中国经济不确定性对国际原油价格的时变效应分析  

Analysis of the Time-varying Effect of Economic Uncertainty on International Crude Oil Prices

作　　者：司颖华 孟娟霞 SI Yinghua;MENG Juanxia(Lanzhou University of Finance and Economics,Lanzhou 730030,China)

机构地区：[1]兰州财经大学,兰州730030

出　　处：《中国证券期货》2024年第6期13-20,共8页Securities & Futures of China

基　　金：国家自然科学基金资助项目“基于混频FASTVAR模型的FCI构建及其应用”(项目编号:71763016);国家自然科学基金资助项目“贝叶斯潜在阈值TVP-FAVAR模型的构建及其应用”(项目编号:72063022)。

摘　　要：不确定性与原油价格之间一直存在着复杂的关系,而学术界对经济不确定性对原油市场的影响尚未达成一致。本文在动态结构变化下基于混频动态因子模型构建中国经济不确定性(EU)代理指标,构建时变参数随机波动向量自回归(TVP-SV-VAR)模型,旨在研究中国经济不确定性对三个国际原油定价基准西得克萨斯中质原油、布伦特原油以及迪拜原油价格波动的时变影响。研究结果表明:中国经济不确定性对原油价格波动的影响是随着时间的推移而变化的,并表现出短期效应明显强于长期效应,而且各个峰值点的出现均伴随着重大经济事件的发生。在此基础上,提出增强能源供应链的韧性、促进能源市场透明度等政策建议,以促进国际原油市场稳定发展。There has always been a complex relationship between uncertainty and crude oil prices,and the academic community has not yet reached a consensus on the impact of economic uncertainty on the crude oil market.The purpose of this paper is to construct the proxy index of China's economic uncertainty(EU)based on the mixed frequency dynamic factor model under dynamic structural changes,and to construct a time-varying parameter stochastic volatility vector autoregressive(TVP-SV-VAR)model to study the time-varying impact of China's economic uncertainty on the price fluctuations of three international crude oil pricing benchmarks,West Texas Intermediate crude oil,Brent crude oil and Dubai crude oil.The results show that the impact of China's economic uncertainty on crude oil price fluctuations changes over time,and shows that the short-term effect is significantly stronger than the long-term effect,and the occurrence of each peak point is accompanied by major economic events.On this basis,this paper proposes policy recommendations such as enhancing the resilience of the energy supply chain and promoting the transparency of the energy market to promote the stable development of the international crude oil market.

关 键 词：经济不确定性 国际原油 TVP-SV-VAR模型 

分 类 号：F124[经济管理—世界经济] F416.22F764.1