国际原油价格对国内原油价格的非线性冲击及其政策启示——基于STR模型的实证研究

Study on the Nonlinear Impact Effect of International Crude Oil Price on Domestic Crude Oil Price through STR Model

基于2000年1月至2016年5月国内外原油价格数据,运用非线性平滑转换回归(STR)模型实证研究国际油价对国内油价冲击的非线性特征。结论表明:国际油价对国内油价的冲击因国际油价增长率的差异而显著不同,二者的关系呈现分段特征,并在线性与非线性关系间转换;国内原油价格对国际原油价格变化的调整较快;国际油价冲击是国内油价波动的关键诱因,国内原油价格具有一定的惯性,由于政策调控的及时性,有效缓和了国内原油价格的上涨趋势。因此,政策制定者应关注国际原油价格对国内原油价格冲击效应的门槛值,把握主动权;国内原油价格水平与国际原油价格水平已实现充分接轨,当前石油定价机制调整的方向是使油价充分反映国内石油市场的供需变化;应尽快理顺我国原油价格与成品油价格的关系。

Base on the data of domestic crude oil prices and international crude oil price from January 2000 to November 2015,the non-linear smooth transition（ STR） model is employed to capture the non-linearity impact effect of international crude oil price on domestic crude oil price. It shows that： The impact of international crude oil price on domestic crude oil price is depending on the difference in the growth rate of international crude oil price significantly,the relationship between them is divided into different periods,and the relationship is changing between linearity and non-linearity. Domestic crude oil prices adjust very rapidly to the changes of international crude oil price; the international oil price is an important exogenous factor affecting domestic oil price; Domestic crude oil prices has a certain inertia,the timeliness of regulatory policy can effectively easing the upward trend in crude oil price. Policy implications of this paper lies in： policy makers should pay attention to the shock threshold effect of international crude oil prices on the domestic crude oil price,grasp the initiative; domestic crude oil prices and international crude oil price have been fully in line,the adjustment of current oil pricing mechanism is to fully reflects the changes of domestic oil market supply and demand,should as soon as possible to rationalize the relationship between the price of crude oil and refined oil prices.