中文摘要：

本文研究1995—2015年实际利率和存货调整对国际油价的影响。在引入套利模型的基础上，对包含供给、需求、利率、存货和油价的TVP—VAIK模型进行估计，得到各因素关于油价的时变回归系数和脉冲响应函数值。主要结论有：第一，存货对油价的影响为负，存货具有减缓油价波动的作用；第二，需求在2000—2009年对油价的影响较大，而供给在1996-1999年较为重要；第三，利率影响油价的机制主要通过实体经济需求；第四，2014年下半年油价骤降主要是供给增加和存货积累所致。

英文摘要：

This paper examines the effects of interest rate and oil inventory on the price of crude oil from Jan 1995 to Feb 2015. Based on the ＂carry-trade＂ model proposed by Frankel, we estimate the TVP-VAR model including oil supply, oil demand, interest rate, oil inventory and oil price, which inform us with the time-varying parameters and the impulses results for each factor. The main findings are as follows： firstly, inventory has a negative impact on oil price, which means inventory has been playing the role of cushioning oil price; secondly, demand was important from 2000 to 2009 while supply mattered before 1999; thirdly, the effect of interest was delivered to oil price mainly through the channel of real demand; finally, the latest price fall after the second-half of 2014 was brought about primarily by the accumulation of supply and inventories.