国际油价波动与我国通货膨胀——基于贝叶斯向量自回归方法的实证研究  

International Oil Price Shocks and Inflation in China——an Empirical Study Based on BVAR

作　　者：李文峰[1] 

机构地区：[1]河南工程学院,河南郑州451191

出　　处：《金融发展研究》2015年第11期63-68,共6页Journal Of Financial Development Research

基　　金：国家自然科学基金项目(61403123);河南省软科学研究计划项目(152400410483);河南省高等学校重点科研项目<国际油价波动对中国经济影响的实证研究>

摘　　要：随着我国成为世界第二大石油消费国,世界石油价格的波动对我国通货膨胀的冲击日益受到关注。本文结合主流文献观点,在分析国际石油价格对我国通货膨胀冲击的传导路径的基础上,构建了贝叶斯向量自回归(BVAR)模型,利用贝叶斯定理通过施加先验信息约束进行估计,实证研究发现,国际石油价格上涨对我国通货膨胀产生持久的冲击,每当国际石油价格上涨1%,分别导致我国RPI、PPI和PCI上涨1.21%、0.18%和0.07%。As China has become the world＇s second largest oil consumer, the impact of the international oil price fluctuations on China＇s inflation has won increasing attention. Based on the analysis of the mainstream literature on the transmission path of international oil price shocks on China＇ s inflation, this paper constructs four groups of the Bayes- ian vector auto-regressive （BVAR） model, employs the economic data of China from January 1996 to June 2012 of China＇s economic data, and makes an estimation through adding prior information by using Bayesian theorem. The em pirical study finds that the rise of the international oil price will produce a lasting impact to China＇ s inflation. When the international oil price rises by 1%, it will cause China＇ s RPI, PPI and PCI to increase by 1.21%, 0.18% and 0.07%. Based on the analysis and conclusion, it puts forward suggestions for micro policies to withstand the impact of interna- tional oil price.

关 键 词：石油价格冲击 通货膨胀 贝叶斯向量自回归 

分 类 号：F830[经济管理—金融学]