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重庆交通大学学报（自然科学版）

重庆交通大学学报（自然科学版） ›› 2012, Vol. 31 ›› Issue (5): 1095-1099.DOI: 10.3969/j.issn.1674-0696.2012.05.41

• • 上一篇    

基于Granger 检验的油轮运价与原油价格关联

俞永丽1，赵一飞2   

  1. 1.上海交通大学船舶海洋与建筑工程学院，上海200240; 2.上海交通大学安泰经济与管理学院，上海200030
  • 收稿日期:2011-12-29 修回日期:2012-05-04 出版日期:2012-10-15 发布日期:2015-01-22
  • 作者简介:俞永丽(1986—)，女，内蒙古锡林郭勒人，硕士研究生，主要从事交通运输与航运管理方面的研究。E-mail:ylyu2011@126.com。

Correlation between Tanker Freight and the Price of Spot Crude Oil-Based on Granger Causality Analysis

Yu Yongli1，Zhao Yifei2   

  1. 1.School of Naval Architecture，Ocean and Civil Engineering，Shanghai Jiao Tong University，Shanghai 200240，China; 2.Antai College of Economics and Management，Shanghai Jiao Tong University，Shanghai 200030，China
  • Received:2011-12-29 Revised:2012-05-04 Online:2012-10-15 Published:2015-01-22

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摘要： 以油轮运价与原油价格月度数据作为分析对象，首先对两序列进行基于X11 方法的季节调整，然后运用灰色 关联法比较季节调整前后序列，可以发现调整后的关联度显著提高。在此基础上，进一步的Granger 因果检验显示， 两序列间存在Granger 因果关系，原油价格是造成油轮运价波动的影响因素，而油轮运价却不会引起原油价格的相 应变化。

关键词: 油轮运价, 原油价格, 季节调整, 灰色关联法, 格兰杰因果检验

Abstract: Firstly，seasonal adjustment is taken into consideration about two sequences of monthly data concerning tanker freight and the price of spot crude oil by using X11 method． After that，the variation of correlation is demonstrated based on Grey correlation theory，which shows that the degree of correlation increases after seasonal adjustment． Lastly，by applying the Granger Causality Analysis，the corresponding results suggest that Granger causality does exist and tanker freight logarithmic data are affected by the price of spot crude oil data，but the opposite is not true．

Key words: tanker freight, price of spot crude oil, seasonal adjustment, grey relativity theory, Granger causality analysis

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