国际石油价格与我国石化生产的协整关系:基于TAR模型的研究  

The Research on the Relationship Between the World Oil Price and the China Petrochemicals Based on TAR

作　　者：王双英[1] 李东[1] 

机构地区：[1]南京航空航天大学经济与管理学院,江苏南京210016

出　　处：《数理统计与管理》2012年第1期1-6,共6页Journal of Applied Statistics and Management

基　　金：课题"论国家应战应急一体化"(G071203)的阶段性研究成果

摘　　要：国际石油价格作为石油化工产业主要原材料成本的重要组成部分,将对石化产业生产产生重大影响,研究发现我国主要石化产品总产量与国际油价之间存在显著的协整关系。利用门限自回归方法(TAR),实证研究发现两者存在非线性两机制门限协整。当国际油价低于门限值54.35美元时,我国石油化工生产基本不受国际石油价格变化影响。而当国际石油价格高于54.35美元时,其对我国石油化工产业影响凸显并成为抑制其发展的重要因素。By studying the international oil price on the impact of China petrochemical industry, found that the cointegration relationship between the international oil price and the etrochemicals outputs. Using threshold auto-regression, empirical study found that they were nonlinear double-mechanism threshold eointgration. When international oil price below 54.35 US dollars, the China petrochemicals outputs were impervious. While international oil price above 54.35 US dollars, its impacts on the petrochemicals outputs was significant and negative.

关 键 词：国际石油价格 石油化工产量 协整分析 TAR模型 

分 类 号：O212[理学—概率论与数理统计]