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

doi:10.3969/j.issn.1674-0696.2012.05.41

Journal of Chongqing Jiaotong University(Natural Science) ›› 2012, Vol. 31 ›› Issue (5): 1095-1099.DOI: 10.3969/j.issn.1674-0696.2012.05.41

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

Yu Yongli¹，Zhao Yifei²

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

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.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

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。

Abstract

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

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

CLC Number:

U695

Yu Yongli，Zhao Yifei. Correlation between Tanker Freight and the Price of Spot Crude Oil-Based on Granger Causality Analysis[J]. Journal of Chongqing Jiaotong University(Natural Science), 2012, 31(5): 1095-1099.

俞永丽，赵一飞. 基于Granger 检验的油轮运价与原油价格关联[J]. 重庆交通大学学报（自然科学版）, 2012, 31(5): 1095-1099.

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

基于Granger 检验的油轮运价与原油价格关联

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