国际石油价格波动对石油进出口国汇率的影响  

Impact of International Oil Price Fluctuation on Exchange Rate of Oil Importing and Exporting Countries

作　　者：孙焱林[1] 刘垚 Sun Yanlin;Liu Yao(School of Economics,Huazhong University of Science and Technology,Wuhan 430074,China)

机构地区：[1]华中科技大学经济学院

出　　处：《统计与决策》2019年第21期147-151,共5页Statistics & Decision

摘　　要：文章通过构建石油出口国和石油进口国的面板数据,分别考察国际石油价格波动对石油进口国汇率和石油出口国汇率的影响,并建立预测模型进行面板回归预测。结果显示,石油出口国的实际石油价格与实际有效汇率间存在协整关系,石油价格上升给本币带来升值压力,但石油价格与石油进口国汇率不存在协整关系;利用石油出口国实际有效汇率与其协整关系预测值之间的偏差来预测实际有效汇率未来的变动量时,变动期数k越小,预测效果越好。By constructing panel data of oil exporting countries and oil importing countries, this paper respectively investigates the impact of international oil price fluctuations on the exchange rates of oil importing countries and oil exporting countries,and also establishes a prediction model for panel regression prediction. The results show that there exists a co-integration relationship between the real oil price and the actual effective exchange rate of oil exporting countries, and the rising oil price brings appreciation pressure to the domestic currency, but there is no co-integration relationship between the oil price and the exchange rate of the oil importing country;when using the deviation between the real effective exchange rate of oil exporting countries and the predicted value of its co-integration relationship to predict the future change of the real effective exchange rate, the smaller the number of period variation k, the better the prediction effect.

关 键 词：石油价格 汇率 石油进口国 石油出口国 

分 类 号：F822[经济管理—财政学]