基于多元时间序列的国内基础油价格影响因素分析

Analysis of Factors Affecting Domestic Base Oil Prices Based on Multivariate Time Series

文章从多变量的角度对国内基础油价格的关联性进行研究建模,以期为相关行业提供决策依据和理论支持。首先,通过调研国内外大量相关文献以及咨询从业专家,由专家组以投票的方式确定基础油价格主要受到国际原油价格、宏观经济和相关油品价格联动三大因素影响;其次,通过建立向量自回归模型并进行方差分解分析,得出对目标变量国内150N以及500N基础油的价格波动具有明显影响的变量是其自身过往价格以及布伦特原油价格和采购经理人指数(PMI)。

The paper conducts research and modeling on the correlation of domestic base oil prices from a multi-variable perspective,with a view to providing decision-making basis and theoretical support for related industries.Firstly,by surveying a flood of relevant literature both home and abroad,consulting industry experts,and voting by an expert group,it was determined that the base oil price is mainly affected by three major factors:the international market,macroeconomics,and price linkage of related oil products.Secondly,by establishing a vector autoregressive model(VAM)and performing variance decomposition analysis(VDA),it came to the conclusion that the variables having a significant impact on the price fluctuations of the target variables domestic 150N(150N)and 500N(500N)base oils are their own past prices as well as Brent crude oil prices and the Purchasing Managers Index(PMI).