| 摘要: |
| 通过利用Johansen协整检验和Granger因果关系可检验、研究国际油价与国内油价的长期均衡关系,建立VAR模型可定量分析二者之间的关系,用脉冲响应技术和方差分解技术可研究二者之间的动态关联效应。研究结果表明:国际油价与国内油价之间存在长期均衡关系,且互为因果。但国际油价对国内油价波动影响速度快、强度大、持续时间长;而国内油价对国际油价波动影响速度慢、强度小、持续时间短。 |
| 关键词: 石油价格 波动 关联效应 |
| DOI： |
| 分类号:F407.22 |
| 基金项目:江苏大学科研立项资助项目(09C064) |
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| The Research on Domestic and International Oil Price Fluctuations Associated Mechanism |
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ZHOU Zuojie, ZHAO Xicang
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(School of Finance & Economics, Jiangsu University, Zhenjiang, Jiangsu 212013, China)
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| Abstract: |
| By using Johansen cointegration test and Granger causality test, we can study longrun equilibrium relations of international oil prices and domestic oil prices, and build a VAR model for quantitative analysis of the relationship between the two, and the impulse response technique and the variance decomposition technique to study the dynamics of association between the two. The results show that there is a longrun equilibrium relationship between international oil prices and domestic oil prices. However, the international oil prices affect domestic oil price fluctuations in the speed, intensity and long duration while the effect of domestic oil prices on international oil price fluctuations is slow, of lowintensity and of short duration. |
| Key words: oil price fluctuations correlation relationship |
