基于VAR模型的国内原油价格波动研究
Title the study about the domestic crude oil prices based on the VAR model
Abstract
Since china reformed its oil price management system which performed
efficency in recent years,China's crude oil price was linked to the
international crude oil prices and the frequent fluctuation of the
international crude oil prices would have a heavy effect on the economic
development and the safety of energy.This article has selected the monthly
trading data of Brent and WTI crude oil futures prices and spot prices as
the international crude oil futures prices samples and the monthly trading
data of crude oil spot prices in the same period from Daqing oil field
as the domestic crude oil spot prices samples.To study the relationship
between then,we combine qualitative analysis with quantitative
analysis,use cointegration test,Granger test and we find that the degree
of association between Brent crude oil and domestic crude oil is much higher
than WTI crude oil.With that, we shed lights on the prediction of the
domestic crude oil spot prices by using VAR model,we reach the conclusion
that the fluctuation of domestic crude oil spot prices due much to the Brent
crude oil futures prices by impluse response function and variance
decompositon.Besides,the result of emprical analysis also prove the
superiority of the VAR model.
Key word: futures price, spot price, VAR model
目 录
1 绪论 6
1.1 研究背景和意义 6
1.2 国内外文献研究 7
1.3 论文创新之处和内容安排 9
2 预备知识 11
2.1 序列平稳性检验 11
2.2 协整理论 12
2.3 Granger 因果关系检验 13
2.4 脉冲响应函数13
2.5 方差分解14
2.6 向量自回归模型14
3 影响国内原油价格的决定性因素 14
3.1 数据的选取 15
3.2 国际原油现货价格 15
3.3 国际原油期货价格 18
3.4 本章小结 21
4 国内原油价格波动的预测模型 22
4.1 数据处理 22
4.2 模型的建立 22
4.3 模型的结果分析 24
4.4 模型的检验 27
4.5 本章小结 31结论 33
致谢 34
参考文献 351 绪论
1.1 研究背景和意义
1.1.1 研究背景
在经济全球化的今天，石油工业和能源安全问题已经成为各国关注的重点，因为
它影响着一国的政治、经济和环境等各个方面。石油是“工业血液” ，作为一种基础
能源产品， 目前约占全球能源消费的40%， 在世界经济体系中占据着举足轻重的地位。
油价对于经济增长、物价水平、失业率，对于农业、工业、交通运输以及人民生活水
平都有直接的影响。因此，对于现代开放经济体系来说，国际原油价格的波动必将成
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