| 国内外燃料油期货市场价格对我国现货市场价格影响研究 |
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| 引用本文： | 齐中英,董羽鹏,赵娜. 国内外燃料油期货市场价格对我国现货市场价格影响研究[J]. 哈尔滨工业大学学报(社会科学版), 2010, 12(6): 61-67 |
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| 作者姓名： | 齐中英 董羽鹏 赵娜 |
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| 作者单位： | 哈尔滨工业大学,经济与管理学院,哈尔滨,150001;哈尔滨工业大学,经济与管理学院,哈尔滨,150001;哈尔滨工业大学,经济与管理学院,哈尔滨,150001 |
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| 摘 要： | 选取2006年1月4日到2009年12月30日国内外燃料油期、现货日价格数据,运用协整检验和向量误差修正模型,并利用格兰杰因果检验、脉冲响应函数以及方差分解等方法研究了新加坡燃料油市场以及上海燃料油期货市场对我国燃料油现货市场的影响。研究结果表明,上海燃料油期货价格、新加坡市场燃料油价格与我国燃料油现货市场价格存在长期的协整关系和价格引导关系,其中上海燃料油期货市场对我国现货市场价格起主导作用,新加坡市场也对我国现货市场存在相当大的影响力。短期内,新加坡市场对我国现货市场价格影响略大于上海燃料油期货市场对之的影响;而从长期看,后者的影响更为明显。
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| 关 键 词： | 燃料油价格 期货市场 协整关系 向量误差修正模型 |
Research on the Price Influence of Shanghai Future Market and Singapore Oil Market on Domestic Fuel Oil Spot Market |
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| QI Zhong-ying,DONG Yu-peng,ZHAO Na. Research on the Price Influence of Shanghai Future Market and Singapore Oil Market on Domestic Fuel Oil Spot Market[J]. Journal of Harbin Institute of Technology(Social Sciences Edition), 2010, 12(6): 61-67 |
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| Authors: | QI Zhong-ying DONG Yu-peng ZHAO Na |
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| Affiliation: | (School of Economics and Management,Harbin Institute of Technology,Harbin 150001,China) |
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| Abstract: | The paper focus on the price on domestic fuel oil spot market from both Shanghai future market and Singapore fuel oil market.After testing and verifying the cointegration relationship among the price of the above three markets,a VEC model has been set.Based on the model,the impact,which is from Shanghai and Singapore market,on the price of domestic fuel oil spot market in the long and short term is given by using Granger Causality Test,Impulse Response Function and Variance decomposition.The results illustrate that comparing with Singapore market,Shanghai fuel oil future market plays the leading role on price discover of the domestic spot market.However Singapore market still makes considerable influence especially in the short term. |
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| Keywords: | fuel oil price future market cointegration VEC model |
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