国际原油价格对国内汽油价格动态传导效应研究——基于协整和非对称ECM的分析

Research on Dynamic Conduction Effect Between Domestic Gasoline Prices and International Crude Oil Prices--Based on Co-integration and Non-symmetric ECM

进入新世纪以来,全球一体化深入到我国经济社会发展的各个领域,国际原油价格波动对我国成品油价格的影响日益明显。本文基于2004年1月至2015年3月国内汽油价格和国际原油价格的月度数据,采用协整方法和非对称误差修正模型(ECM)对国内汽油价格与国际原油价格之间的动态传导关系进行了实证研究。研究发现,国内汽油价格和国际原油价格之间存在长期的协整关系,国际原油价格领先于国内汽油价格,且二者之间存在非对称传导现象。

By using the method of co-integration and Asymmetric Error Correction Model□this article makes an empirical research on the dynamic transmission relation between domestic gasoline prices and international crude oil prices with monthly data from January 2004 to march 2015. We find that there is long-run equilibrium co-integration relation between domestic gasoline prices and international crude oil prices□ and international crude oil prices leads ahead in price □ and they also have asymmetric transmission phenomenon.