摘要
国际石油价格是议不完的话题,经过12年的翻滚终于又回到2003年30美元的起点。本文对新世纪全球化新格局下国际油价的长短期影响因素进行了月度数据的多角度动态计量分析。发现在长期全球GDP、国际贸易总额和美元指数都是油价最重要的正向影响因素,其弹性作用突出,而美元指数的低迷代表了国际流动性增加;实体经济和虚拟经济信号与国际油价具有长期均衡关系,在短期波动中具有吸引油价回归的作用。作为最主要的短期信号,美元指数的影响具有突出的两个月滞后效应,其影响显著大于长期均衡的回复作用。研究还发现,新世纪的国际油价表现出显著而稳健的一个月惯性和两个月反转的滞后效应。因此,今后判断国际油价的走势重点应当关注全球GDP、国际贸易总额和美元指数。
The global oil price is an endless issue in research.After tumbling in twelve years,oil price comes back to its origin in 2003 with thirty dollar a barrel.In the paper,new evidence to long and short impact factors which influence oil prices is provided in the new stage of globalization in the new century,by applying several dynamic econometric models with monthly data.It is found that,firstly,international trade and the US dollar index are the most important positive impact factor and negative impact factor,respectively,in term of elasticity.As the real economic signal,the impact of GDP is weaker than that of international trade;secondly,the speculative proportion is a driver to oil price while its impact is dominated and induced by international trade;thirdly,the related variables for both the real and virtual economy are co-integrated with oil prices,working as the attractor in the short term volatility.It is also revealed that the oil price in the new century possesses the clear and robust lagged effect for one month momentum and two month inversion.Therefore,we should pay close attention to the international trade and the US dollar index for predicting the trend of global oil prices.
出处
《中国管理科学》
CSSCI
CSCD
北大核心
2017年第8期68-78,共11页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(71673020
71371022
71173008)
关键词
国际油价
影响因素
实体经济
虚拟经济
国际贸易
美元指数
global oil prices
impact factors
real economy
virtual economy
international trade
the US dollar index
