人民币汇率对国际原油定价的影响和机制

Influence of RMB Exchange Rate on International Crude Oil Pricing and Its Mechanism

本文基于动态条件相关混频数据抽样模型,研究人民币汇率收益率与国际原油收益率的相关性。结果表明:人民币收益率与国际原油收益率存在一定程度负相关关系,但负相关程度不高;中国原油进口量和制造业采购经理指数上升能提升人民币和原油收益率的负相关程度,面额效应的作用机制存在;国际期货市场投机活跃程度增强能提升人民币和原油收益率的负相关程度,组合效应的作用机制存在。人民币与国际原油收益率负相关程度增强是汇率影响原油定价的基础,因此推动原油期货市场国际化,维持经济增速将有助于实现人民币国际化。

Using DCC-MIDAS model,this paper analyzes the correlation between RMB exchange rate yield and international crude oil yield.The results show that:there is a certain degree of negative correlation,but is not strong;the increase in China’s crude oil import volume and PMI enhances the negative correlation,and the mechanism of denomination effect exists;the increase in speculative activity in international futures market enhances the negative correlation,and the mechanism of associated effect exists.The enhanced negative correlation is the basis for the RMB exchange rate to affect crude oil pricing.Therefore,promoting the internationalization of crude oil futures market and maintaining economic growth will help realize the internationalization of RMB.