国际天然气进口价格与原油价格的波动关系

以三大天然气进口国(日本、美国和德国)的天然气到岸价与Brent原油价格作为研究对象，运用向量自回归模型，对原油价格与主要区域天然气进口价格之间的长期均衡关系和动态响应规律进行实证分析。结果表明：1)3个国家的天然气价格与Brent原油价格之间存在稳定的长期均衡关系，Brent原油价格每变化1%，将使日本、美国和德国的进口天然气到岸价分别正向变动0358%、0061%和0802%；2)方差分解结果显示，3个国家的天然气价格与Brent原油价格均会对自身新信息立即产生大幅度反应，但持续时间差异较大，长期内天然气价格会受到Brent原油价格的一定影响，受影响程度为，日本最大，德国次之，美国最弱。

THE VOLATILITY RELATIONSHIP BETWEEN INTERNATIONAL NATURAL GAS IMPORT PRICES AND CRUDE OIL PRICES

This paper, based on the natural gas CIF of three gas importers, Japan, America and Germany and Brent crude oil price, uses vector auto regressive mode to study their long term balance and dynamics. The results show a long term balance between the natural gas prices and Brent crude oil prices. Changes of Brent crude oil price by 1% will lead to positive change to the imported natural gas prices by 0.358% in Japan, by 0.061% in America, and by 0.802% in Germany. Variance decomposition indicates the natural gas prices of the three countries and Brent crude oil prices react largely with their own new information, but big difference in duration. In a long term, the natural gas prices will be influenced by Brent crude oil prices, Japan largely, followed by Germany, and then America.