摘要
分析油价波动对于宏观经济的影响具有重要的理论意义和政策意义。本文结合中国宏观经济实际情况,基于短期约束的SVAR模型,并为细致考察不同形式油价冲击的影响,参考Kilian(2008)的做法,将油价冲击分解为供给性冲击、需求性冲击以及特定性需求冲击。以中国宏观经济数据为样本,考察了1994-2015年国际油价波动的三种结构性冲击对于中国工业增加值、物价水平、以及实际有效汇率的影响,进一步的,考察了汇改前后,以及不同形式的油价非对称冲击对于宏观经济的影响。实证结果显示:(1)国际油价波动对于物价水平具有显著影响,油价上涨带来汇率的贬值,油价波动对于工业增加值影响较小。(2)分别以汇改前后为样本,汇改后油价冲击对于宏观经济变量的影响显著增强,同时汇改后受油价特定需求冲击的影响更大。(3)考察油价上涨以及下降两种不同形式冲击,油价上涨的阶段对于经济产出的影响比油价下降阶段的影响更具有震荡性和持续性。最后,本文针对油价波动对于宏观经济的影响,提出相应的政策建议。为有效应对油价特定性需求冲击以及对于通货膨胀的影响,政府当局应当采取适当政策和石油价格改革机制,同时加快石油储备体系的建设完善。
Analyzing the influence of oil price change on the macroeconomic environment has important significant meanings both in the theory and the policy area,thus,this paper considers the real macro-economic condition of China,based on the method of short term constraints SVAR model,and for analyzing the effects further in detail,the paper learns about Kilian(2008)for reference,decomposes the shock of oil to be three kinds,includes the oil demand shock,the oil supply shock and the oil specific-demand shock,the paper takes the years of1994-2015macro data of China as an example,and then,this paper analyzes the effects of the1994-2015years of international oil price fluctuations of three structural shocks to Chinese industrial increase value,real effective exchange rate,the price level,and the author considers the oil shock effects of the before and after the exchange rate reform,as well as oil prices of different forms of asymmetric shocks to macroeconomic impact.The empirical results show that:(1)Based on the empirical results,the paper find that international oil price volatility has significant impact on the price level of China,however,the oil price rising has larger impacts on the depreciation of the RMB exchange rate rather than on the industrial added value,and the effect of oil price volatility on industrial added value is vague.(2)The paper also considers before exchange reform and after exchange reform respectively,and the author find that after the reform of exchange rate mechanism,the impact of the oil price shocks on macroeconomic variables was significantly enhanced,and the impact of specific demand shocks on exchange rate was greater.(3)Further,The paper also considers the rise and decline of oil price change,and the paper finds the impact of the oil price rise on the economic output is larger than the impact of the oil price decline stage.In the end,by analyzing the effect of oil shock on China macro-economic environment,the paper gives out some suggestions about policy reform for government based on the effect of oil shock on macro-economic,In order to deal with the impact of oil price specific demand shocks and the impact on inflation effectively,the government should take appropriate policies and the mechanism of oil price reform should be adopted,and as well,there exits the need to accelerate the construction and improvement of the petroleum reserve system.
作者
虞文微
曹强
Yu Wenwei;Cao Qiang(Nanjing University School of Business,Nanjing Jiangsu 210000;Anhui University of Finance and Economics, School of Financial, Anhui Bengbu 233000)
出处
《宏观质量研究》
CSSCI
2017年第4期87-100,共14页
Journal of Macro-quality Research
基金
国家社科基金青年项目(15CJY085)的资助
关键词
国际油价波动
宏观经济变量
油价冲击分解
物价水平
实际有效汇率
The Volatility of International Oil Price
Macroeconomic Variables
Oil Price Composition
Price Level
Real Effective Exchange Rate
