货币冲击下国际油价与我国经济波动的动态相关性分析  

The Impact of Money Shocks on the Dynamical Correlations of the International Oil Price and the Economic Volatilities

作　　者：刘凌[1] 方艳[1] 

机构地区：[1]上海对外经贸大学金融管理学院,201620

出　　处：《上海经济研究》2014年第8期42-49,共8页Shanghai Journal of Economics

基　　金：教育部人文社会科学研究项目"国际油价冲击对人民币汇率传导及其机制研究"(批准号:10YJC790171);上海市教育委员会科研创新项目重点项目"油价冲击下;货币政策适度性研究"(批准号:12ZS199);上海浦江人才计划项目A类(14PJ1404100);上海对外经贸大学085工程项目;上海对外经贸大学"央财资助计划":"关于DASC-GARCH金融模型的研究及应用"的资助

摘　　要：本文通过构建分离预期和未预期货币政策效果的DCC-MVGARCH类模型,对国际油价与我国经济波动动态相关性进行分析,发现1992年2月的动态相关性和国际油价与实际GDP的动态相关性产生剧烈波动。分离货币政策效果后,国际油价与通胀和实际GDP的动态相关性较稳定,国际油价与通货膨胀的动态相关性很小,且多为负;国际油价与实际GDP、未预期的货币政策与实际GDP的动态相关性均为正。Based on the DCC-MVGARCH Model, this paper investigates the impact of money shocks on the dynamical correlation of the international oil price and the economic volatilities. We find that the correlation of the international oil price and the economic volatilities fluctuated sharply when we haven＇ t separated monetary policies. While monetary policies separated, the correlation of the international oil price and real GDP is stable, and the correlation of oil price and inflation is very tiny and negative. The correlation of the international oil price and the real GDP is positive, as well as the correlation of the unanticipated monetary policies and the real GDP, that is to say, the increasing volatilities of international oil price and monetary compel the volatility of real GDP to rise.

关 键 词：国际油价 货币政策 DCC-MVGARCH 类模型 

分 类 号：F832.6[经济管理—金融学]