结构性油价冲击对宏观经济的动态影响

Ping Li, Jie Li, Ziyi Zhang
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引用次数: 1

摘要

摘要本文运用结构向量自回归(SVAR)模型将国际油价冲击分解为石油供给冲击、总需求冲击和石油特定需求冲击,并利用DCC-GARCH模型分析了这三种油价冲击与几个石油进出口国宏观经济变量之间的动态相关性。为了量化石油冲击对这些变量的影响强度,我们提出了一个衡量标准,条件期望(CoE),以捕捉油价冲击下经济变量相对于中位数状态的百分比变化。采用时变耦合模型对所提出的测度进行随时间的估计。实证结果表明,油价冲击对宏观经济变量的影响在不同时期是不同的,呈现出时变特征。此外,油价冲击对宏观经济变量的影响在不同国家之间既有很大的差异,也有一些相似之处。最后,针对这些国家,特别是中国的特殊成果,提出了一些政策建议。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Dynamic Impact of Structural Oil Price Shocks on the Macroeconomy
Abstract In this paper, we apply the structural vector autoregression (SVAR) model to decompose the international oil price shock into oil supply shocks, aggregate demand shocks and oil-specific demand shocks, and then use the DCC-GARCH model to analyse the dynamic correlations between these three kinds of oil price shocks and the macroeconomic variables of several oil importing and exporting countries. To quantify the intensity of the effect of oil shocks on these variables, we propose a measure, conditional expectation (CoE), to capture the percent change of the economic variable under oil price shocks relative to the median state. The time-varying copula model is employed to estimate the proposed measure through time. The empirical results show that, for instance, the impacts of oil price shocks on macroeconomic variables are different in different periods, showing the time-varying characteristics. Additionally, the impacts of oil price shocks on macroeconomic variables show great differences and some similarities among different countries. Finally, we give some policy suggestions for these countries, in particular for China’s special results.
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