石油与黄金产业价格联动关系研究被引量：33

An Empirical Study on the Relationship between Prices of Petroleum and Gold Industry

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摘要 2002—2006年石油与黄金产业价格变动之间的关系可以用格兰杰因果关系进行检验,并根据格兰杰表示定理建立石油与黄金价格联动之间的误差修正模型来考察二者之间的长期关系和动态关系。本文认为石油价格和黄金价格上涨之间是单向的,从石油价格上涨到黄金价格上涨的因果关系,而且这种关系是长期稳定的,并没有随时间而发生结构性变化。 Using co - integration technique, we examine the causal relationship between international prices of petroleum industry and that of gold industry over the period from 2002 to 2006. Based on the Granger Representation Theorem, we set up an error correction model to investigate the long - run and dynamic relationship between them. Empirical results show that a long - run stable unidirectional causality running from prices of petroleum industry to prices of gold industry.

作者张莹胥莉陈宏民

机构地区上海交通大学安泰经济与管理学院

出处《财经问题研究》 CSSCI 北大核心 2007年第7期35-39,共5页 Research On Financial and Economic Issues

关键词石油黄金误差修正模型格兰杰因果检验法 Petroleum Cold Error Correction Model Granger Representation Theorem

分类号 F114.46 [经济管理—国际贸易]

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