国际油价、美元汇率对石油钻井投资市场影响的实证研究  

Empirical Studies on the Effect of World Oil Price and Dollar's Real Exchange Rate on Oil Drilling Investment Market

作　　者：高新伟[1] 李芹 

机构地区：[1]中国石油大学(华东)经济管理学院,山东青岛266580

出　　处：《系统工程》2012年第10期56-62,共7页Systems Engineering

基　　金：教育部高校人文社科规划项目(10YJA630038);山东省自然科学基金资助项目(ZR2012GM011)

摘　　要：国际油价与美元汇率的走势对石油钻井投资市场有着重要的影响,能否用美元汇率与国际油价的走势来预测石油钻井投资市场变动并进行投资决策值得深入探讨。以经典的协整理论和VAR模型为基础,利用Johansen协整检验、ECM、Granger因果关系检验、脉冲响应函数等方法,对国际原油价格、美元实际汇率与全球石油钻井数两两之间以及三者之间的定量关系进行了探讨,研究结果表明:(1)国际原油价格对石油钻井数长期具有正向影响;(2)美元实际汇率对石油钻井数长期具有反向影响;(3)建立三因素的VAR模型分析发现,国际原油价格对石油钻井数显著正相关,而美元实际有效汇率的影响并不显著,且两者的贡献率均不高,前期石油钻井数的贡献率居于主导地位。The movements of world oil prices and dollar exchange rates have an important influence on the oil drilling investment market. It is worth while to further explore the movements of the two variables to predict the trend of oil drilling investment market and make investment decision. Based on the classical Cointegration Theory and VAR model, we use Johansen Cointegration Test, ECM, Granger causality test and impulse response function to study the quantitative relations of world oil prices, dollar exchange rates and global oil drilling counts, and conclude that： （1） World oil prices have positive influence on oil drilling counts in the long term; （2） Dollar＇s real effective exchange rates have reverse influence on oil drilling counts in the long term; （3） We establish VAR model of the three factors and find that world oil prices have significant positive effects on oil drilling counts, but the effect of Dollar＇s real effective exchange rates is not significant, and the contribution rates of both are not high, oil drilling counts of prophase predominate.

关 键 词：国际原油价格 美元实际汇率 石油钻井数 协整分析 VAR模型 

分 类 号：F831[经济管理—金融学]