题目：Do oil spot and futures prices move together?
主讲人：张存炳 教授（台湾实践大学）
时间：2015年8月7 日15:30
地点：主楼6层会议室
主讲人简介：
     张存炳老师现为台湾实践大学行销管理系专任教授，目前主要研究专长为能源经济、计量经济、产业经济、公共经济与政治经济。自2007年担任实践大学专任教职人员来，对内的学术成就表现上，包括通过科技部专题研究计画与课题基金8件； 2013年7月亦荣膺台湾科技部「科学发展月刊」(Science Development)，专题：「台湾新发现」-受邀採访学者成就 (每年筛选1-2為研究绩优人员为採访对象)。对外学术成就表现上，张教授迄今共发表SSCI源国际期刊学术论文近60餘篇，其中担任第一作者与通讯作者约30篇。有数篇发表在政经类顶级期刊如Journal of Applied Economics, Energy Economics, European Journal of Political Economy ,Economics Letters 等，2010后发表的文章被他人引用1841多次，h指数19。12次在WEA International Conference, Pacific Rim Conference, Midwest Economics Association Annual Conference等重要国际会议上作邀请报告或会议主席。候选人亦曾担任European Journal of Political Economy, Journal of Development Economics, Public Choice 等权威期刊杂志审稿人。且经国际知名期刊生态经济 (Ecological Economics, SSCI, IF:2.713, 2012) 评选，计调查6597篇论文主要计算根据为论文引用率与下载率，(参见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在环境与生态经济学界最具影响力之学术著作全球排名第5名。著作名称：Energy consumption and economic growth in Asian economies: A more comprehensive analysis using panel data；并名列全球最具影响力之学者排名第7名；而实践大学因而成為此领域具影响力之学术机构排名作全球排名第27名。因此，在IDEAS: Economics and Finance Research 全球最大经济学文献数据库 （统计标的包含13,253经济系所，44,388经济学家与作者），张存炳教授位居台湾经济学家学术排名14/168，top 10%；全亚洲排名341/ 4225, top 9%。
内容简介：
    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.


（承办：能源与环境政策研究中心、科研与学术交流中心）