基于VECM的汽柴油价格不对称性分析

中国管理科学 ›› 2006, Vol. ›› Issue (3): 97-102.

基于VECM的汽柴油价格不对称性分析

焦建玲¹, 范英², 魏一鸣²

1. 合肥工业大学, 合肥, 230009;
2. 中国科学院科技政策与管理科学研究所, 北京, 100080

收稿日期:2005-06-28 修回日期:2006-04-02 出版日期:2006-06-28 发布日期:2012-03-07
基金资助:
国家杰出青年科学基金(70425001);国家自然科学基金资助项目(70573104,70371064)

VECM Based Analysis of Gasoline/Diesel Prices Anti-Symmetry

JIAO Jian-ling¹, FAN Ying², WEI Yi-ming²

1. Hefei University of Technology, Hefei 230009, China;
2. Institute of Policy and Management, Chinese Academy of Sciences, Beijing 100080, China

Received:2005-06-28 Revised:2006-04-02 Online:2006-06-28 Published:2012-03-07

摘要/Abstract

摘要： 原油作为成品油的主要原材料,原油价格的变化会引起成品油价格的相应变化,从成品油价格关于原油价格变化的反应可以了解成品油定价的合理性.本文利用一个不对称的向量误差修正模型(Vector Error CorrectionModel,VECM),检验了我国汽柴油关于原油成本变化不对称性问题,检验结果表明,我国汽柴油对原油成本上涨的反应快,但持续的时间短;对原油成本下降的反应慢,但持续的时间长.研究结果对我国石油定价机制的改革和企业实施油价风险管理有参考价值.

关键词: 汽柴油价格, 原油, 不对称性, 向量误差修正模型(VECM)

Abstract: As petroleum products prime raw material,the change of crude oil price must cause the change of refined oil price.From the reaction,we could understand the rationality of refined oil pricing.In this paper,the anti-symmetry of gasoline/diesel to crude oil price fluctuation is investigated by using anti-symmetry VECM.Results show that the responses to crude oil price increase are quicker and transient,to crude oil price decrease are delayed and lasting.This study provides scientific supports on how to properly elude the risk incurred by oil price hike,as well as how to perform thorough reformation of China's oil price system.

Key words: gasoline/diesel price, crude oil, anti-symmetry, Vector Error Correction Model(VECM)

中图分类号:

F224.9

焦建玲, 范英, 魏一鸣. 基于VECM的汽柴油价格不对称性分析[J]. 中国管理科学, 2006, (3): 97-102.

JIAO Jian-ling, FAN Ying, WEI Yi-ming. VECM Based Analysis of Gasoline/Diesel Prices Anti-Symmetry[J]. Chinese Journal of Management Science, 2006, (3): 97-102.

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