中国原油期货价格的有关金融影响因素研究  

Study of financial influences on the price of crude oil futures in China

作　　者：郭婷婷 GUO Tingting(Business School of Zhengzhou University)

机构地区：[1]郑州大学商学院

出　　处：《国际石油经济》2023年第10期84-92,共9页International Petroleum Economics

摘　　要：通过构建TVP-VAR模型,研究股票指数、商品指数、黄金与美元指数对中国原油期货价格的时变影响。研究表明,在石油价格“金融化”趋势下,中国原油期货市场与其他金融市场的联系在短期内变得更加紧密,中长期影响不显著;金融因素对中国原油期货价格的冲击存在时变特征,尤其是在极端情况下,冲击会被进一步放大;不同金融因素对中国原油期货价格变动的解释力度不一,其中股票指数解释力最强,美元指数解释力最弱。To study the dynamic effects of stock indices,commodity indices,gold and US dollar indices on Chinese crude oil futures prices,the paper builds a TVP-VAR model.It reveals that the link between China's crude oil futures market and other financial markets has tightened in the short term under the prevailing trend of “financialization” of oil prices,and the impact of these factors is inconsequential in the medium to long term.The time-varying impact of financial factors on the price of China's crude oil futures shows distinct characteristics.Specifically,the impact of these factors is amplified in extreme cases.When analyzing the drivers behind the variations in China's crude oil futures prices,it becomes clear that the impact of various financial factors varies in strength.Among these factors,the stock index emerged as the most potent explanatory variable and the dollar index possesses the least explanatory power.

关 键 词：石油价格 金融化 中国原油期货价格 金融因素 TVP-VAR模型 

分 类 号：F724.5[经济管理—产业经济] F764.1F832