国际油价、美元汇率对石油钻井投资市场影响的实证研究

发布时间：2018-12-06 09:30

【摘要】：国际油价与美元汇率的走势对石油钻井投资市场有着重要的影响,能否用美元汇率与国际油价的走势来预测石油钻井投资市场变动并进行投资决策值得深入探讨。以经典的协整理论和VAR模型为基础,利用Johansen协整检验、ECM、Granger因果关系检验、脉冲响应函数等方法,对国际原油价格、美元实际汇率与全球石油钻井数两两之间以及三者之间的定量关系进行了探讨,研究结果表明:(1)国际原油价格对石油钻井数长期具有正向影响;(2)美元实际汇率对石油钻井数长期具有反向影响;(3)建立三因素的VAR模型分析发现,国际原油价格对石油钻井数显著正相关,而美元实际有效汇率的影响并不显著,且两者的贡献率均不高,前期石油钻井数的贡献率居于主导地位。
[Abstract]:The trend of international oil price and dollar exchange rate has an important influence on the oil drilling investment market. It is worth discussing whether the trend of dollar exchange rate and international oil price can be used to predict the change of oil drilling investment market and make investment decision. Based on the classical cointegration theory and VAR model, using the methods of Johansen cointegration test, ECM,Granger causality test, impulse response function, etc. The quantitative relationship between the real exchange rate of the US dollar and the number of oil drillings in the world and between them is discussed. The results show that: (1) the international crude oil price has a long-term positive impact on the number of oil drillings; (II) the United States dollar real exchange rate has a long-term negative effect on the number of oil wells; (3) based on the three-factor VAR model, it is found that the international crude oil price has a significant positive correlation with the number of oil wells, while the effect of the US dollar effective exchange rate is not significant, and the contribution rate of both is not high. The contribution rate of oil drilling number is dominant.
【作者单位】：中国石油大学(华东)经济管理学院;
【基金】：教育部高校人文社科规划项目(10YJA630038) 山东省自然科学基金资助项目(ZR2012GM011)
【分类号】：F764.1;F831.52;F224

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