美元指数和国际油价波动的联动性研究  

A Research on the Linkage Between Dollar Index and International Oil Price Fluctuation

作　　者：彭澎[1] 

机构地区：[1]中国地质大学人文经管学院

出　　处：《价格理论与实践》2016年第2期124-127,共4页Price:Theory & Practice

摘　　要：美元作为国际原油市场计价和结算的主要货币,其币值的不稳定性赋予原油价格相应的金融属性。本文采用小波多分辨率和Hurst指数分析,以美元指数为替代变量,将国际油价和美元指数分解为高频和低频的时间序列,系统研究二者的动态联动机制。研究结果显示：国际油价和美元指数在短期内存在动态联动关系,而在中长期内,二者整体上联动性不明显,只存在局部的动态联动。最后,本文根据研究结论提出了基于稳定国际油价的相关政策建议,以期规避国际油价波动,保障我国能源安全和有效供给。The dollar as the international oil market valuation and settlement currencies gives the oil price financial attributes. In this paper, the international oil prices and the dollar index can be decomposed to the high frequency and low frequency time series,using the wavelet multi-resolution and Hurst index analysis with the dollar index as the substitution variable to analysis the dynamic linkage mechanism between them. The study found that the incident, market intervention, business inventories, international financial speculation and the impact of the dollar, international oil prices and the dollar in the short term exist dynamic linkage, and in the medium and longer term, as a whole does not exist between linkage mechanism, there is only partial dynamic linkage.

关 键 词：美元指数 国际油价 小波多分辨率 HURST指数 

分 类 号：F416.22[经济管理—产业经济] F764.1F837.12