国际油价、汇率和股价关系的实证研究

发布时间：2018-03-16 15:39

本文选题：国际原油价格　切入点：上证综合指数　出处：《西南交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着《2012年世界能源统计年鉴》的出版,再一次把能源问题推到了风口浪尖。能源是支撑人类文明进步的物质基础,是经济社会发展不可或缺的基本条件,进入新世纪以来,我国能源实现了跨越式发展,成为世界上最大的能源生产和消费国,能源结构调整也取得了新成效,形成了煤炭、电力、油气和新能源、可再生能源全面发展的能源供应体系,能源服务水平大幅度提升,居民用能源条件有了明显改善。能源的发展为消除贫困、改善民生、保持经济社会平稳快速发展提供了有力保障。这其中,原油更是能源问题中的关键因素,原汕作为世界经济发展不可或缺的能源之一,无论是在经济还是政治上都影响着全球的发展和进步。我国作为全球化发展中举足轻重的国家,在原油经济中扮演着什么样的角色?以及国际原油价格与我国经济之间存在着怎样的关系?这是本文的出发点。本文选取了从2005年到2012年共计7年中的每一个交易日作为时间序列,利用向量自回归(VAR)模型、格兰杰因果检验、协整检验以及脉冲响应函数和方差分解、将国际原油价格、人民币兑美元汇率及股价设定为变量,以此来实现对上述三变量之间相关性的研究。通过对总计1280天的日数据进行系统的分析,同时结合文献研究法定性研究法以及定量研究法等方法,得出的试验结果表明：国际原油价格、人民币兑美元汇率和上证综合指数三个变量之间存在着协整关系,即三个变量之间的存在着长期的均衡关系,不会因为偏离而影响这种均衡关系。与此同时,国际原油价格、人民币兑美元汇率和上证综合指数三个变量之间不仅存在着长期的均衡关系,同时还存在着国际原油价格是人民币兑美元汇率的单向的格兰杰原因,即国际原油价格的前期变化能有效地解释人民币兑美元汇率的变化。上证综合指数是国际原油价格的格兰杰原因,即上证综合指数的前期变化能有效地解释国际原油价格的变化。而上证综合指数与人民币兑美元汇率之间存在着双向的格兰杰因果关系,即上证综合指数的前期变化能有效的解释人民币兑美元汇率的变化,反之,人民币兑美元汇率的前期变化也能有效地解释上证综合指数的变化。
[Abstract]:With the publication of the World Energy Statistics Yearbook of 2012, the problem of energy is once again pushed to the top of the wave. Energy is the material foundation to support the progress of human civilization, and is an indispensable basic condition for economic and social development. Since the beginning of the new century, China has achieved a leapfrog development of energy resources and become the largest energy production and consumption country in the world. New achievements have also been made in the adjustment of the energy structure, forming an energy supply system for the comprehensive development of coal, electricity, oil and gas, new energy and renewable energy. The level of energy services has been greatly improved, and the energy conditions for residents have been significantly improved. The development of energy resources has provided a strong guarantee for the eradication of poverty, the improvement of people's livelihood, and the maintenance of stable and rapid economic and social development. Among these, Crude oil is a key factor in the energy problem. As one of the indispensable sources of energy for world economic development, crude oil affects the development and progress of the whole world both economically and politically. What role does it play in the crude oil economy? And what is the relationship between the international crude oil price and China's economy? This is the starting point of this paper. In this paper, every trading day from 2005 to 2012 is selected as time series, and the international crude oil price is decomposed by using vector autoregressive VAR-model, Granger causality test, cointegration test, impulse response function and variance decomposition. The exchange rate and stock price of RMB against US dollar are set as variables to realize the study of the correlation among the above three variables. Through the systematic analysis of the daily data of 1280 days in total, At the same time, combined with the qualitative and quantitative methods of literature research, the experimental results show that there is a cointegration relationship among the three variables: the international crude oil price, the RMB / US dollar exchange rate and the Shanghai Composite Index. That is, there is a long-term equilibrium relationship between the three variables, which will not be affected by deviation. At the same time, the international crude oil price, There is not only a long-term equilibrium relationship between the three variables of RMB / US dollar exchange rate and Shanghai Composite Index, but also an international crude oil price is the one-way Granger cause of RMB / US dollar exchange rate. That is, the early changes in international crude oil prices can effectively explain the changes in the RMB exchange rate against the US dollar. The Shanghai Composite Index is the Granger reason for the international crude oil prices. That is, the early changes in the Shanghai Composite Index can effectively explain the changes in international crude oil prices. However, there is a two-way Granger causality between the Shanghai Composite Index and the RMB exchange rate against the US dollar. That is, the change of Shanghai Composite Index can effectively explain the change of RMB / USD exchange rate, conversely, the former change of RMB / USD exchange rate can also effectively explain the change of Shanghai Composite Index.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F416.2;F831.5

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