国际石油价格对经济波动的差异化与多时点冲击效应——基于TVP-VAR模型的检验  

Differentiated and Multi-time-point Impact Effectof the International Oil Price on Economic Fluctuations in China——Based on TVP-VAR Model

作　　者：程立燕[1] 李金凯[1] CHENG Li-yan;LI Jin-kai(School of International Trade and Economics,Dongbei University of Finance and Economics,Dalian 116025,China)

机构地区：[1]东北财经大学国际经济贸易学院,辽宁大连116025

出　　处：《系统工程》2018年第9期101-110,共10页Systems Engineering

基　　金：国家自然科学基金资助项目(71303035);国家社会科学基金资助项目(15CSH024)

摘　　要：构建了包含石油价格的中国开放经济模型,采用时变参数向量自回归(TVP-VAR)方法研究了国际石油价格波动对中国宏观经济波动的差异化影响与多时点冲击效应,主要研究结论为:在短期和中长期,国际石油价格上升和下降对中国经济波动的冲击效应存在较大差异,其中,国际石油价格对于中国经济波动的短期冲击效应大于中长期效应,且由于中国实施的成品油价格管制等原因,相对于石油价格下降而言,国际石油价格上升对于中国经济波动的影响较为显著。具体时点的冲击结果显示,国际石油价格的上涨对中国经济波动的正向影响呈现出传递速度快、传递时间短的特点;与之相对,国际石油价格下跌对中国经济的负向影响则呈现传导时期长、作用时间久的特征。基于不同时期、不同时点的视角,国际石油价格变动对中国经济波动的影响均具有显著的时变特征。This paper constructs an open economy model of China including oil prices and adopts the method of Timevarying Parameter Vector Auto-regression(TVP-VAR)to study the differentiated effects and multi-time-point impact effects of international oil price fluctuations on China’s macro-economy.The main conclusion of our research is:the impact effect of the rise and fall of the international oil price on China’s economic fluctuation differs significantly in the short term compared to the medium and long term.The short-term impact effect of the international oil price on China’s economic fluctuation is more significant than its medium and long-term impact effect;also,due to price controls over refined oil products implemented in China,compared with a fall in the oil price,the impact of a rise in the international oil price has a more significant impact on China’s economic fluctuations.The results of the impact at specific time points show that the positive effect of the rise of the international oil price on China’s economic fluctuation displays characteristics of rapid and short time transmission;on the contrary,the negative impact of the international oil price drop on China’s economy displays the characteristics of long period of transmission over a long period of time.From the perspective of different periods and time points,the impact of the fluctuations of the international oil price on China’s economy has a significant time-varying characteristic.

关 键 词：国际石油价格 中国经济波动 非对称效应 TVP-VAR模型 

分 类 号：F015[经济管理—政治经济学]