欧佩克产量行为对国际油价波动影响的实证研究

本文根据国际油价波动的特征,从波动产生原因的角度引入影响国际油价波动的欧佩克产量和欧佩克产量事件发布两个变量,基于GARCH族模型分析了欧佩克产量行为对国际油价波动的影响程度。研究发现,欧佩克当期产量不能显著影响国际油价波动,欧佩克滞后2期产量和欧佩克产量事件发布却能解释国际油价的大部分波动。结果表明欧佩克当期产量对国际油价波动的影响不大,而欧佩克滞后2期产量和欧佩克产量事件发布是国际油价波动的重要影响因素。

Empirical Analysis of OPEC's Influences on the World Oil Price Volatility

From the viewpoint of volatility came into being,the reasons should be focused on OPEC output and the output events-announcement.According to the characteristics of the oil price volatility time series,this paper analyzed the influences of OPEC's output and output events-announcement on the volatility of on price based on GARCH Model.The results showed that OPEC current output did not execute significant influences on the volatility of on price or lessen the volatility,while both OPEC output of lagged 2 periods and the events-announcement were notably interrelated with the oil price volatility and could explain most parts of volatility.We finally concluded that OPEC output of lagged 2 periods and the events-announcement exerted more influences on the oil price volatility than OPEC current output.