论文标题:油价波动与宏观经济关系的实证分析
论文作者
论文导师 国涓,论文学位 硕士,论文专业 数量经济学
论文单位 东北财经大学,点击次数 168,论文页数 54页File Size2666K
论文网 http://www.lw23.com/lunwen_15669822/
International oil price shocks;; VAR model;; uncertainty;; transmission mechanism
石油被誉为工业的血液，国际石油价格的上涨受到越来越多的国家的关注。随着我国经济的发展和工业化进程的加快，石油的需求和对外依存度增加，石油作为一种必不可少的战略商品和化工原料，对整个国民经济的发展起着越来越重要的作用。近年来国际石油价格由于受到产量、供求、政治、经济等多方面的影响，波动性逐渐加大，并表现出在波动中攀升的趋势。1998年我国与国际石油价格接轨的石油定价机制的确立，使得我国经济必然会受到国际石油价格的影响。因此研究国际石油价格冲击对我国经济产生的影响及其传导机制，对于理解国际石油价格冲击是如何影响我国经济活动以及在面临石油价格冲击时应该采取怎样的经济政策有着非常重要的作用。 本文依据VAR模型的脉冲相应函数和方差分解模型，分析了国际石油价格冲击对我国宏观经济的影响，并通过建立非对称性的国际石油价格冲击模型，从实证上检验了不同石油价格冲击对我国经济产生的影响，重点分析了石油价格对经济影响的传导机制。 实证结果表明线性的国际石油价格冲击对我国经济会产生显著的影响：会导致我国产出下降、物价上升和货币政策的变化；石油价格冲击对我国经济影响的非对称性是存在的，国际石油价格上升导致产出下降的幅度远远大于油价上升引起产出增长的幅度；石油价格冲击对产出的非对称影响可以通过部门转移渠道和不确定渠道来解释：国际石油市场的混乱不仅仅引起了国际石油价格的变化，更引起了油价波动性的增加，油价波动会对产出产生负的影响。另外，由于石油价格冲击间接引起的货币政策也可以在一定程度上解释国际石油价格与产出之间的非对称性关系。
Oil is called the blood of the industry whose price increasment attracts attention of many countries. Accompanying by the development of China"s economy and the going on of industrialization, the demand for oil and foreign dependency rises, being a vital strategical commodity and chemical material, oil plays an important part in the whole economic life of China .In recent years, international oil price fluctuates frequently and increases because of the influence of production、supply, politics and economy. The establishment of oil pricing system in line with international market makes our economy under influence of international oil price. So the study of the influence on our economy and the transmission mechanism of international oil price shock is very important for the understanding of how international oil price shock influences our economy and then the Countermeasures. Internation oil price shock; VAR model ;uncertainty; transmission mechanismIn this literature ,we focus to analyze the influence on our macro economy of international oil price shock according to impulsive response function and variance decompositions under VAR model, and test in practice the different influence on our economy of various oil price shocks and its transmission mechanism by establishing dissymmetrical model of international oil price shock. Empirical research demonstrated that : international oil price shock has significantly impact on our economy : it decreases industrial output、increases price and changes monetary policy; The asymmetry relationship between international oil price and output exits in our country: output growth has a significant negative correlation with oil price increase and an insignificant correlation with oil price decrease . There is evidence that in our sample oil market disruption affected our economy through the sectoral shocks channel and uncertainty channels .These two channels have the ability to explain the asymmetric relationship between oil price and output growth because that: oil market disruptions not only affect the level of oil price .but also raise oil volatility .there is evidence that the monetary channel can explain partial asymmetric relationship between oil and output growth.
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