国际原油价格对上海原油期货价格的非对称影响研究  

Study on the Asymmetric Impact of International Crude Oil Prices on Shanghai Crude Oil Futures Prices

作　　者：丁潇 Ding Xiao(School of Finance,Nanjing Audit University,Nanjing 211800)

机构地区：[1]南京审计大学金融学院,江苏南京211800

出　　处：《中阿科技论坛（中英文）》2024年第5期43-47,共5页China-Arab States Science and Technology Forum

摘　　要：随着我国金融市场的逐渐开放,国际原油市场如何影响上海原油期货市场成为热点话题。文章通过建立ARDL模型,分析了国际原油现货价格对上海原油期货价格的非对称影响。研究结果表明,国际原油现货价格和上海原油期货价格存在显著长期协整关系。此外,国际原油现货价格对上海原油期货价格的影响在短期和长期上存在影响强度和方向的非对称性。从短期来看,国际原油现货价格对上海原油期货价格具有更多的正向效应;但从长期来看,体现更多的是负向效应。对此,文章认为,中国应该加强原油市场风险防控,完善市场价格体系和管理监督机制,助推原油市场对外开放,以应对国际原油市场的冲击。With the gradual opening of China's financial market,how the international crude oil market affects Shanghai crude oil futures has become a hot topic.Against this backdrop,the article examines the asymmetric impact of international crude oil spot prices on Shanghai crude oil futures by establishing an ARDL model.The research findings suggest that there is a significant long-term co-integration relationship between the two.In addition,there is asymmetry in the intensity and direction of this impact in both the short and long term.In the short term,international crude oil spot prices exert more positive effects on Shanghai crude oil futures;But in the long run,more negative effects are observed.In this regard,it's argued that China should strengthen risk prevention and control,perfect the market price system and management and supervision mechanisms,boost the opening up of the crude oil market to the outside world,in an effort to respond to the impact of the international crude oil market.

关 键 词：上海原油期货价格 国际原油现货价格 ARDL模型 协整关系 

分 类 号：F832[经济管理—金融学]