原油价格不确定性测度及其对宏观经济的非对称影响研究  

Measuring Crude Oil Price Uncertainty and Investigating Its Asymmetrical Impact on Macro-economy

作　　者：张小宇[1] 周锦岚 Zhang Xiaoyu;Zhou Jinlan

机构地区：[1]吉林大学数量经济研究中心 [2]无锡学院数字经济与管理学院

出　　处：《统计研究》2024年第4期68-84,共17页Statistical Research

摘　　要：有效测度原油价格不确定性并研究其对我国宏观经济的影响,具有重要的理论和现实意义。本文基于最小生成树模型,从全局视角衡量原油多元定价机制中195个影响因素的相对重要程度,并采用高维因子非预期条件波动率模型测度国际原油价格的不确定性。基于收敛交叉映射模型,本文对原油价格不确定性与宏观经济间的非线性因果关系进行识别,研究发现仅存在原油价格不确定性对固定资产投资、产出增速的单向因果关系。进一步地,在厘清原油价格不确定性对宏观经济影响机制的基础上,利用包含马尔可夫区制转移特征的向量自回归模型考察原油价格不确定性对我国宏观经济的影响,理论与实证结果均表明原油价格不确定性对我国宏观经济具有显著负向影响;在不同经济状态下,原油价格不确定性对投资、产出增速的影响具有非对称性。本研究为有效防范原油市场风险、保障能源安全和推动经济稳定增长提供了理论支持。Effectively measuring the uncertainty of crude oil prices and studying its impact on China's macro-economy has significant theoretical and practical importance.To measure the crude oil price uncertainty,this paper applies the high-dimensional factor unexpected conditional volatility model based on multiple pricing mechanism,and innovatively measures the importance degree of the 195 influencing factors from the minimum spanning tree model.By using the convergent cross mapping model,this paper identifies the nonlinear causal relationship between crude oil price uncertainty and macroeconomic conditions.The results show that there is only a one-way causal relationship between crude oil price uncertainty and investment in fixed assets and output growth.After clarifying the influential path between oil price uncertainty and China's macro-economy theoretically,the paper applies MS-VAR model to investigate the asymmetric impact of oil price uncertainty on China's macro-economy.The results show that oil price uncertainty has a significant negative impact on China's macro-economy,and it has asymmetric impact on investment and output growth under different economic conditions.This study provides theoretical support for effectively preventing oil market risks,improving energy security and boosting steady economic development in China.

关 键 词：原油价格不确定性 宏观经济效应 最小生成树 收敛交叉映射模型 MS-VAR模型 

分 类 号：F015[经济管理—政治经济学]