国际石油价格与美元指数的相关关系研究  

Research on the relationship between the international oil prices and the US dollar index

作　　者：马郑玮 张宇擎 邹良萍 蔡天娇 

机构地区：[1]中国石油大学(北京)工商管理学院

出　　处：《价格理论与实践》2016年第1期133-135,共3页Price:Theory & Practice

基　　金：北京市社会科学基金项目(14JGC121);北京市优秀人才培养资助项目(2013D009051000001)资助

摘　　要：本文对"石油-美元"两者之间的相互关系和互动特征进行研究,建立石油价格与美元指数相互影响的关联方程,并用动态条件验证方程中两个参数的相关度。利用相关性检验、简单拟合检验、协整检验、格兰杰因果关系检验以及GARCH模型方法,选取2000-2015年具有代表性的名义石油价格和名义美元指数的日数据,建立时间序列模型,从长期、动态的角度深入分析国际石油价格与美元指数之间的相互关系,探究两者之间的长期均衡关系和因果关系,以及其对现实的重要意义。This paper studied on mutual relations and interactive features between oil and dollar, established the mutual influence relation equation between the price of oil and the dollar index, and used dynamic conditional to verify correlation of two parameters in equation. The paper used methods of correlation test, simple fitting test, co-integration test, granger causality test and GARCH model; selected representative nominal oil prices and the nominal dollar index between 2000 to 2015, established time series model, analyzed the relationship between international oil prices and the dollar index from a long-term and dynamic perspective, inquired the long-term equilibrium relationship, caus ality and the significance of reality about the oil prices and the dollar index.

关 键 词：国际石油价格 美元指数 石油计价机制 GARCH模型 

分 类 号：F416.22[经济管理—产业经济] F764.1