国际油价对我国经济冲击的非对称效应分析  

Analysis of Asymmetric Effect of International Oil Price Shocks on China's Economy

作　　者：肖强[1] 张晓峒[2] 滑冬玲[3] 

机构地区：[1]兰州商学院甘肃经济发展数量分析研究中心 [2]南开大学经济学院 [3]天津师范大学经济学院,300387

出　　处：《国际贸易问题》2015年第6期63-71,共9页Journal of International Trade

基　　金：教育部人文社科青年基金项目(14YJC790138);天津市社科规划项目(TJYY13-014);国家自然科学基金(71271142)

摘　　要：本文首先利用动态因子模型从35个宏观变量中提取4个宏观共同因子。基于这些共同因子构建logistic平滑转移的因子扩展向量自回归(LSTFAVAR)模型。最后,基于LSTFAVAR模型分析国际油价冲击对我国宏观经济的影响。实证结果表明,不同物价增长状态下,国际油价冲击对我国产出、价格和货币供给量存在非对称性效应。其中,在物价高增长状态下,国际油价对我国物价冲击比物价非高增长状态更为明显。而且在物价非高增长状态下,国际油价上涨引起货币供给量的减少。而在物价高增长状态下,国际油价上涨引起货币供给量的增加。因此,面临国际油价上涨引起的经济"滞胀",政府当局需要采取更有效的手段。Based on the analysis of the influence of international oil prices on the macroeconomic transmission mechanism, this paper establishes the LSTFA- VAR model to investigate the asymmetric effect of international oil price shocks on China＇s macro economy. The empirical results show that regardless of the in- crease rate of commodity prices, international oil price shocks will cause a de- cline in prices and output in our country, so there is the pressure from imported inflation. The difference is that rising international oil prices curtail money sup- ply when commodity prices increase moderately, and rising international oil pric- es boost money supply when commodity prices increase sharply. This also re- fleets that faced with the economic ＂stagflation＂ caused by rising international oil prices, China＇s monetary authorities need to take more effective measures.

关 键 词：国际油价 宏观经济 非对称性 LSTFAVAR 

分 类 号：F746.41[经济管理—国际贸易]