摘要
以2000年1月-2006年12月国内原油和国际原油现货FOB月价格为变量,分析了两者的动态关系：首先,通过Johansen和Juselius的极大似然法对2个变量进行了协整检验,结果显示2个变量之间可能存在动态均衡关系;其次,通过G ranger因果检验和建立误差修正模型对两者的动态均衡关系进行了检验,证明这2个变量间存在均衡关系;然后,运用脉冲响应函数和预测误差分解技术对这种动态均衡关系进行了分解,分析了国内外原油价格之间的相互作用机制和影响程度。在此基础上,从我国石油价格形成机制方面讨论了增强国内原油价格对国际原油价格定价的发言权、避免国际原油价格的波动风险的途径。
Taking the internal and external spot month crude oil price as the variable, these variables were analyzed dynamically. Whether there are cointegration relations between the variables were tested by maximum likelihood method of Johansen and Juselius （JJ）. The results show that dynamic equilibrium relations exist in them. Through Granger causality test and building error correction model, it is proved that there are dynamic balance relations between the two variables. The dynamic bal- ance relations were decomposed by using impulse response function and prediction error decomposition to understand the interaction mechanisms and extent of the effect.
出处
《管理学报》
2007年第4期453-459,共7页
Chinese Journal of Management
基金
国家软科学研究计划资助项目(2005DGQ4B112)
关键词
原油价格
动态关系
动态
分析
crude oil price
dynamic relations
dynamic
analysis
