俄罗斯经济困局及对中国的启示——基于原油价格与卢布币值波动的实证检验
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摘要
2014年下半年以来,受国际原油价格持续下跌与美国退出量化宽松等因素影响,卢布币值出现剧烈波动,对经济结构单一而脆弱的俄罗斯经济产生了巨大冲击。本文使用结构向量自回归的技术方法 (SVAR)构建了一个三层级的实证模型,检验导致卢布出现币值危机的主要原因,以及卢布危机对俄罗斯经济的影响。研究表明,美国的宽松货币政策是导致国际原油价格巨幅波动的重要因素,而原油价格的波动影响了卢布币值的稳定,并对俄罗斯经济影响巨大;国际原油价格的剧烈波动是俄罗斯经济出现动荡的导火索,经济结构不合理是俄罗斯经济的致命伤。降低对单一产业产出的依赖、实现经济结构多元化,可以增强俄罗斯经济应对产品价格波动风险的抵抗力,俄罗斯经济发展的经验教训以及相关政策建议也对当前经济结构调整进入阵痛期的中国提供了借鉴与启示。
This paper uses a three-level structural vector auto regression(SVAR) model to analyze main reasons of the ruble crisis and the impact of such crisis on Russia's economy. The results show that the monetary policies of the USA led to the fluctuation of the oil price, and the fluctuation of the oil price affected the stability of the currency value and finally shocked the domestic economy in Russia. The wild volatility of the oil price is the fuse of Russia's economic turmoil, while the unreasonable economic structure is fatal. Lessening the reliance on output of a single industry and realizing the diversification of economic structure will enhance Russia's resistance to product price fluctuation risk. The lessons from Russia's economic development and related policy recommendations put forward in this paper provide a reference and inspiration to the current economic structural adjustment in China.
This paper uses a three-level structural vector auto regression(SVAR) model to analyze main reasons of the ruble crisis and the impact of such crisis on Russia's economy. The results show that the monetary policies of the USA led to the fluctuation of the oil price, and the fluctuation of the oil price affected the stability of the currency value and finally shocked the domestic economy in Russia. The wild volatility of the oil price is the fuse of Russia's economic turmoil, while the unreasonable economic structure is fatal. Lessening the reliance on output of a single industry and realizing the diversification of economic structure will enhance Russia's resistance to product price fluctuation risk. The lessons from Russia's economic development and related policy recommendations put forward in this paper provide a reference and inspiration to the current economic structural adjustment in China.
引文
[1]边恕,孙雅娜.能源要素禀赋与俄罗斯产业结构初级化倾向研究[J].东北亚论坛,2008(4):97-102
[2]陈涤非,李红玲,王海慧等.通胀预期形成机理研究———基于SVAR模型的实证分析[J].国际金融研究,2011(3):29-36
[3]陈丰龙,徐康宁.石油价格波动对经济全球化的影响:观察与检验[J].国际经贸探索,2014(8):64-76
[4]陈宇峰,陈准准.能源冲击对中国部门间劳动力市场需求结构的影响[J].国际贸易问题,2012(4):16-29
[5]上海社会科学院世界经济研究所宏观经济分析小组.砥砺前行中的世界经济:新常态、新动力、新趋势——2015年世界经济分析与展望[J].世界经济研究,2015(1):3-23+127
[6]闻岳春,王婕,程天笑.国内股市与国际股市、大宗商品市场的溢出效应研究[J].国际金融研究,2015(8):31-43
[7]张斌,徐建炜.石油价格冲击与中国的宏观经济:机制、影响与对策[J].管理世界,2010(11):18-27
[8]Amisano,G.,&Giannini,C.,Topics in Structural VAR Econometrics[M].New York:Baxter,1997
[9]Arezki,R.,&Blanchard,O.Seven Questions about the Recent Oil Price Slump[EB/OL].http://blog-imfdirect.imf.org/,2014
[10]Baffes,J.Oil Spills on Other Commodities[R].The World Bank Policy Research Working Paper Series,No.4333,2015
[11]Baffes,J.,Kose,A.,&Ohnsorge,F.The Great Plunge in Oil Prices:Causes,Consequences,and Policy Responses[R].The World Bank Policy Research Note,No.1,2015
[12]Bogetic,Z.,Smits,K.,Budina,N.,&Van Wijnbergen,V.Long-term Fiscal Risks and Sustainability in An Oil-rich Country:The Case of Russia[R].The World Bank Policy Research Working Paper Series,No.5240,2010
[13]Christopher,R.,&Johannes,U.The Relationship between Oil Prices and Long-term Interest Rates[R].Kiel Institute for the World Economy Working Papers,No.1637,2010
[14]Georgiadis G.Determinants of Global Spillovers From US Monetary Policy[J].Journal of International Money&Finance,2015
(1)具体模型设定参见Amisano&Giannini(1997)。
(2)卢布为本币,使用直接标价法。
[2]陈涤非,李红玲,王海慧等.通胀预期形成机理研究———基于SVAR模型的实证分析[J].国际金融研究,2011(3):29-36
[3]陈丰龙,徐康宁.石油价格波动对经济全球化的影响:观察与检验[J].国际经贸探索,2014(8):64-76
[4]陈宇峰,陈准准.能源冲击对中国部门间劳动力市场需求结构的影响[J].国际贸易问题,2012(4):16-29
[5]上海社会科学院世界经济研究所宏观经济分析小组.砥砺前行中的世界经济:新常态、新动力、新趋势——2015年世界经济分析与展望[J].世界经济研究,2015(1):3-23+127
[6]闻岳春,王婕,程天笑.国内股市与国际股市、大宗商品市场的溢出效应研究[J].国际金融研究,2015(8):31-43
[7]张斌,徐建炜.石油价格冲击与中国的宏观经济:机制、影响与对策[J].管理世界,2010(11):18-27
[8]Amisano,G.,&Giannini,C.,Topics in Structural VAR Econometrics[M].New York:Baxter,1997
[9]Arezki,R.,&Blanchard,O.Seven Questions about the Recent Oil Price Slump[EB/OL].http://blog-imfdirect.imf.org/,2014
[10]Baffes,J.Oil Spills on Other Commodities[R].The World Bank Policy Research Working Paper Series,No.4333,2015
[11]Baffes,J.,Kose,A.,&Ohnsorge,F.The Great Plunge in Oil Prices:Causes,Consequences,and Policy Responses[R].The World Bank Policy Research Note,No.1,2015
[12]Bogetic,Z.,Smits,K.,Budina,N.,&Van Wijnbergen,V.Long-term Fiscal Risks and Sustainability in An Oil-rich Country:The Case of Russia[R].The World Bank Policy Research Working Paper Series,No.5240,2010
[13]Christopher,R.,&Johannes,U.The Relationship between Oil Prices and Long-term Interest Rates[R].Kiel Institute for the World Economy Working Papers,No.1637,2010
[14]Georgiadis G.Determinants of Global Spillovers From US Monetary Policy[J].Journal of International Money&Finance,2015
(1)具体模型设定参见Amisano&Giannini(1997)。
(2)卢布为本币,使用直接标价法。