基于月度数据的国内外石油价格关联性实证研究  

An Empirical Study on Correlation between Domestic and International Oil Price Based on Monthly Data

作　　者：胡光辉[1] 孟艳莉 张玉柯[1] 

机构地区：[1]河北大学经济学院,河北保定071002 [2]承德市交通运输局,河北承德067000

出　　处：《价格月刊》2013年第5期21-24,共4页

摘　　要：我国石油价格自1998年6月与国际油价接轨,原油价格随着国际市场价格的变化而浮动。运用单位根检验、协整检验、格兰杰因果关系检验等分析方法,分别对国内外原油现货价格、期货价格的关联性进行了研究。结果显示国内原油价格和国际原油价格存在长期稳定的均衡关系,国际原油期货价格对国内原油价格的影响要大于国际石油现货价格的影响,Brent(布伦特)原油价格对国内油价的影响要大于WTI(美国西德克萨斯)原油价格的影响。Domestic oil prices have floated with the changes in the international market price since June 1998.Based on the ADF unit root test,cointegration test,Granger causality test and VAR model,the paper studies the correlation between domestic and international crude oil spot prices and futures prices.The results show that there exists a long-term equilibrium relationship between domestic and international crude oil prices;the influence of the international crude oil futures prices fluctuations on domestic crude oil prices is stronger than that of spot price;and the influence of the Brent crude oil prices on domestic crude oil prices is greater than that of WTI crude oil price.

关 键 词：石油价格 价格波动 关联性 实证研究 

分 类 号：F726[经济管理—产业经济]