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本文根据国际油价波动的特征,从波动产生原因的角度引入影响国际油价波动的欧佩克产量和欧佩克产量事件发布两个变量,基于GARCH族模型分析了欧佩克产量行为对国际油价波动的影响程度。研究发现,欧佩克当期产量不能显著影响国际油价波动,欧佩克滞后2期产量和欧佩克产量事件发布却能解释国际油价的大部分波动。结果表明欧佩克当期产量对国际油价波动的影响不大,而欧佩克滞后2期产量和欧佩克产量事件发布是国际油价波动的重要影响因素。
According to the characteristics of international oil price volatility, this paper introduces two variables, OPEC and OPEC, that influence the fluctuation of international oil price from the perspective of the cause of the fluctuation, and analyzes the influence of OPEC production on the fluctuation of international oil price based on the GARCH model. The study found that OPEC current output can not significantly affect the international oil price fluctuations, OPEC lag two output and OPEC production event release can explain most of the fluctuations in international oil prices. The results show that OPEC current output has little effect on the fluctuation of international oil prices. OPEC lagged output and OPEC production release are important influencing factors of international oil price fluctuations.