我国燃油期货与国际原油价格关系的实证分析

doi:10.3863/j.issn.1674-5094.2009.05.005

西南石油大学学报(社会科学版) ›› 2009, Vol. 2 ›› Issue (5): 22-25.DOI: 10.3863/j.issn.1674-5094.2009.05.005

我国燃油期货与国际原油价格关系的实证分析

陈曦杨力

西南石油大学经济管理学院，四川成都610500

收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2009-09-20 发布日期:2009-09-20

AN EMPIRICAL STUDY OF THE RELATIONSHIP BETWEEN CHINA′S FUEL OIL FUTURES AND INTERNATIONAL OIL PRICES

CHEN Xi YANG Li

School of Economics and Management，Southwest Petroleum University，Chengdu Sichuan 610500，China

Received:1900-01-01 Revised:1900-01-01 Online:2009-09-20 Published:2009-09-20

摘要/Abstract

摘要：

运用相关性检验、协整检验、误差修正模型、方差分解与脉冲响应模型分析等方法，对我国燃料油与国际基准油WTI油价之间的关系进行了实证分析。研究认为：我国燃料油期货市场价格已与国际接轨，并已经具有一定的定价能力，正逐渐形成影响国际油价的“中国标准”，但是与国际成熟市场相比仍有一定差距。了解我国燃油期货价格与国际油价之间的一致性与相互影响程度，努力提高我国在石油相关产品中的定价能力，对于保障我国的经济安全具有一定的参考价值。

关键词: 燃料油期货价格, 协整检验, 误差修正模型, 方差分解, 脉冲响应函数

Abstract:

This paper analyzes the relationship between China′s fuel oil prices and WTI prices with the help of co-integration test，error correction model，variance decomposition and impulse response function.The analysis reveals that although with price fixing capability to a certain degree，China′s oil futures prices have been in line with international market，there is still a gap between China and the mature international market.Understanding the relationship between China′s fuel oil futures prices and international oil prices and their influences on each other is of great significance in promoting China′s pricing capability in oil market and in guaranteeing China′s economic safety.

Key words: fuel oil futures prices, co-integration test, error correction model, variance decomposition, impulse response function

中图分类号:

F830.9

陈曦杨力. 我国燃油期货与国际原油价格关系的实证分析[J]. 西南石油大学学报(社会科学版), 2009, 2(5): 22-25.

CHEN Xi YANG Li. AN EMPIRICAL STUDY OF THE RELATIONSHIP BETWEEN CHINA′S FUEL OIL FUTURES AND INTERNATIONAL OIL PRICES[J]. 西南石油大学学报(社会科学版), 2009, 2(5): 22-25.

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我国燃油期货与国际原油价格关系的实证分析

AN EMPIRICAL STUDY OF THE RELATIONSHIP BETWEEN CHINA′S FUEL OIL FUTURES AND INTERNATIONAL OIL PRICES

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