摘要
本文利用不对称误差修正模型研究当原油价格变化时,国内汽油价格的反应机制问题。文章通过因果关系检验确定油价波动的传导方向,即原油价格的波动引起汽油价格的波动。通过对国际原油与国内汽油价格的时间序列进行协整检验,确定二者具有长期稳定的关系,在此基础上利用误差修正模型进行分析,得到这样的结论:当原油价格变化时,我国汽油价格表面上存在不对称反应现象,但在统计意义上并不存在显著的不对称反应。
This article studies the reaction of domestic gasoline when the price of crude oil changes, using the asymmetry error correction model. By testing the causality relationship, it determines the influence direction of oil price, i. e, the change of crude oil price influences the change of gasoline price. Examining the cointegration relationship of international crude oil price and domestic gasoline price, we get to know these two parties have long term stable relationship. On the basis of this relationship, we use error correction model to analyze and come to the conclusion that when the price of crude oil changes, the price reaction of domestic gasoline appears asymmetric, but it is not asymmetry statistically.
出处
《运筹与管理》
CSCD
2006年第6期155-159,共5页
Operations Research and Management Science
基金
国家"十五"科技攻关滚动基金资助项目(2004BA616A-01-16)
关键词
管理科学
油价
不对称反应
协整关系
误差修正模型
management science
oil price
asymmetry
cointegration relationship
error correction model
