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本文对“石油-美元”两者之间的相互关系和互动特征进行研究,建立石油价格与美元指数相互影响的关联方程,并用动态条件验证方程中两个参数的相关度。利用相关性检验、简单拟合检验、协整检验、格兰杰因果关系检验以及GARCH模型方法,选取2000-2015年具有代表性的名义石油价格和名义美元指数的日数据,建立时间序列模型,从长期、动态的角度深入分析国际石油价格与美元指数之间的相互关系,探究两者之间的长期均衡关系和因果关系,以及其对现实的重要意义。
This paper studies the correlation and interaction between the oil and the dollar and establishes the correlation equation between the oil price and the dollar index. The correlation between the two parameters in the equation is verified by the dynamic conditions. Using the correlation test, simple fitting test, cointegration test, Granger causality test and GARCH model method, the daily data of representative nominal oil price and nominal dollar index from 2000 to 2015 are selected to establish the time series model, From the perspective of long-term and dynamic analysis, the paper deeply analyzes the interrelationship between international oil price and the dollar index and explores the long-term equilibrium relationship and causal relationship between the two and its significance to reality.