实际利率和存货调整对国际油价波动的影响——基于套利模型和1995-2015年月度数据的实证研究

• 作 者: 谭小芬 刘杰
• 机 构: 中央财经大学金融学院,中国人民大学汉青经济与金融高级研究院,
• 出 处: 投资研究
• 发表日期: 2015年11期
• 关键词: 套利 实际利率 模型 存货调整 存货 国际油价波动 国际油价 月度数据 脉冲响应函数 套利模型

本文研究1995-2015年实际利率和存货调整对国际油价的影响。在引入套利模型的基础上,对包含供给、需求、利率、存货和油价的TVP-VAR模型进行估计,得到各因素关于油价的时变回归系数和脉冲响应函数值。主要结论有:第一,存货对油价的影响为负,存货具有减缓油价波动的作用;第二,需求在2000-2009年对油价的影响较大,而供给在1996-1999年较为重要;第三,利率影响油价的机制主要通过实体经济需求;第四,2014年下半年油价骤降主要是供给增加和存货积累所致。

This article studies the effect of real interest rates and inventory adjustments on international oil prices from 1995 to 2015. Based on the introduction of arbitrage model, TVP-VAR model including supply, demand, interest rate, inventory and oil price is estimated, and the time-varying regression coefficient and impulse response function value of each factor about oil price are obtained. The main conclusions are as follows: First, the negative impact of inventory on oil price is negative, and inventory has the effect of slowing the fluctuation of oil price. Second, demand has a greater impact on oil price from 2000 to 2009 while supply is more important from 1996 to 1999. Sub- Third, the mechanism by which interest rates affect oil prices mainly passes the demand of the real economy; Fourth, the sharp drop in oil prices in the second half of 2014 was mainly due to the increase in supply and the accumulation of inventories.