中国能源价格内生性研究及货币政策选择分析  

Study of Endogenous Energy Prices and Monetary Policy Choice in China

作　　者：牟敦果[1] 王沛英[2] 

机构地区：[1]厦门大学经济学院,福建厦门361005 [2]中国人民银行金融研究所,北京100800

出　　处：《金融研究》2017年第11期81-95,共15页Journal of Financial Research

基　　金：教育部青年基金项目(批准号:13YJC790110)资助

摘　　要：本文基于TVP-VAR的实证研究表明,国内石油价格受国际影响,国内煤炭价格对国际价格有着显著的引领作用;能源价格在月度数据水平上表现出对中国宏观经济的依赖,显示出内生性特点。内生性的煤炭和石油价格对产业营业收入、利润和股票价格分别有着不同的影响,会扩大股市的泡沫成份。能源价格对经济的影响不是将能源价格纳入货币政策盯住目标的理由,基于系统模拟的结果表明稳健的货币政策有利于宏观经济的稳定。The empirical study based on TVP - VAR shows that domestic oil prices are influenced by international prices; yet domestic coal prices have leading effect on international prices. On monthly data level, energy prices show＇dependence on China＇s macroeconomic data, revealing the endogenous characteristics. The endogenous coal and oil prices have complex effects on industrial income, profit and stock prices, which may expand the bubble factor in security market. The complex effects on economy are not the reason that monetary policy should respond to energy prices, the systematic simulation shows that the stable monetary policy is more beneficial to economic stability.

关 键 词：能源价格 经济冲击 货币政策 

分 类 号：F426.2[经济管理—产业经济] F822.0