国际原油与国内成品油价格传导机制实证研究——以柴油价格为例

发布时间：2018-03-03 20:11

本文选题：价格传导机制　切入点：国际原油价格　出处：《价格月刊》2016年04期 　论文类型：期刊论文

【摘要】：国际原油与国内成品油之间存在价格传导关系,以柴油价格为例,利用2005年~2015年WTI及0#柴油价格的月度数据,通过建立国际原油价格与柴油零售价格的向量自回归模型,结合脉冲响应函数及方差分解结果对国际原油与国内成品油的价格传导机制、方向及价格贡献率等问题进行了实证研究。结果表明:国际原油价格与国内柴油零售价格总体走势趋于一致;国际原油价格主要受自身历史价格影响,而柴油零售价格则显著地受到国际原油价格波动的影响。这表明我国现行成品油定价机制被动跟踪于国际原油价格,不能反映市场供求关系。
[Abstract]:There is a price conduction relationship between international crude oil and domestic refined oil. Taking diesel oil price as an example, using the monthly data of WTI and 0# diesel price from 2005 to 2015, a vector autoregressive model between international crude oil price and diesel retail price is established. Combined with impulse response function and variance decomposition results, the price conduction mechanism of international crude oil and domestic refined oil is studied. The results show that the international crude oil price tends to be consistent with the domestic diesel retail price, and the international crude oil price is mainly influenced by its own historical price. However, the retail price of diesel oil is significantly affected by the fluctuation of international crude oil price, which indicates that the current pricing mechanism of refined oil in China passively tracks the international crude oil price and cannot reflect the relationship between supply and demand in the market.
【作者单位】：天津理工大学管理学院;
【基金】：天津市高等学校创新团队培养计划资助(编号:TD12-5013)
【分类号】：F416.22;F764.1

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