本文選題：原油期貨　切入點：匯率　出處：《宏觀經(jīng)濟研究》2010年11期 　論文類型：期刊論文

【摘要】：本文利用JJ協(xié)整檢驗和Granger因果檢驗的計量方法,研究了匯率制度改革后中國匯率市場與原油期貨市場的關(guān)系。實證結(jié)果表明,匯率制度改革后,人民幣名義匯率與原油期貨價格存在長期穩(wěn)定的協(xié)整關(guān)系。從長期來看,原油期貨價格上漲是人民幣升值的單向Granger原因。從短期來看,原油期貨價格和人民幣名義匯率互為Granger成因。針對以上結(jié)論,進一步分析、提出了相應(yīng)的政策建議。
[Abstract]:Using JJ cointegration test and Granger causality test, this paper studies the relationship between China's exchange rate market and crude oil futures market after the reform of the exchange rate regime. There is a long-term stable cointegration relationship between the nominal exchange rate of RMB and crude oil futures price. In the long run, the rise of crude oil futures price is the one-way Granger cause of RMB appreciation. In the short run, The crude oil futures price and the nominal exchange rate of RMB are the causes of Granger. Based on the above conclusions, the corresponding policy suggestions are put forward.
【作者單位】： 綿陽師范學院商學院;
【分類號】：F224;F832.6;F832.52;F724.5

【參考文獻】

相關(guān)期刊論文 前3條

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本文編號：1649782