市场基本面、期货投机与国际油价波动—

摘要笔者采用SVAR模型对2003年~2011年国际原油价格的变动及其影响因素进行了实证分析。实证研究结果表明原油期货市场中投机力量已经成为国际原油价格波动的重要原因，其影响甚至超过了市场需求因素，且影响的持续期较长；国际市场需求仍然是国际油价波动的主要因素，原油储备及美元汇率的变动也显著影响着国际油价波动，但原油供给和市场利率的影响相对较弱。

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	刘建

关键词：国际原油价格期货投机市场需求原油储备

Abstract： This paper analyzes the factors of international oil prices fluctuations with monthly data from 2003 to 2011 by Granger causality test and VAR model. The results show that: Speculation in crude oil futures market forces has become an important reason of the current international oil price fluctuations,and its impact become even more than the market demand factors; Market demand continues to act as the most important factor on international oil price volatility,but the role of speculative factor has not weakened and it is still significantly affect the movement of oil prices; the movements of crude oil stocks and the dollar exchange index also have a significant effect on international oil prices fluctuations,while the effect of oil market supply and the interest is relatively small.

Keywords： International Crude Oil Price Futures Market Speculation Market Demand Crude Oil Stocks

收稿日期 2013-11-06; 接受日期 2013-11-06;

基金资助:国家社会科学基金重点项目(11AZD035)；国家社会科学基金青年项目(10YJC790102)；江西省社会科学规划一般项目(11JL07)；江西财经大学校级课题资助项目。

作者简介: 刘建(1983-)，男，山东高青人，江西财经大学国际经贸学院讲师，经济学博士，主要从事国际石油市场与价格波动研究。

引用本文:

刘建.市场基本面、期货投机与国际油价波动——基于SVAR模型的实证分析[J]. 经济经纬, 2013,6: 125-129

LIU Jian.Markets Foundation, Futures Market Speculation and the Volatility of International Crude Oil Prices: Based on a SVAR Model　[J] Economic Survey, 2013,V1(6): 125-129

链接本文:

http://www.jjjw.org.cn/CN/ 或 http://www.jjjw.org.cn/CN/Y2013/V1/I6/125