美元贬值和石油价格变动相关性的实证分析

进入新世纪以来,由于各种因素导致美元不断贬值,与此形成鲜明对比的是,石油价格一路飙升。那么,美元汇率和石油价格之间是否存在着某种因果关系呢?由于期货市场具有价格发现功能。本文以最具代表性的美国纽约商品交易所的原油期货价格为研究对象,分析美元贬值和石油价格之间的关系。本文首先定性分析美元贬值导致石油价格上涨的传导机制,然后利用模型对相关数据进行实证分析。研究结果表明,石油期货价格的上涨,除了有美元指数的影响之外,更重要的原因是前期石油期货价格上涨对本期石油期货价格上涨有正向的推动作用。

An Empirical Analysis on Correlation between U.S.Dollar Depreciation and Oil Price Changes

As the new centrury comes,various kind of factors cause the continuous depreciation of U.S.dollar.With a clear and great contrast to the value of U.S.dollar,the prices of oil rise crazily.Therefore,we may ask if there is a causual relationship between the U.S.dollar exchange rate and oil prices.Since the futures market has the function of prices discovery, this paper chooses the most representative oil prices,the New York Mercantile Exchange crude oil futures prices,as the study object to research the relationship between the U.S.dollar depreciation and oil prices.This paper firstly analyses qualitatively the channel mechanism of U.S.dollar depreciation causing the high oil prices,then use a model to make an empirical strudy.The research results show that besides the influence of U.S.dollar index,the more important cause of the rise of crude oil futures price is the pre-time crude oil futures price,which has a positive action to the current crude oil futures price.