【作者】 曾建武；

【导师】 魏巍贤；

【作者基本信息】 厦门大学 ， 金融工程， 2008， 博士

【摘要】 对中国这样一个石油消费量和石油进口依存度均不断增加的发展中大国而言,2002年以来国际油价持续上涨和大幅波动对中国宏观经济的影响正在逐步显现。因此,探讨国际油价波动的原因,评估国际油价波动对我国宏观经济的影响就具有很强的现实指导意义。在研究方法上,相对传统的向量自回归模型(Vector Autoregression Model,VAR)而言,加入贝叶斯先验信息(Bayesian Prior)所构建的贝叶斯向量自回归模型(BVAR)能较好地克服过度拟合的问题,取得较好的预测效果。鉴此,本文在分析国际油价波动影响因素的基础上,采用贝叶斯向量误差修正模型实证分析各因素变化对油价变化的影响程度和国际油价波动对中国宏观经济的影响,并结合中国国情,提出相应的政策建议。本文的主要结论如下:第一,国际油价与OECD石油消费量、欧佩克原油产量、美国原油库存、美元汇率之间存在长期均衡关系。OECD石油消费量每增加1%,油价上涨30.89%:欧佩克原油产量与美国原油库存每增加1%,油价分别下跌3.9%和5.77%;美元汇率每减少1%,油价上涨8.09%。第二,我国现阶段经济的一些特点,包括非市场化的石油定价机制、产能过剩、能源消费结构以煤炭为主、人民币升值等降低了高油价对经济的冲击,部分掩盖了高油价对经济的影响。第三,我国国内生产总值增速、国际油价、国内石油消费量存在长期均衡关系。国际油价每上涨1%,国内生产总值增速减缓0.025%;国内生产总值增速和石油消费量呈现正相关,石油消费量增加1%,将促使国内生产总值增速加快0.156%。第四,国际油价上涨10%,会使我国居民消费价格指数增加0.89%。短期内国际油价对我国居民消费价格指数解释程度不高。更多还原

【Abstract】 China’s oil consumptions and import dependency increase quickly every year.From 2002,the world oil price raises rapidly.The influence of high oil price on China’s economy become more and more larger.Therefore,exploring the reasons which influence oil price fluctuation and evaluating the influence of oil price fluctuation on China’s economy is a practical significative research.About research methods,the Bayesian vector autoregressive models(BVAR) with Bayesian Priors outerform the unrestricted vector autoregressive model(VAR) in overcoming the problems of excess simulating and forecasting performance in terms of achieving a higher degree of accuracy.The study analyses the factors which influence oil price fluctuation,set up Cointegration Equation(CE) and Bayesian vector error correction model(BVECM) to evaluate the influence of various factor to oil price.The study also establish CE and BVECM to evaluate the influence of oil price fluctuation to China’s GDP and CPI.Combining the China’s practical instance,the study propose some suggestions to strengthen risk prevention.The main conclusions is as follow:1.The variables of oil price,OECD oil consumptions,OPEC crude oil productions, crude oil stocks of USA and exchange rate of U.S.dollar have long-term equilibrium relations(Cointegration).OECD oil consumptions raising 1 percent will cause oil price rising 30.89 percents.OPEC crude oil productions and USA oil stocks raising 1 percent will cause oil price falling 3.9 percents and 5.77 percents,corresponding.US exchange rate falling 1 percent will cause oil price raising 8.09 percents.2.China’s economy characteristic at present,involving non-marketable pricing Mechanism,productive capacity surplus,energy consumptions composition and RMB exchange rate,partly conceal the influence of high oil price on economics.3.China’s GDP-increasing-rate,world oil price and China’s oil consumptions have long-term equilibrium relations(Cointegration).Oil price raising 1 percent will cause GDP-increasing-rate falling 0.025 percent.GDP-increasing-rate have a positive correlation with oil consumptions,that it is,oil consumptions raising 1 percent will cause GDP-increasing-rate raise 0.156 percent. 4.Oil price raising 10 percents will cause China’s CPI raise 0.89 percent.In the short-term,oil price can not explain CPI distinctly.更多还原