油价结构性变化检验与动态监控研究

Crude Oil Price Structural Change Test and Dynamic Monitoring Research

本文运用参数稳定性检验方法对油价动态波动路径进行研究,发现油价序列存在显著的结构性改变特征,检测出自1974年2月以来油价共经历了四次结构性改变过程,本文考察了导致结构性改变的根本原因以及与重大事件的关系,并给出了结构改变点的点估计和区间估计,同时根据结构性改变情况将油价价位波动过程划分为五个阶段。此外,本文还讨论了结构性改变的监控问题,在历史数据的基础上及时发现新的结构改变点,为油价走势预测和和石油市场形势判断提供参考依据。

This paper applies parameter stability test to study the dynamic path ot oil price, Tne results show that there are significant structural change features in oil price series, the test has found four significant structural breaks in oil price series since February, 1974. The fundamental causes of structural change and the relationship between important events and structural change have also been discussed in this paper. After giving the point estimator and interval estimator for structural breaks, this paper divides the path of oil price into five stages on the basis of the structural change situations and meanwhile studies the monitoring issue of structural change. Based on historical situations, we can find the new structural break in time which can provide reference for oil price forecasting and oil market situation judgment.