市场基本面、期货投机与国际油价波动——基于SVAR模型的实证分析  

Markets Foundation,Futures Market Speculation and the Volatility of International Crude Oil Prices: Based on a SVAR Model

作　　者：刘建[1] 

机构地区：[1]江西财经大学国际经贸学院,江西南昌330013

出　　处：《经济经纬》2013年第6期125-129,共5页Economic Survey

基　　金：国家社会科学基金重点项目(11AZD035);国家社会科学基金青年项目(10YJC790102);江西省社会科学规划一般项目(11JL07);江西财经大学校级课题资助项目

摘　　要：笔者采用SVAR模型对2003年～2011年国际原油价格的变动及其影响因素进行了实证分析。实证研究结果表明：原油期货市场中投机力量已经成为国际原油价格波动的重要原因，其影响甚至超过了市场需求因素，且影响的持续期较长；国际市场需求仍然是国际油价波动的主要因素，原油储备及美元汇率的变动也显著影响着国际油价波动，但原油供给和市场利率的影响相对较弱。This paper analyzes the factors of international oil prices fluctuations with monthly data from 2003 to 2011 by Granger cau- sality test and VAR model. The results show that ： Speculation in crude oil futures market forces has become an important reason of the current international oil price fluctuations, and its impact become even more than the market demand factors; Market demand continues to act as the most important factor on international oil price volatility, but the role of speculative factor has not weakened and it is still significantly affect the movement of oil prices; the movements of crude oil stocks and the dollar exchange index also have a significant effect on international oil prices fluctuations, while the effect of oil market supply and the interest is relatively small.

关 键 词：国际原油价格 期货投机 市场需求 原油储备 

分 类 号：F746[经济管理—国际贸易]