国际油价短期影响因素分析——基于SVAR模型的实证研究  

Analysis of Short-term Influencing Factors of International Oil Prices——An Empirical Study Based on SVAR Model

作　　者：陈琛 孔盈皓 Chen Chen;Kong Yinghao(CNOOC Energy Economics Institute,Beijing 100013)

机构地区：[1]中国海油集团能源经济研究院,北京100013

出　　处：《中外能源》2021年第10期9-17,共9页Sino-Global Energy

摘　　要：原油价格波动对我国国民经济发展有着重要影响,本文试图从原油的属性出发,以实证分析的方式探究影响油价波动的因素。基于经济学理论,筛选出七个影响油价波动的因素:需求、库存、OPEC产量、俄罗斯产量、美国原油产量、投机性因素以及美元指数,并对获得的数据进行一定的处理。根据理论及文献研究,构建结构向量自回归(SVAR)模型,对变量进行定量分析。模型计算结果显示:美元指数对油价有持续性影响,但影响较小;投机性因素可最即时地反映油价,但对油价的持续影响较弱;需求因素对原油价格的影响较大且持续,特别是前两个月的影响力相对其他因素更强;OPEC与俄罗斯产量变化对油价的影响会滞后一个月,但影响力较大且持续;全球原油库存变化对油价的影响将经历两个月的滞后期,随之影响力增大。OPEC与俄罗斯的原油产量对油价具有调节性作用,而美国原油产量是油价变动的投机性产物。Crude oil price fluctuations have an important impact on the development of China′s national economy.This paper explores the factors influencing oil price fluctuations based on the properties of crude oil by means of empirical analysis.Based on economic theory,seven factors influencing oil price fluctuations are screened out,including demand,inventory,OPEC production,Russian production,U.S.crude oil production,speculative factors,and the U.S dollar index,and the data obtained are processed in some way.Based on theoretical and literature studies,a structural vector autoregressive(SVAR)model is constructed to quantitatively analyze the variables.The model results show that the U.S.dollar index has a persistent but small impact on oil prices,the speculative factors reflect oil prices most immediately but have a weak and persistent impact on oil prices,the demand factors have a strong and persistent impact on crude oil prices,especially in the first two months compared to other factors,the impact of OPEC and Russian production changes on oil prices have a one-month lag but is strong and persistent,and the impact of global crude oil inventory changes on oil prices have a two-month lag,followed by an increase in influence.OPEC and Russian crude oil production has a moderating effect on oil prices,while U.S.crude oil production is a speculative product of oil price fluctuations.

关 键 词：国际油价 影响因素 短期 结构向量自回归模型(SVAR) 

分 类 号：F764.1[经济管理—产业经济] F416.22