石油冲击对美元影响的时变结构VAR方法

2010 Third International Joint Conference on Computational Science and Optimization Pub Date : 2010-05-28 DOI:10.1109/CSO.2010.41

Wei Sun, Zhong-ying Qi, N. Jia

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引用次数: 0

摘要

为了比较石油正冲击和负冲击对美元的传导差异，本文提出了考虑石油冲击和美元汇率的时变结构VAR模型。通过对基本时变结构VAR模型的扩展，通过改变时变状态空间矩阵得到两个结构正交油冲击。然后，通过累积贡献模型和滚动回归计算了正、负石油冲击的净效应。最后，给出了得出结论的原因。

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A Time-Varying Structural VAR Method for the Effects of Oil Shocks on US Dollars

In order to compare the difference in the transmission of positive and negative oil shocks on US dollar, a time-varying structural VAR model with oil shocks and US dollar exchange rates is proposed in this paper. By extending the basic time-varying structural VAR model, two structure orthogonal oil shocks can be gained by changing the time-varying state space matrix. Then, the net effects of positive and negative oil shocks are calculated by an accumulated contribution model and the rolling regression. Finally, the corresponding reasons for the conclusions are presented.

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2010 Third International Joint Conference on Computational Science and Optimization

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