汇改后中国汇率市场与国际原油期货市场联动关系研究

发布时间：2018-03-22 18:06

本文选题：原油期货　切入点：汇率　出处：《宏观经济研究》2010年11期 　论文类型：期刊论文

【摘要】：本文利用JJ协整检验和Granger因果检验的计量方法,研究了汇率制度改革后中国汇率市场与原油期货市场的关系。实证结果表明,汇率制度改革后,人民币名义汇率与原油期货价格存在长期稳定的协整关系。从长期来看,原油期货价格上涨是人民币升值的单向Granger原因。从短期来看,原油期货价格和人民币名义汇率互为Granger成因。针对以上结论,进一步分析、提出了相应的政策建议。
[Abstract]:Using JJ cointegration test and Granger causality test, this paper studies the relationship between China's exchange rate market and crude oil futures market after the reform of the exchange rate regime. There is a long-term stable cointegration relationship between the nominal exchange rate of RMB and crude oil futures price. In the long run, the rise of crude oil futures price is the one-way Granger cause of RMB appreciation. In the short run, The crude oil futures price and the nominal exchange rate of RMB are the causes of Granger. Based on the above conclusions, the corresponding policy suggestions are put forward.
【作者单位】：绵阳师范学院商学院;
【分类号】：F224;F832.6;F832.52;F724.5

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