经济计量学中协整性分析的目的在于防止两个以上时间序列变量的虚假回归。选取2002年年底到2006年年初这一时间段的月平均数据,对W T I油价和布伦特油价进行协整性分析。协整性分析模型显示W T I和布伦特油价之间存在长期稳定的均衡关系...经济计量学中协整性分析的目的在于防止两个以上时间序列变量的虚假回归。选取2002年年底到2006年年初这一时间段的月平均数据,对W T I油价和布伦特油价进行协整性分析。协整性分析模型显示W T I和布伦特油价之间存在长期稳定的均衡关系;误差修正模型显示短期内布伦特的油价变化对W T I价格有较强的影响,且W T I的当期价格与均衡价格的偏差能够在下一期得到显著调整。展开更多
This paper investigates the relationship between China’s fuel ethanol promotion plan and food security based on the interactions between the crude oil market, the fuel ethanol market and the grain market. Based on th...This paper investigates the relationship between China’s fuel ethanol promotion plan and food security based on the interactions between the crude oil market, the fuel ethanol market and the grain market. Based on the US West Texas Intermediate(WTI) crude oil spot price and Chinese corn prices from January 2008 to May 2018, this paper applies Granger causality testing and a generalized impulse response function to explore the relationship between world crude oil prices and Chinese corn prices. The results show that crude oil prices are not the Granger cause of China’s corn prices, but changes in world crude oil prices will have a long-term positive impact on Chinese corn prices. Therefore, the Chinese government should pay attention to changes in crude oil prices when promoting fuel ethanol. Considering the conduction e ect between fuel ethanol and the food market, the government should also take some measures to ensure food security.展开更多
Historically,the price of WTI crude oil futures has long been higher than that of Brent by$2/barrel,but the spread between 2011 and 2015 was reversed and expanded to$24/barrel.In order to analyze the difference betwee...Historically,the price of WTI crude oil futures has long been higher than that of Brent by$2/barrel,but the spread between 2011 and 2015 was reversed and expanded to$24/barrel.In order to analyze the difference between two crude oil price variables with the same trend and phase separation using one method of analysis,this paper constructs a dynamic comparative analysis framework using the method of time-point decomposition of fluctuation factors to determine the different reasons and amplitudes for monthly fluctuations in the two price systems in the sample interval.The study found that the sensitive response of Brent futures price indicators to the world’s crude oil supply resulting from the depletion of oil in the North Sea oil field prompted it to rise in 2011–2015.For the WTI price system,due to the increase in the US shale oil production after 2008 and the restrictions in domestic pipeline transportation capacity,the increase in the Cushing crude oil inventory caused downward pressure on the WTI price.With the lifting of the US crude oil export ban in December 2015,arbitrage space disappeared,and the spread between the two gradually narrowed.展开更多
文摘经济计量学中协整性分析的目的在于防止两个以上时间序列变量的虚假回归。选取2002年年底到2006年年初这一时间段的月平均数据,对W T I油价和布伦特油价进行协整性分析。协整性分析模型显示W T I和布伦特油价之间存在长期稳定的均衡关系;误差修正模型显示短期内布伦特的油价变化对W T I价格有较强的影响,且W T I的当期价格与均衡价格的偏差能够在下一期得到显著调整。
基金sponsored by MOE Project of Humanities and Social Sciences (Project No. 17YJC790107)sponsored by the National Social Science Foundation of China (Project No. 18BJY251)
文摘This paper investigates the relationship between China’s fuel ethanol promotion plan and food security based on the interactions between the crude oil market, the fuel ethanol market and the grain market. Based on the US West Texas Intermediate(WTI) crude oil spot price and Chinese corn prices from January 2008 to May 2018, this paper applies Granger causality testing and a generalized impulse response function to explore the relationship between world crude oil prices and Chinese corn prices. The results show that crude oil prices are not the Granger cause of China’s corn prices, but changes in world crude oil prices will have a long-term positive impact on Chinese corn prices. Therefore, the Chinese government should pay attention to changes in crude oil prices when promoting fuel ethanol. Considering the conduction e ect between fuel ethanol and the food market, the government should also take some measures to ensure food security.
文摘Historically,the price of WTI crude oil futures has long been higher than that of Brent by$2/barrel,but the spread between 2011 and 2015 was reversed and expanded to$24/barrel.In order to analyze the difference between two crude oil price variables with the same trend and phase separation using one method of analysis,this paper constructs a dynamic comparative analysis framework using the method of time-point decomposition of fluctuation factors to determine the different reasons and amplitudes for monthly fluctuations in the two price systems in the sample interval.The study found that the sensitive response of Brent futures price indicators to the world’s crude oil supply resulting from the depletion of oil in the North Sea oil field prompted it to rise in 2011–2015.For the WTI price system,due to the increase in the US shale oil production after 2008 and the restrictions in domestic pipeline transportation capacity,the increase in the Cushing crude oil inventory caused downward pressure on the WTI price.With the lifting of the US crude oil export ban in December 2015,arbitrage space disappeared,and the spread between the two gradually narrowed.
