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本文根据1986年1月2日至2013年12月20日WTI原油期货价格和交易量日数据的GARCH变点并将其分为四个时期,研究了不同时期的原油期货价格波动与成交量的线性与非线性因果关系。研究结果表明,在不同时期,量价的线性关系并不稳定,而价格对于交易量具有稳定的非线性Granger单向因果关系。依据研究结论,本文从三个层面提出我国应对国际原油价格波动的政策建议。
Based on the GARCH change points of WTI crude oil futures and trading volume data from January 2, 1986 to December 20, 2013 and divided into four periods, the paper studies the volatility and trading volume of crude oil futures in different periods Linear and nonlinear causality. The results show that in different periods, the linear relationship between the price and the price is not stable, and the price has a stable nonlinear Granger one-way causal relationship with the trading volume. According to the conclusion of the study, this paper presents three aspects of China’s policy proposals to cope with the fluctuation of international crude oil prices.