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。
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.
出处
《重庆交通大学学报（自然科学版）》
CAS
北大核心
2012年第5期1095-1100,共6页
Journal of Chongqing Jiaotong University(Natural Science)
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
tanker freight
price of spot crude oil
seasonal adjustment
grey relativity theory
Granger causality analysis
