世界经济与国际原油价格: 基于Kilian经济指数的协整分析

为了研究世界经济如何影响国际原油价格, 以协整理论为基础,通过建立误差修正模型分析了国际原油实际价格与世界经济、世界原油产量以及OECD石油库存的关系.特别地, 利用Kilian经济指数来反映全球经济状况. 研究结果表明:国际原油实际价格,OECD石油库存和Kilian经济指数存在着长期协整关系.在长期,Kilian经济指数对原油实际价格有显著影响,弹性大约为2.05%.随着全球经济扩张以及OECD石油库存下滑,即相对于长期均衡的负向离差加大, 原油实际价格上升, 反之油价下降. 短期内世界经济,OECD石油库存和世界原油产量变动是原油实际价格变动的Granger原因.

The global economy and world crude oil price:An analysis of the cointegration with Kilian economic index

In order to investigate the influence of global economic activity on world crude oil prices, this paper constructs a vector error correction model which is based on the cointegration theory, and analyzes the interactions among the real prices of world crude oil, global crude oil production, OECD petroleum inventory and global economic activity. Specifically, Kilian economic index is used as a measure of the global real economic activity that drives demand for crude oil. The results show that: There exists a long-run equilibrium relationship between the real prices of world crude oil, OECD petroleum inventory and Kilian economic index. Kilian economic index has a long-run significant effect on the real prices of crude oil and the long-run elasticity is about 2.05%. Following a global business cycle upswing and OECD inventory decrease, which means that the absolute value of the negative error from the long-run equilibrium relation is increasing, the real price of crude oil will increase. The short-run Granger causality running from the change in the global economic activity, OECD inventory and global crude oil production.