WTI原油期货收盘价的变化对于布伦特原油期货的影响  

The Impact of the Change in the Closing Price of WTI Crude Oil Futures on Brent Crude Oil Futures

作　　者：罗文文 

机构地区：[1]北京工商大学数学与统计学院,北京

出　　处：《数据挖掘》2020年第4期261-276,共16页Hans Journal of Data Mining

摘　　要：本文对WTI (West Texas Intermediate)美国原油期货和伦敦布伦特原油期货2019年5月6日至2020年5月4日收盘价时间序列数据进行研究,基于组合模型及GARCH模型联立方程,对于WTI原油期货收盘价格的波动变化进行分析,并借助平稳性检验、协整检验、格兰杰因果(Granger)检验等方法,结果表明,WTI原油期货价格与布伦特原油期货价格存在长期均衡关系,且WTI原油期货价格是布伦特原油期货价格的格兰杰原因。故以时间序列WTI原油收盘价为解释变量,以伦敦布伦特原油收盘价的时序数据为被解释变量,基于传统一元线性回归模型,探究WTI原油期货收盘价的波动变化对于伦敦布伦特原油期货收盘价的影响,并对伦敦布伦特原油价格做出预测。最终得出结论,认为此次WTI原油价格暴跌会影响布伦特原油价格进一步走低,但此次WTI负油价对于布伦特原油并不会有极其严重的影响。In this paper, we study the time series data of the closing prices of WTI (West Texas Intermediate) U.S. crude oil futures and London Brent crude oil futures from May 6, 2019 to May 4, 2020, and an-alyze the volatility changes of the closing prices of WTI crude oil futures based on the Combinatorial model and GARCH model coupling equation with the help of Smoothness test, Cointegration test, and Granger causality test. The results show that there is a long-term equilibrium relationship be-tween WTI crude oil futures price and Brent crude oil futures price, and WTI crude oil futures price makes the Granger cause of Brent crude oil futures price. Therefore, by using the time series of WTI crude oil closing price as the explanatory variable and the time series data of London Brent crude oil closing price as the explained variable, based on the traditional simple linear regression model, the impact of the fluctuating changes in the closing price of WTI crude oil futures on the closing price of London Brent crude oil futures is investigated and the price of London Brent crude oil is predicted. The final conclusion is that the WTI crude oil price slump will affect the Brent crude oil price to further lower, but the negative WTI oil price will not have a very serious impact on Brent crude oil.

关 键 词：WTI原油期货价格 布伦特原油期货价格 组合模型-GARCH模型联立方程 格兰杰因果检验 一元线性回归模型 

分 类 号：F41[经济管理—产业经济]