石油价格波动预警分级机制研究  

Early-warning grading system for oil price shocks based on Hilbert-Huang transform

作　　者：周德群[1,2] 鞠可一[1,2] 周鹏[1,2] 吴君民[1,2] 

机构地区：[1]南京航空航天大学经济与管理学院,南京210016 [2]江苏科技大学经济与管理学院,镇江212003

出　　处：《系统工程理论与实践》2013年第3期585-592,共8页Systems Engineering-Theory & Practice

基　　金：国家社会科学基金重大项目(08&ZD046);国家自然科学基金(70873058;91010004;41071348;71041008);国家自然科学基金青年项目(71203081);教育部人文社会科学青年项目(12YJCZH091)

摘　　要：以1986.1-2009.9WTI原油期货周平均价格,共1239个事件期作为研究对象,采用Hilbert-Huang变换的方法构造石油价格波动预警分量,以此来对历次石油价格波动过程展开预警分级研究.在综合考虑石油价格的波动周期、波动幅度和波动出现概率的基础上,计算预警信号的强度,并将所有预警信号分为三级:轻度预警信号、中度预警信号、高度预警信号.研究结果表明,该预警分级机制给出的预警信号与已经发生的石油价格波动过程吻合,因此借助此预警分级机制,对未来可能出现的石油价格危机给出的预警提示,具有良好的前瞻性.In this paper, weekly WTI price from 1986.1 to 2009.9 are treated as research objects, with Hilbert-Huang transform. On the base of a comprehensive consideration of the oil price shock period, shock amplitude, and shock probability, authors construct an early-warning grading system for oil price shocks with oil shock intensity. According to the shock intensity, all of the oil price shock signals can be ranked as three levels： light-warning, middle-warning, and high-warning. Results show that, the early-warning grading system for oil price shock can not only verify the fluctuations which have been occurred, but also can indicate the possible crises of oil price, which shows its good early-warning features.

关 键 词：油价格波动 预警分级机制 希尔伯特-黄变换 

分 类 号：F407.22[经济管理—产业经济]