本文選題：國際原油價格　切入點：上證綜合指數(shù)　出處：《西南交通大學》2013年碩士論文　論文類型：學位論文

【摘要】：隨著《2012年世界能源統(tǒng)計年鑒》的出版,再一次把能源問題推到了風口浪尖。能源是支撐人類文明進步的物質基礎,是經(jīng)濟社會發(fā)展不可或缺的基本條件,進入新世紀以來,我國能源實現(xiàn)了跨越式發(fā)展,成為世界上最大的能源生產(chǎn)和消費國,能源結構調整也取得了新成效,形成了煤炭、電力、油氣和新能源、可再生能源全面發(fā)展的能源供應體系,能源服務水平大幅度提升,居民用能源條件有了明顯改善。能源的發(fā)展為消除貧困、改善民生、保持經(jīng)濟社會平穩(wěn)快速發(fā)展提供了有力保障。這其中,原油更是能源問題中的關鍵因素,原汕作為世界經(jīng)濟發(fā)展不可或缺的能源之一,無論是在經(jīng)濟還是政治上都影響著全球的發(fā)展和進步。我國作為全球化發(fā)展中舉足輕重的國家,在原油經(jīng)濟中扮演著什么樣的角色?以及國際原油價格與我國經(jīng)濟之間存在著怎樣的關系?這是本文的出發(fā)點。 本文選取了從2005年到2012年共計7年中的每一個交易日作為時間序列,利用向量自回歸(VAR)模型、格蘭杰因果檢驗、協(xié)整檢驗以及脈沖響應函數(shù)和方差分解、將國際原油價格、人民幣兌美元匯率及股價設定為變量,以此來實現(xiàn)對上述三變量之間相關性的研究。通過對總計1280天的日數(shù)據(jù)進行系統(tǒng)的分析,同時結合文獻研究法定性研究法以及定量研究法等方法,得出的試驗結果表明：國際原油價格、人民幣兌美元匯率和上證綜合指數(shù)三個變量之間存在著協(xié)整關系,即三個變量之間的存在著長期的均衡關系,不會因為偏離而影響這種均衡關系。與此同時,國際原油價格、人民幣兌美元匯率和上證綜合指數(shù)三個變量之間不僅存在著長期的均衡關系,同時還存在著國際原油價格是人民幣兌美元匯率的單向的格蘭杰原因,即國際原油價格的前期變化能有效地解釋人民幣兌美元匯率的變化。上證綜合指數(shù)是國際原油價格的格蘭杰原因,即上證綜合指數(shù)的前期變化能有效地解釋國際原油價格的變化。而上證綜合指數(shù)與人民幣兌美元匯率之間存在著雙向的格蘭杰因果關系,即上證綜合指數(shù)的前期變化能有效的解釋人民幣兌美元匯率的變化,反之,人民幣兌美元匯率的前期變化也能有效地解釋上證綜合指數(shù)的變化。
[Abstract]:With the publication of the World Energy Statistics Yearbook of 2012, the problem of energy is once again pushed to the top of the wave. Energy is the material foundation to support the progress of human civilization, and is an indispensable basic condition for economic and social development. Since the beginning of the new century, China has achieved a leapfrog development of energy resources and become the largest energy production and consumption country in the world. New achievements have also been made in the adjustment of the energy structure, forming an energy supply system for the comprehensive development of coal, electricity, oil and gas, new energy and renewable energy. The level of energy services has been greatly improved, and the energy conditions for residents have been significantly improved. The development of energy resources has provided a strong guarantee for the eradication of poverty, the improvement of people's livelihood, and the maintenance of stable and rapid economic and social development. Among these, Crude oil is a key factor in the energy problem. As one of the indispensable sources of energy for world economic development, crude oil affects the development and progress of the whole world both economically and politically. What role does it play in the crude oil economy? And what is the relationship between the international crude oil price and China's economy? This is the starting point of this paper. In this paper, every trading day from 2005 to 2012 is selected as time series, and the international crude oil price is decomposed by using vector autoregressive VAR-model, Granger causality test, cointegration test, impulse response function and variance decomposition. The exchange rate and stock price of RMB against US dollar are set as variables to realize the study of the correlation among the above three variables. Through the systematic analysis of the daily data of 1280 days in total, At the same time, combined with the qualitative and quantitative methods of literature research, the experimental results show that there is a cointegration relationship among the three variables: the international crude oil price, the RMB / US dollar exchange rate and the Shanghai Composite Index. That is, there is a long-term equilibrium relationship between the three variables, which will not be affected by deviation. At the same time, the international crude oil price, There is not only a long-term equilibrium relationship between the three variables of RMB / US dollar exchange rate and Shanghai Composite Index, but also an international crude oil price is the one-way Granger cause of RMB / US dollar exchange rate. That is, the early changes in international crude oil prices can effectively explain the changes in the RMB exchange rate against the US dollar. The Shanghai Composite Index is the Granger reason for the international crude oil prices. That is, the early changes in the Shanghai Composite Index can effectively explain the changes in international crude oil prices. However, there is a two-way Granger causality between the Shanghai Composite Index and the RMB exchange rate against the US dollar. That is, the change of Shanghai Composite Index can effectively explain the change of RMB / USD exchange rate, conversely, the former change of RMB / USD exchange rate can also effectively explain the change of Shanghai Composite Index.
【學位授予單位】：西南交通大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F416.2;F831.5

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8 戚倩e，

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