美联储调息周期利率对WTI原油期货价格的影响--基于VAR模型的实证分析  

The impact of Fed’s cycle interest rate hike on WTI crude oil futures price--An empirical analysis based on VAR model

作　　者：马晓青 孙韬昊 MA Xiao-qing;SUN Tao-hao(School of Economics and Management,Shanghai University of Electric Power,Shanghai 201306)

机构地区：[1]上海电力大学经济与管理学院,上海201306

出　　处：《价格月刊》2022年第6期7-13,共7页

基　　金：中国企业环境治理的动力机制与激励策略:企业社会责任视角(编号:71972127)。

摘　　要：基于2016年1月—2022年1月美国联邦基金利率及WTI原油期货价格指数的月度数据,构建双变量VAR(2)模型,通过Johansen协整检验、脉冲响应与方差分解等计量方法,实证分析了美国联邦基金利率变动与WTI原油期货价格间的关系。结果表明:WTI原油期货价格与美国联邦基金利率间存在协整关系,美国联邦基金利率与WTI原油期货价格表现为正相关性;美国联邦基金利率对WTI原油期货价格波动贡献率小于原油期货价格自身。Based on the monthly data of federal funds rate and WTI crude oil futures price index from January 2016 to January 2022,this paper constructs a two-variable VAR(2)model,and empirically analyzes the relationship between the change of federal funds rate and WTI crude oil futures price through Johansen cointegration test,impulse response and analysis of variance.The results show that there is a cointegration relationship between WTI crude oil futures price and federal funds rate,and there is a positive correlation between federal funds rate and WTI crude oil futures price;The contribution rate of federal funds rate to WTI crude oil futures price fluctuation is less than that of crude oil futures price itself.

关 键 词：WTI原油 期货价格 美联储加息 VAR模型 

分 类 号：F714[经济管理—产业经济]