文档介绍：
汇率与股市波动对石油价格的影响#
田立新,封录,方国昌*
(江苏大学理学院,江苏镇江 212013)
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摘要:美元汇率、股市对石油价格具有互动关系。本文基于 VAR 模型,应用协整检验、向
量误差修正模型、因果检验等方法,对比分析了 2008 年 8 月至 2012 年 8 月间国际石油价格
与汇率波动以及股市波动的关系。结果表明汇率波动与股市波动都能引起石油价格向反方向
变动且汇率波动对其影响较大,并在此基础上提出利用价格波动的集簇性对未来石油价格波
动进行预测。
关键词:石油价格;协整分析;向量误差修正;脉冲响应函数
中图分类号:F08
The exchange rate and the stock market impact on oil prices
Tian Lixin, Feng Lu, Fang Guochang
(Faculty of Science, Jiangsu University, Zhenjiang, Jiangsu 212013)
Abstract: Dollar exchange rates, stock market has relationship to the price of oil. In this paper, based
on VAR model, cointegration test, vector error correction model and causality test method, the
comparative analysis between August 2008 and August 2012 between the international oil price and
exchange rate volatility and the relationship between stock market volatility. Results show that the
exchange rate volatility and stock market fluctuations can cause oil prices move in the opposite
direction to the and the influence of exchange rate volatility is larger, and on the basis of price
fluctuations is proposed to cluster of oil price volatility forecast for the future.
Key words: The price of oil; Cointegration analysis; Vector error correction; Impulse response
function
0 引言
石油是当今世界最重要的战略资源之一,在促进国家经济发展、政治稳定的同时也保障
了国家的安全。因此,全面分析国际石油价格的影响因素,洞悉国际石油价格的未来走势,
度量国际石油价格频繁波动带来的风险有着十分重要的现实意义。
近年来国