油价结构与奇异性分析  

Analysis on Oil Price Structure and Singularity

作　　者：梁强[1] 范英[1] 魏一鸣[1] 

机构地区：[1]中国科学院科技政策与管理科学研究所

出　　处：《管理评论》2006年第2期15-19,共5页Management Review

基　　金：国家自然科学基金项目资助(70371064;70425001);国家"十五"科技攻关课题项目资助(2004BA608B)

摘　　要：本文运用小波变换对油价进行了奇异性分析,发现检测出的奇异点均与历史上的三次石油危机联系密切,表明了与油价相关的重大事件往往会导致油价发生结构性改变并伴随着奇异点的出现。此外,本文还分析了奇异点与油价变化规律之间的关系,探讨了奇异点出现前油价以及其LIPSCHITZ指数的相应表现,为预测奇异点及油价的未来走势提供了重要的参考依据。In this paper, the wavelet transformation is used to analyze the singularity of oil price. It is found that all the detected singularity points relate closely to the three oil crises in history, which indicates that price-related events usually lead to structural change of oil price and are accompanied by the appearance of singularity points. Furthermore, the relationship between singularity points and the oil price fluctuation is analyzed, and the behaviors of the oil price and corresponding Lipschitz exponents before singularity points are studied in order to provide useful bases for the prediction of singularity points and oil price trend.

关 键 词：小波 油价 奇异性 结构性改变 断点 

分 类 号：F224[经济管理—国民经济]