实际利率和存货调整对国际油价波动的影响——基于套利模型和1995-2015年月度数据的实证研究  

The Effects of Real Interest Rate and Inventory on International Oil Price——Empirical Analysis Based on Carry Trade Model between 1995 and 2015

作　　者：谭小芬[1] 刘杰[2] 

机构地区：[1]中央财经大学金融学院 [2]中国人民大学汉青经济与金融高级研究院

出　　处：《投资研究》2015年第11期4-21,共18页Review of Investment Studies

基　　金：国家社会科学基金一般项目(12BGJ042);2012年教育部新世纪优秀人才支持计划(NCET-12-0994);北京高等学校青年英才计划(YETP0994);教育部哲学社会科学研究重大课题攻关项目"中国资本账户开放进程安排和风险防范研究"(14JZD016);中央财经大学重大科研课题培育项目(基础理论类;项目号14ZZD004);中央高校基本科研业务费专项资金;谭小芬教授主持的中央财经大学青年科研创新团队支持计划和金融学院卓越学术人才培养项目

摘　　要：本文研究1995-2015年实际利率和存货调整对国际油价的影响。在引入套利模型的基础上,对包含供给、需求、利率、存货和油价的TVP-VAR模型进行估计,得到各因素关于油价的时变回归系数和脉冲响应函数值。主要结论有:第一,存货对油价的影响为负,存货具有减缓油价波动的作用;第二,需求在2000-2009年对油价的影响较大,而供给在1996-1999年较为重要;第三,利率影响油价的机制主要通过实体经济需求;第四,2014年下半年油价骤降主要是供给增加和存货积累所致。This paper examines the effects of interest rate and oil inventory on the price of crude oil from Jan 1995 to Feb 2015. Based on the ＂carry-trade＂ model proposed by Frankel, we estimate the TVP-VAR model including oil supply, oil demand, interest rate, oil inventory and oil price, which inform us with the time-varying parameters and the impulses results for each factor. The main findings are as follows： firstly, inventory has a negative impact on oil price, which means inventory has been playing the role of cushioning oil price; secondly, demand was important from 2000 to 2009 while supply mattered before 1999; thirdly, the effect of interest was delivered to oil price mainly through the channel of real demand; finally, the latest price fall after the second-half of 2014 was brought about primarily by the accumulation of supply and inventories.

关 键 词：实际利率 存货调整 国际油价 套利模型 

分 类 号：F416.22[经济管理—产业经济] F764.1F832.5