美元指数对国际原油价格影响的实证分析

Empirical analysis of the impact of US dollar monetary value to international oil prices

为探讨国际原油价格与美元指数之间的关系,运用协整分析、误差修正模型和格兰杰因果关系的分析框架,分析国际原油价格与美元指数的周数据,采用二次项最小二乘法和滞后期为1的二次项误差修正模型进行实证分析.结果表明,美元指数与国际原油价格之间存在长期的均衡关系,其对原油价格的短期影响大于长期影响;美元指数与国际原油价格之间存在单向的格兰杰因果关系.

To study the relationship of the international oil price and U.S.dollar,we selected the weekly data of international oil price and U.S.dollar index,according to co-integration theory,error correction model and Granger causality tests analysis framework,and used least squares and quadratic term lag 1 of the quadratic term error correction model.And the result of empirical analysis is that,between the U.S.dollar index and the international oil price correlated with longer-term equilibrium relationship,but short-term impact on oil prices greater than the long-term effects,there is a one-way Granger causality relationship between U.S.dollar index and the international oil price.