ն౩െႲ࿐ჽ࿐Б第34卷第6期2010年12月ૅჭᆷඔؓݓ࠽ჰႲࡎ۬႕ཙ֥ൌᆣٳ༅彭 民1,孙彦彬1,李凤升1,姚丽霞1,李 臣2(1.תКെႲն࿐ࣜ࠶ܵ࿐ჽ,ޑࡾն౩ 163318; 2.ঐၿྛն౩ٳྛ,ޑࡾն౩ 163453) ᅋ ေ:ູฐษݓ࠽ჰႲࡎ۬აૅჭᆷඔᆭࡗ֥ܱ༢,ᄎႨླྀᆜٳ༅a༂ҵྩᆞଆބ۬ধࢭၹݔܱ༢֥ٳ༅ॿࡏ,ٳ༅ݓ࠽ჰႲࡎ۬აૅჭᆷඔ֥ᇛඔऌ,ҐႨؽՑཛቋཬؽӰمބᇌު௹ູ1֥ؽՑཛ༂ҵྩᆞଆࣉྛൌᆣٳ༅.ࢲݔіૼ,ૅჭᆷඔაݓ࠽ჰႲࡎ۬ᆭࡗթᄝӉ௹֥नޙܱ༢,ఃؓჰႲࡎ֥۬؋௹႕ཙնႿӉ௹႕ཙ;ૅჭᆷඔაݓ࠽ჰႲࡎ۬ᆭࡗթᄝֆཟ֥۬ধࢭၹݔܱ༢.ܱ Ս:ૅჭᆷඔ;െႲࡎ۬;ླྀᆜٳ༅ᇏٳোݼ: ໓ངѓ്:A ໓ᅣщݼ:10001891(2010)06009604֒ૅჭӮູݓ࠽ჰႲࡎຸ֥۬၂ࢲෘࠊлൈ,ݓ࠽ჰႲ൧ӆႲࡎ֥ѯࣼაૅჭлᆴэ߄ૡ҂ॖٳ.2007୍,ૅჭؓ14ᇕൗࢸᇶေࠊлԛགྷъᆴ,ఃᇏؓჭъᆴჿ%,ؓರჭъᆴჿ6%,ݓ࠽ჰႲࡎ္۬ԛགྷ၂ѯॹഈᅨݖӱ.ݓ࠽ჰႲࡎ֥۬ᅨઋԢਔّ႘ݓ࠽െႲ܂ܱ༢ᆭຓ,ߎႵࠏaૅჭ߸ੱ֩ၹ֥႕ཙ,ఃᇏૅჭ߸ੱэ߄ؓݓ࠽ჰႲࡎ۬Ӂള֥႕ཙაെႲૅჭ֥ྙӮႵ၂ק֥ܱ༢.ૅჭӻ࿃ъᆴջটૅჭ֥նਈ൲,ູਔܿхڄག,ݓ࠽ࠏഅࡼૅჭؑߐӮЌᆴੱ֥ۚࣁವӁ,െႲ௹ࠊކჿࣼ൞ః࿊ᄴ֥ᇕᆭ၂.െႲ௹ࠊႻؓെႲགྷࠊӁള႕ཙ,ႮՎۚݓ࠽ჰႲࡎ.۬ᄝݓ࠽ჰႲࡎ࣮۬ٚ૫,JoseARaHeLY֩๙ݖഡקെႲ൧ӆ֥҂ࢲܒაҕაെႲ൧ӆ֥҂ྛູᇶุ֥ྛ,ູࡹ৫۲ᇕંٳ༅ଆѩႄࣉཌྷܱҕඔ࣮ݓ࠽െႲࡎ۬[1-2];ᄝݓ࠽െႲ௹ࠊ൧ӆ֥Ⴕིྟࠣݓ࠽ჰႲࡎ۬აఃࣜ࠶эਈᆭࡗ֥ܱ༢ٚ૫,GulenSG০Ⴈླྀᆜંࣉྛ࣮[3];Sa-dorskyPؿགྷჰႲaႨಗਘႲބణచႲ֥௹ࠊ(௹ཋູ30d)ࡎ۬აૅჭ߸ੱᆭࡗթᄝӉ؋௹֥Grangerၹݔܱ༢[4];ம֩๙ݖཌྷܱဒa౷ཌކဒބҗҵᆞဒဒᆣਔݓ࠽െႲ௹ࠊࡎ۬აૅჭᆷඔ֥Ӊ௹ܱ༢[5];ਃ఼ؓݓ࠽Ⴒࡎࢲܒࠣѯหᆘࣉྛ࣮[6];ӎ֩๙ݖAR(1)ଆ૭ඍݓ࠽Ⴒࡎэหׄ,ٳ༅႕ཙႲࡎ֥Ӊ؋௹ၹࠣఃᆭࡗ֥ܱ༢[7];සზބٓႇ֩ؓݓ࠽ჰႲ௹ࠊࡎ۬აགྷࠊࡎ֥ܱ۬༢ࣉྛൌᆣ࣮[8-9].ᆃུ࣮ᇶေຶಡݓ࠽െႲࡎѯ֥ྛູࣉ,ྛॉ੮֥ൌุၹࢠ؟,طࣁವၹࢠഒ.ູՎ,ҐႨླྀᆜٳ༅مٳ༅ૅჭᆷඔэ߄აӉ؋௹ݓ࠽Ⴒࡎэ߄ᆭࡗ֥ܱ༢.1 数据选取࿊౼୧ჿૣࢌၞ෮(NYCE)֥ૅჭᆷඔࠣКૅ༆֤क़ථ(WTI)ჰႲࡎ(۬FOB).ၛᇛູҐဢࡗۯ,ၛॉ੮ൈࡗᇛ௹ࠣ၂ུࠞ؊ၹ֥႕ཙ.ඔऌ࿊౼Ֆ1986୍1ᄅ~2008୍11ᄅ֥ૄᇛૅჭᆷඔ֥൬ׄඔބWTI֥ૄᇛቋު၂ರࡎ,۬ೂଖರູ٤ࢌၞರ,ᄵ࿊౼ิభ֞एପ฿ቋ֥࣍ࢌၞರ֥ࢌၞࡎ۬.ູਔཨԢൈࡗਙඔऌၳٚҵྟ,ؓ࿊౼֥ඔऌࣉྛሱಖؓඔ֥ԩ,USDXսіૅჭᆷඔ,ఃؓඔྙൔູLUSDX;WTISսіݓ࠽ჰႲࡎ,۬ఃؓඔྙൔູ 统计描述ݓ࠽ჰႲࡎ۬აૅჭᆷඔሼ൝թᄝ၂ק֥ڵཌྷܱܱ༢(1).1990~1991,୍ૅჭᆷඔי100൬۠ರ௹:20100228;ബ۠ದ:ᅵम;щࠠ:ᆽ ࠎࣁཛଢ:ޑࡾസ࢝ტ๏ದ໓ഠ߶॓࿐ཛଢ(11534011) ቔᆀࡥࢺ:ம (1968-),ଳ,Ѱൖ,࢝൱,ᇶေՖ൙ݓ࠽ࣁವܵაെႲࣜ࠶ٚ૫֥࣮.#96#
ֻ6௹ ம ֩:ૅჭᆷඔؓݓ࠽ჰႲࡎ۬႕ཙ֥ൌᆣٳ༅ൈ,ჰႲࡎ۬ԛགྷ၂ѯॹഈᅨ;1991~1996୍,ૅჭᆷඔຶಡ100ᅎږѯ,ჰႲࡎ္۬ຶಡ20ૅჭᅎږѯ,ჰႲࡎ۬бࢠ໗ק;1997~1998୍,ෛሢૅჭᆷඔ֥ഈᅨ,ჰႲࡎ۬ԛགྷ၂קӱ؇֥༯י;1999~2001୍,ჰႲࡎ۬ෛሢૅჭᆷඔ֥ഈശطഈᅨ,թᄝ၂؍ൈࡗ֥ᆞཌྷܱܱ༢;2002୍ᆭ,ުૅჭᆷඔषሼ,ჰႲࡎ۬ԛགྷཁᇷ֥ഈᅨ,֒ૅჭᆷඔי80ൈ,ჰႲࡎ۬ԛགྷЕؿൔഈᅨ,ቋۚղ֞ૄ147ૅჭၛഈ,ު൳ࣁವາࠏ֥႕ཙԛགྷॹ༯י.Ⴎ1ुԛ,2002~2008୍,ݓ࠽ჰႲࡎ۬აૅჭᆷඔᆭࡗіགྷཁᇷ֥ڵཌྷܱྟ.ჰႲࡎ۬ѯږაૅჭᆷඔѯږᆭࡗ֥ܱ༢2.Ⴎ2ॖ,֒ૅჭᆷඔᄝ90ၛഈԩႿ఼൝ൈ,ჰႲࡎ۬ᄝૄ20~40ૅჭᆭࡗѯ,ٓຶбࢠᅎ,Ⴒࡎбࢠ໗;֒ૅჭᆷඔᄝ80~90ᆭࡗѯൈ,ჰႲࡎ۬ѯٓຶঔն֞ૄ20~80ૅჭ;֒ૅჭᆷඔי80ൈ,ჰႲࡎ۬ѯٓຶঔն,ᄝ2007୍2ᄅ~2008୍7ᄅჰႲࡎ۬Ֆૄ50ૅჭഈᅨ֞ቋۚૄ147ૅჭ,ഈᅨ190%ၛഈ,ѯٓຶ္ঔն֞ૄ40~147ૅჭ.图1 石油价格与美元指数的关系图2 石油价格与美元指数波幅的关系3 实证分析ູॉҳ2002~2008୍ݓ࠽Ⴒࡎაૅჭᆷඔᆭࡗ֥ཁᇷڵཌྷܱྟ,๙ݖࡹ৫ᇌު௹ູ1֥ؽՑཛ༂ҵྩᆞଆٳ༅ؽᆀᆭࡗ֥ܱ༢. ֆ໊۴ဒֆ໊۴ဒҐႨADFဒٚم,ٳљဒૄ۱эਈ֥ൈࡗਙඔऌ֥ਬࢨބ၂ࢨҵٳྙൔ.ဒྙൔᇏC,T,Lٳљսіֆ໊۴ဒٚӱᇏЇݣ֥ӈඔཛaൈࡗ൝ބᇌު௹ࡗ,Dіൕҵٳෘሰ.ဒࢲݔі1.Ⴎі1ॖ,ݓ࠽ჰႲࡎ۬ބૅჭᆷඔ֥ൈࡗਙඔऌ൞٤໗֥(LWTISބLUSDX֥ADFᆴनնႿ5%ཁᇷྟඣ֥ਢࢸᆴ).ؓႿఃؓඔ֥၂ࢨҵٳਙ(D(LWTIS)ބD(LUSDX)),ॖၛऋधਬࡌഡ,ࠧૌ൞໗֥(D(LWTIS)ބD(LUSDX)֥ADFᆴनཬႿ5%ཁᇷྟඣ֥ਢࢸᆴ),ఃൈࡗਙ൞၂ࢨֆᆜ,֥ࠧLWITS~I(1),LUSDX~I(1),ၹՎݓ࠽ჰႲࡎ۬ބૅჭᆷඔᆭࡗॖିթᄝླྀᆜܱ༢.і1 LWTISބLUSDX֥ֆ໊۴ဒࢲݔэਈဒྙൔ(C,T,L)ADFᆴ1%ਢࢸᆴ5%ਢࢸᆴࢲંLWTIS(C,0,0)٤໗LUSDX(C,0,0)٤໗D(LWTIS)(C,0,0)໗D(LUSDX)(C,0,0)໗ EGمླྀᆜဒೂݔ෮ေဒ֥эਈ൞ླྀᆜ֥,ᄵіૼэਈࡗթᄝӉ௹֥໗קܱ༢,ᆃᇕܱ༢ᄝ؋௹ݖӱ֥҂؎טᆜ༯֤ၛົӻ.۴ऌܴׄҳ,ݓ࠽ჰႲࡎ۬აૅჭᆷඔᆭࡗթᄝ౷ཌ֥ڵཌྷܱܱ༢.൮༵ؓLWTISބLUSDXࣉྛؽՑཛቋཬؽӰمܙ࠹.LWTS=++Ut,(1)#97#
ն ౩ െ Ⴒ ࿐ ჽ ࿐ Б ֻ34ज 2010୍t=()()(),R2=. ᄜؓٚӱൔ(1)֥݂߭җҵUtࣉྛADFֆ໊۴ဒ,ࢲݔཁൕADF࠹ਈູ,ః1%֥ਢࢸᆴູ,5%֥ਢࢸᆴູ.ၹՎ,ॖၛק֒ADF࠹ਈཬႿཁᇷྟඣ5%ਢࢸᆴൈ,෮ܙ࠹֥݂߭җҵUt൞໗֥(ֆ໊۴),ඪૼLWTISބLUSDXթᄝሢླྀᆜܱ༢,ࠧӉ௹֥नޙܱ༢. ཟਈ༂ҵྩᆞ(ECM)ଆ۴ऌླྀᆜဒࢲݔ,ECMt=Ut,ࡹ৫ᇌު௹ູ1֥ؽՑཛ༂ҵྩᆞଆ,ࠧD(LWTIS)=(LUSDX)(LUSDX2)-1+Et,(2).=,Durbin-Watsonstat=,t=()()()(),R2=. ൔ(2)ᇏECMt-1ູ༂ҵྩᆞཛ,൞ٚӱ֥җҵ֥၂ࢨᇌުཛ,ၹඔіൕݓ࠽ჰႲࡎ۬ؓӉ௹नޙᆴொ֥טᆜ৯؇,༂ҵྩᆞၹඔູڵ,ژކّཟྩᆞࠏᇅ.EtູऎႵ๙ӈྟᇉ֥༂ҵཛ.ᄝ༂ҵྩᆞଆᇏ,ჰႲࡎ֥۬ѯॖၛٳູ؋௹ѯބӉ௹नޙ.༂ҵྩᆞၹඔູ,ඪૼଆ༂ҵྩᆞၹඔऎႵّཟྩᆞࠏᇅ,ၹඔࢠཬඪૼטᆜ৯؇ѩ҂൞ޓն,ࠧؓႿჰႲࡎ۬؋௹֥ѯ,๙ݖૅჭᆷඔაჰႲࡎ۬ᆭࡗ֥Ӊ௹नޙࠏᇅࣉྛሱטࢫ൞٤ӈߏત֥aࢠӉ֥ൈࡗݖӱ.֒௹ჰႲࡎ۬ؓӉ௹नޙࡎ֥۬ொ߶ᄝ༯၂௹֤֞ྩᆞ,նჿླေ(1/)ᇛ֤֞ྩᆞ,ᆃ္൞ݓ࠽ჰႲࡎ۬ᄝഈᅨᆭު҂ିᄝ؋௹ଽ߭ઋ֥ჰၹ.ҵٳཛّ႘эਈ؋௹ѯ֥႕ཙ,ఃၹඔູ,ඪૼUSDX఼֥ؓ؋௹Ⴒࡎ֥႕ཙնႿӉ௹. ۬ধࢭ(Granger)ၹݔဒ ۴ऌԅӽྐ༏ჰᄵ(AIC)࿊ᄴᇌުі2 ۬ধࢭ(Granger)ၹݔဒࢲݔ௹ູ1,Grangerၹݔဒࢲݔі2.ਬࡌഡFᆴPᆴࢲંႮі2ॖၛुԛWTIS҂൞USDX֥Granger֥ჰၹ٤ऋध,ᄝ5%ཁᇷྟඣഈ,ૅჭᆷඔაݓ࠽ჰႲࡎ۬թᄝֆཟ֥USDX҂൞WTIS֥Granger֥ჰၹऋधGranger႕ཙ,ّ႘ૅჭᆷඔ൞ݓ࠽ჰႲࡎ۬э߄֥ჰၹ. ઝԊཙႋࠣٚҵٳ༅۴ऌਆэਈVAR(3)ଆ,USDXԊࠌႄఏ֥WTIS֥ઝԊཙႋ3.Ⴎ3ॖ,ݓ࠽ჰႲ൧ӆࡎ۬ؓটሱૅჭᆷඔྐ༏ّႋ൞ڵཟ֥.֒টሱ1۱ֆ໊֥ૅჭᆷඔ֥Ԋࠌൈ,WTIS৫ࠧႵ఼ਛّ֥ཟّႋ,1ᇛଽࡎ۬э߄ੱղ֞%,ᆭުّႋӱ؇ߏત༯ࢆ,ᄝֻ9ᇛൈࡎ۬э߄ੱղ֞%.۴ऌਆэਈVAR(3)ଆ,ٚҵٳ༅ཁൕUSDXԊࠌؓWTIS֥܊ངੱ4.Ⴎ4ॖ,֒US-DX൳֞Ԋࠌ,ުؓWTIS֥܊ངੱᄝ1ᇛଽॹഈശղ%,ᆭު໗ഈശ,ᄝֻ9ᇛൈ܊ངੱղ֞%.图3 USDX冲击引起的WTIS的脉冲响应图4 USDX冲击对WTIS的贡献率#98#
ֻ6௹ ம ֩:ૅჭᆷඔؓݓ࠽ჰႲࡎ۬႕ཙ֥ൌᆣٳ༅ ઝԊཙႋބٚҵٳ༅ཁൕૅჭᆷඔؓݓ࠽ჰႲࡎ֥۬႕ཙ߶ᄝ1ᇛଽّ֤֞ႋ.ٚҵٳ༅іૼૅჭᆷඔؓݓ࠽ჰႲࡎ֥۬܊ངੱ҂൞ޓۚ,ᆃ္ඪૼݓ࠽ჰႲࡎ۬൳֞ః၂ུၹ֥႕ཙ.4 结论(1)ૅჭᆷඔაݓ࠽െႲࡎ۬ᆭࡗթᄝ၂קӱ؇֥Ӊ؋௹ܱ༢,طૅჭᆷඔؓെႲࡎ۬؋௹႕ཙնႿӉ௹႕ཙ.(2)ૅჭᆷඔ൞ݓ࠽ჰႲࡎ֥۬Grangerჰၹ,ݓ࠽ჰႲࡎ۬ѩ҂൞ૅჭᆷඔэ߄֥Grangerჰၹ,ࠧૅჭᆷඔაെႲࡎ۬ᆭࡗթᄝֆཟ֥ႄܱ֝༢,ૅჭᆷඔэ߄ؓെႲࡎ֥۬႕ཙ߶ᄝ1ᇛଽّ֤֞ႋ.(3)۴ऌૅჭᆷඔؓݓ࠽ჰႲࡎ֥۬႕ཙ,ॖၛॉ੮ࡹ৫ૅჭԥСაെႲԥС֥ᇅޙࠏᇅ.ҕॉ໓ང:[1] JoseAR,[J].PhysicaA:StatisticalMechanicsanditsApplications,2002(313):651-670.[2] -runmemorymechanisminpetroleumpricingsystems[J].InternationalJournalofGlobalEnergyIssues,2007,27(4):492-502.[3] [J].JournalofEnergyFianceandDevelopment,1998,3(1):13-21.[4] [J].EnergyEconomics,2000,22:255-266.[5] ம,ဎћ.ݓ࠽െႲ௹ࠊࡎ۬აૅჭᆷඔܱ༢֥ൌᆣ࣮[J].ᇏݓെႲն࿐࿐Б:ഠ॓ϱ,2009(03):1-4.[6] ਃ఼.Ⴒࡎࢲܒაఅၳྟٳ༅[J].ܵં,2006,18(2):15-19.[7] ӎ,ဗᄜќ.ݓ࠽െႲࡎ۬ѯหׄࠣ႕ཙၹ֥ൌᆣٳ༅[J].ሧჷ॓࿐,2007,(01):178-183.[8] සზ,ਟᇍ.ݓ࠽െႲ௹ࠊࡎ۬აགྷࠊࡎܱ۬༢֥ൌᆣ࣮[J].ᇏݓെႲն࿐࿐Б:ഠ॓ϱ,2007(05):1-5.[9] ٓႇ,ࢊࡹਪ.െႲࡎ۬ંაൌᆣ[M].Кࣘ:॓࿐ԛϱഠ,2008:୍ޑࡾസۚ॓࿐ඌࢂࢲݔࢣཫ2010୍؇ޑࡾസ࢝ტ๏॓ࣉ҄ࢂࢲݔࢣཫ.תКെႲն࿐Ⴕ7ཛӮݔࠆࢂ,ఃᇏ၂֩ࢂ3ཛ,ؽ֩ࢂ2ཛ,֩ࢂ3ཛ.චᲱڵᄳ/֥҂ඣࢺᇉ่ࡱ༯ႵࠏᇉބႲӮగݖӱᇏ໊ٳ਼֥߄࿐৯࿐࣮ࠣఃԚ҄ႋႨ0aݢݓႵڵᄳ/֥మႲЬࠏቆۚ໑ۚҩ༢ᇅ0ބպܻڵᄳ/֥ᄝႨӵلଽല࿐ҩٚمࠣ၎ఖᇅ0֩3ཛӮݔࠆ၂֩ࢂ.କݚົڵᄳ/֥ႲࣝളӁҕඔሸކҩ൫ࠣሱࡓҩ༢࣮0ބૼࠝڵᄳ/֥ֆࠏ؟თק໊ᇛࢸೆฐҩБࣞ༢0֩2ཛӮݔࠆ֤ؽ֩ࢂ.ᅦ໓ڞڵᄳ/֥֝ࠁୠ֥ࠎЧྟି࣮0aᅵਪڵᄳ/֥϶ุ֝ࢫିᅶૼܱඌაႋႨ֥࣮0ބࣁ৴ڵᄳ/֥ବܻԨૂمಗਘగຂ0֩3ཛӮݔࠆ֤֩ࢂ.Ӯݔ॓ 㯲#99#
Abstracts JournalofDaqingPetroleumInstitute ,China)Abstract:Asthemodelitselfhasadvancedandobject-orientedtechnology,,,wedesignedandrealizedasystemwhichmettheuser'-ferentcombinationsofdatatobuildqueryautomatically,:metadatadrivingtechnology;PCEDM;object-oriented;modellayer;customqueryEmpiricalanalysisoftheimpactofUSdollarmonetaryvaluetointernationaloilprices/2010,34(6):96-99PENGMin1,SUNYan-bin1,L1IFeng-sheng,YAOL-1ixia,LIChen2(,NortheastPetroleumUniversity,Daqing,Heilongjiang163318,China;,Heilongjiang163453,China)Abstract:,,accordingtoco-integrationtheory,errorcorrec-tionmodelandGrangercausalitytestsanalysisframework,,-termequilibriumrelationship,butshort-termimpactonoilpricesgreaterthanthelong-termeffects,:USdollarindex;oilprice;co-integrationanalysisThree-waterporecombinationconductivemodelforlowporosityandpermeabilityshalysandanditsappl-icationtooffshoreoilfields/2010,34(6):100-105SONGY11an-jie,CHENJ-iqiang,TANGXiao-m1in,WANGY2ing(,NortheastPetroleumUniversity,Daqing,Heilongjiang163318,China;,.,Beijing101149,China)Abstract:Sincethereservoirshavelowporosityandlowpermeability,complexporestructure,highcap-illaryboundwater,-igatedbyonlychangingoneofthem,andtheresultshowsthatresistivityindexincreasesasexponentofclayboundwaterorsaturationexponentincreases,-nent,saturationexponentandcapillaryboundwaterporosity,clayboundwaterporosityalsoshowsthat#Ù#
