balance over time and contributed to record oil prices. A closer look at the demand for imported oil from China and India has revealed that China started to import crude oil since 1996 after decades of self-sufficiency on this primary commodity and its volume of oil imports accelerated since. Similarly the volume of crude imported by India has increased rapidly since late 1990s. The increased demand for imported oil from both countries are fuelled by their fast economic development in recent decades and have increasingly become a significant factor in the competition for limited resources in the world oil market. Their competition for imported oil in the world markets can be illustrated in Fig. 1. OECD share of total world imported oil has decreased for the period under investigation from 79% to 70% while the share of China and India (Chindia) out of total world imported oil has increased from 9% to 19%. Fig. 2 displays the actual volume of Chindia imports, together with OECD imports and total world oil imports (million barrels per day). The imports of oil by China and India have increased with the total world demand for imported oil while OECD total imported oil has decreased during the period under investigation. Full-size image (40 K) Fig. 1. Monthly OECD imported crude oil share vs. combined share of China and India for imported crude oil. Figure options Full-size image (27 K) Fig. 2. Chindia, OECD imports and total world oil imports. Figure options This study attempts to provide empirical evidence on the impact of crude oil imports by China and India on world oil prices for the period during 2002–2010. This is the first attempt, to the best knowledge of our knowledge that such empirical analyses have been carried out to cover the time span of the oil shock of 2007–2008. The result will shed some light on conjectures whether the oil shock is caused by demand shocks (Hamilton, 2009) or other factors such as speculation (Kaufmann, 2011). Our empirical investigation is underpinned by the price rule set out by Kaufmann et al. (2004) and carried out in the framework of the residual-based cointegration analysis originally proposed by Engle and Granger (1987) and subsequently extended by Gregory and Hansen (1996) to control for the structural break in the series. Not only our results would help provide empirical evidence on recent oil price shock, it would also uncover whether emerging markets' demand for oil in the world oil markets is a significant factor in oil pricing. The implication of the latter, if found significant, would go far beyond the oil shock and have profound economic implications which may affect future policies. The rest of the paper is organized as follows: Section 2 gives a brief review on the literature on factors influencing world oil prices and the China and India phenomenon; Section 3 discusses methodologies adopted; Section 4 introduces the data; Section 5 examines empirical findings; and finally Section 6 concludes.

This study models the effects of increased imports of crude oil by emerging markets, in particular, China and India, on world oil prices within the framework of Engle–Granger (1987) cointegration and error correction model. Following the oil price rule set out in Kaufmann et al. (2004), we found Chindia (combined China and India) factor as an additional driver in the long run relationship from August 2003 to March 2010. Our empirical evidence supports theoretical hypothesis that increased oil imports by China and India act as a demand shock, driving world oil prices to elevated levels (Hamilton, 2009). These results would have important policy implications for policy makers in both developing and developed economies in terms of supply–demand projection, energy security and geopolitics. It will also help fill in the gap of how Chinese demand for imported oil might have impacted the growth of Chinese economy as most of research so far has been focused on how elevated oil prices would impact Chinese economy. These results may generate particular interests to Chinese policy makers.