世界原油供给阻滞对中国宏观经济的冲击效应测算——以美国对伊朗实施石油制裁为例  

Analysis of the impact of world crude oil supply block on China’s economy:A case study of US oil sanctions against Iran

作　　者：卢全莹 柴建[3] 曹蒲菊[4] 魏照昊 汪寿阳 LU Quanying;CHAI Jian;CAO Puju;WEI Zhaohao;WANG Shouyang(School of Economics and Management,Beijing University of Technology,Beijing 100124,China;Center for Forecasting Science,Chinese Academy of Sciences,Beijing 100190,China;School of Economics and Management,Xidian University,Xi'an 710126,China;Business School,Hunan University,Changsha 410082,China;School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190,China;Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China)

机构地区：[1]北京工业大学经济与管理学院,北京100124 [2]中国科学院预测科学研究中心,北京100190 [3]西安电子科技大学经济与管理学院,西安710126 [4]湖南大学工商管理学院,长沙410082 [5]中国科学院大学经济与管理学院,北京100190 [6]中国科学院数学与系统科学研究院,北京100190

出　　处：《系统工程理论与实践》2022年第7期1735-1754,共20页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(72103185,71874133,71988101);中国博士后科学基金面上项目(2020M680719)。

摘　　要：美伊争端、页岩油等新能源兴起、国际贸易摩擦等突发事件的不断出现,对国际原油市场的供需及交易带来了连续的冲击,从而影响全球经济的发展.中国原油对外依存度较高,原油市场的供需冲击及油价的波动将对中国经济发展产生重要影响.本文创新性地构建了一个完整的供给冲击-油价波动-经济影响(SS-PV-EI)研究框架以测算原油市场供给侧冲击对中国经济的影响.1)利用PPM-KM模型和历史事件分析法提取并分析历史突变点,筛选出供给冲击事件;2)基于时变参数随机波动率向量自回归模型(TVP-SV-VAR model)估算出供给冲击对油价的时变弹性及脉冲响应结果;3)综合运用情景分析和历史事件分析设立伊朗制裁可能导致的供给缺口情景及相应的油价区间;4)基于混频模型(MIDAS-AR model)和非线性分布滞后模型(NARDL model)分别测算与分析4种情景下世界原油供给冲击对中国经济的非对称影响.结果表明:1)历史突发事件约为42次,其中由供给冲击所引起的油价突变为19次.2)世界石油供给下降1%,国际油价将上涨0.25%~0.45%.当伊朗制裁等突发事件引起供给冲击时,不同情景下国际油价将可能上涨2%~100%.3)国际油价波动对中国经济的影响存在非对称性.油价上涨对经济的影响程度要大于油价下降对经济的影响.不同情景下,将导致中国GDP放缓0.04%~4.17%,CPI上涨0.14%~6.92%.国际油价大幅飙升将对我国经济产生负面影响.China’s external crude oil dependency rate is high,supply and demand shocks in the international oil market have significant effects on China’s economic development.This paper innovatively constructs a research framework that incorporates supply shock-oil price volatility-economic impact(SS-PV-EI)in order to measure the impact of supply shocks on China’s economy.First,a PPM-KM model with historical event analysis is developed to analyze historical supply shock.Second,the time-varing elasticity and impulse response of supply shocks is estimated based on TVP-SV-VAR.Third,scenario analysis combined with historical event analysis is applied to analyze four scenarios that may casued by the sanctions imposed on Iran.Four,MIDAS-AR model and NARDL model are used to measure the asymmetric effects of supply shock on China’s economy.The results show there are 42 historical events,of which 19 were caused by supply shocks.The oil price will increase by 0.25%~0.45%when the world oil supply decreases by 1%.Whereas supply shocks caused by Iranian sanctions will likely resulted in oil prices rising between 2%~100%.Oil price has impacted China’s economy asymmetrically,as the impact of oil price rises is greater than decline.China’s GDP will decline by 0.04%~4.17%,and CPI will rise by 0.14%~6.92%under various conditions.

关 键 词：原油价格 供给冲击 突发事件 中国经济发展 

分 类 号：F124[经济管理—世界经济] F416.22F764.1