国际油价冲击对中国汇率和产出传导及其机制研究
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摘要
近年国际汕价波动较大,本文以国际汕价冲击为主线,以国际汕价冲击对中国汇率和产出传导及其机制为核心问题,进行了定性和定量研究。国内对国际油价冲击传导机制的研究还比较薄弱,笔者的研究具有一定的理论和现实意义。
首先,本文在Krugman(1980)动态局部均衡资产组合模型的基础上分析了国际油价冲击对实际汇率的传导效应,并结合中国的现实情况论证了国际油价冲击对人民币实际汇率传导的长期效应为：人民币实际汇率升值。
通过以汇率的弹性价格货币分析法为基础的VAR实证模型,笔者发现1994年1月到1995年8月和2005年7月到2009年12月,国际汕价冲击对人民币名义汇率存在传导效应；1995年8月到2005年7月,国际油价冲击对人民币名义汇率传导效应不明显。1994年1月到2009年12月国际油价冲击对人民币兑美元实际汇率存在传导效应；当国际油价上涨时,实际汇率先贬值然后升值；国际油价冲击对实际汇率变动率贡献率为：六个月3.91%,一年4.02%,两年4.05%,三年4.05%。
本文通过在VEC模型上进行GRANGER因果关系检验和脉冲响应函数分析,证明了国际油价冲击对人民币实际汇率传导存在贸易账户机制和物价机制。国际油价冲击发生后,中国进口和出口增加,中美通胀率上涨,美国通胀水平反应比中国迅速,但在同样的国际油价冲击下,中国通胀水平变化比美国通胀水平大。贸易账户机制和物价机制的中间变量：进口额、出口额、中国通胀率和美国通胀率在国际油价对人民币实际汇率传导中的贡献率各有不同。六个月内中国通胀水平对传导的贡献率最大；一年到三年中,进口额对传导的贡献率最大,美国通胀水平贡献率最小。随着时间的推移,进口额和出口额对传导的贡献率在不断加强,中国通胀的贡献率逐年递减,美国通胀则比较稳定。两个机制综合作用下,国际油价冲击使得人民币实际汇率先贬值后升值。
其次,本文以Blanchard(2007)的动态均衡模型和Shi(2006)的新开放宏观经济模型为基础论证了国际油价冲击对中国产出存在传导效应,并分别对传导的贸易账户机制、实际汇率机制和生产成本机制进行了理论分析。笔者对1994年第一季度至2009年第四季度的季度数据的VEC实证模型分析说明：国际油价冲击对中国产出存在传导效应,国际油价上涨使得中国国内生产总值呈正向变化。国际油价冲击对中国国内生产总值变化的贡献率为：一年25.57%,两年29.68%,三年32.18%。
国际油价冲击对中国产出传导存在贸易账户传导机制、实际汇率传导机制和生产成本传导机制。在国际油价对中国产出传导过程中,贸易账户传导机制最为重要,生产成本传导机制和实际汇率传导机制次之。三类传导机制综合作用下,国际油价冲击对中国产出存在着正向传导。
最后,本文通过实证分析了国内外油价差异对上述传导机制的影响。实证结论表明国内外油价差异对国际油价冲击的传导效应有较大影响。在国内外油价差异增加时,中国出口变化率和PPI变化率是先小幅下降再大幅上升,实际汇率变化率是先小幅上升后大幅下降,中国GDP变化率先小幅下降再大幅上升。综合这些因素的作用,在中国特殊的石油定价机制下,国际油价冲击对中国产出存在着正向的传导效应。按照中国现行石油定价机制,当国际油价重归每桶80美元以上区域,国内外价差仍将拉大,国际油价冲击对中国产出仍会存在正向传导作用。
In recent years, international oil price fluctuated severely. This dissertation studies on international oil price shocks. It focuses on the transmission mechanisms of the international oil price shocks on the exchange rate and output of China. The research on transmission mechanisms of the international oil price shocks is relatively weak in China. It is important in theory and practice for this thesis on this topic.
Firstly, on the basis of a dynamic partial-equilibrium portfolio model on Krugman (1980), the transmission mechanisms of the international oil price shocks on the RMB real exchange rate has been analyzed. Combined with Chinese real situation, the author argued that the transmission effect of international oil price shocks on RMB real exchange rate is appreciation.
Secondly, several empirical VAR models and different exchange rates have been studied on the basis of flexible-price monetary approach. Results indicate that there are transmissions of the international oil price shocks on the RMB nominal exchange rate from Jan.1994 to Aug.1995 and from Jul.2005 to Dec.2009, but there is no transmission from Sep.1995 to Jun.2005. The transmission exists in the international oil price shocks on the RMB real exchange rate from Jan.1994 to Dec.2009. If international oil price rises, RMB real exchange rate will depreciate in advance, and then appreciate. The variance of RMB real exchange rate can be decomposed into several parts and are generated 3.91%,4.02%, 4.05%,4.05% by the impact of the individual innovations on the variable of the international oil price, when a forecast over 6months,1 year,2 years,3years periods is performed.
Thirdly, there are two the transmission mechanisms of the international oil price shocks on the RMB real exchange rate. They are balance of payments and price transmission mechanisms. After the international oil price shocks, the export and import of China increase, and the inflation in US and China rise. But, the inflation in US reactions more swiftly and then more lightly than that in China. These two transmission mechanisms have four in-between variables:Chinese export and import, the inflation in US and in China. These in-between variables have different influences on transmission. The effect by synthesis of transmission effects is that international oil price shocks boost Chinese output.
Fourthly, in a dynamic equilibrium framework on Blanchard (2007) and NOEM on Shi (2006), the transmission effect of the international oil price shocks on Chinese output and three transmission mechanisms have been proved. Three transmission mechanisms are balance of payments, RMB real exchange rate and production cost transmission mechanisms.
Fifthly, two empirical VEC models have been studied by the quarterly data from 1994Q1 to 2009Q4. Results testify that there is transmission of the international oil price shocks on Chinese output. If international oil price rises, Chinese output will increase, the variance of Chinese output can be decomposed into several parts that are generated 25.57%, 29.68%,32.18% by the impact of the individual innovations on the variable the international oil price, when a forecast over 1 year,2 years,3years periods is performed.
Sixly, three mechanisms exist in the transmission of the international oil price shocks on Chinese output. The transmission mechanism of balance of payments is the most important, the other two are subordinate. The effect by synthesis of transmission effects is positive for Chinese output.
Finally, the paper investigates how the difference between domestic and abroad oil price influence the transmission mechanisms by empirical VAR model. Results show that this difference will be enlarged while international oil price rises, and under the special oil price mechanism in China, international oil price shocks will promote Chinese output.
首先,本文在Krugman(1980)动态局部均衡资产组合模型的基础上分析了国际油价冲击对实际汇率的传导效应,并结合中国的现实情况论证了国际油价冲击对人民币实际汇率传导的长期效应为：人民币实际汇率升值。
通过以汇率的弹性价格货币分析法为基础的VAR实证模型,笔者发现1994年1月到1995年8月和2005年7月到2009年12月,国际汕价冲击对人民币名义汇率存在传导效应；1995年8月到2005年7月,国际油价冲击对人民币名义汇率传导效应不明显。1994年1月到2009年12月国际油价冲击对人民币兑美元实际汇率存在传导效应；当国际油价上涨时,实际汇率先贬值然后升值；国际油价冲击对实际汇率变动率贡献率为：六个月3.91%,一年4.02%,两年4.05%,三年4.05%。
本文通过在VEC模型上进行GRANGER因果关系检验和脉冲响应函数分析,证明了国际油价冲击对人民币实际汇率传导存在贸易账户机制和物价机制。国际油价冲击发生后,中国进口和出口增加,中美通胀率上涨,美国通胀水平反应比中国迅速,但在同样的国际油价冲击下,中国通胀水平变化比美国通胀水平大。贸易账户机制和物价机制的中间变量：进口额、出口额、中国通胀率和美国通胀率在国际油价对人民币实际汇率传导中的贡献率各有不同。六个月内中国通胀水平对传导的贡献率最大；一年到三年中,进口额对传导的贡献率最大,美国通胀水平贡献率最小。随着时间的推移,进口额和出口额对传导的贡献率在不断加强,中国通胀的贡献率逐年递减,美国通胀则比较稳定。两个机制综合作用下,国际油价冲击使得人民币实际汇率先贬值后升值。
其次,本文以Blanchard(2007)的动态均衡模型和Shi(2006)的新开放宏观经济模型为基础论证了国际油价冲击对中国产出存在传导效应,并分别对传导的贸易账户机制、实际汇率机制和生产成本机制进行了理论分析。笔者对1994年第一季度至2009年第四季度的季度数据的VEC实证模型分析说明：国际油价冲击对中国产出存在传导效应,国际油价上涨使得中国国内生产总值呈正向变化。国际油价冲击对中国国内生产总值变化的贡献率为：一年25.57%,两年29.68%,三年32.18%。
国际油价冲击对中国产出传导存在贸易账户传导机制、实际汇率传导机制和生产成本传导机制。在国际油价对中国产出传导过程中,贸易账户传导机制最为重要,生产成本传导机制和实际汇率传导机制次之。三类传导机制综合作用下,国际油价冲击对中国产出存在着正向传导。
最后,本文通过实证分析了国内外油价差异对上述传导机制的影响。实证结论表明国内外油价差异对国际油价冲击的传导效应有较大影响。在国内外油价差异增加时,中国出口变化率和PPI变化率是先小幅下降再大幅上升,实际汇率变化率是先小幅上升后大幅下降,中国GDP变化率先小幅下降再大幅上升。综合这些因素的作用,在中国特殊的石油定价机制下,国际油价冲击对中国产出存在着正向的传导效应。按照中国现行石油定价机制,当国际油价重归每桶80美元以上区域,国内外价差仍将拉大,国际油价冲击对中国产出仍会存在正向传导作用。
In recent years, international oil price fluctuated severely. This dissertation studies on international oil price shocks. It focuses on the transmission mechanisms of the international oil price shocks on the exchange rate and output of China. The research on transmission mechanisms of the international oil price shocks is relatively weak in China. It is important in theory and practice for this thesis on this topic.
Firstly, on the basis of a dynamic partial-equilibrium portfolio model on Krugman (1980), the transmission mechanisms of the international oil price shocks on the RMB real exchange rate has been analyzed. Combined with Chinese real situation, the author argued that the transmission effect of international oil price shocks on RMB real exchange rate is appreciation.
Secondly, several empirical VAR models and different exchange rates have been studied on the basis of flexible-price monetary approach. Results indicate that there are transmissions of the international oil price shocks on the RMB nominal exchange rate from Jan.1994 to Aug.1995 and from Jul.2005 to Dec.2009, but there is no transmission from Sep.1995 to Jun.2005. The transmission exists in the international oil price shocks on the RMB real exchange rate from Jan.1994 to Dec.2009. If international oil price rises, RMB real exchange rate will depreciate in advance, and then appreciate. The variance of RMB real exchange rate can be decomposed into several parts and are generated 3.91%,4.02%, 4.05%,4.05% by the impact of the individual innovations on the variable of the international oil price, when a forecast over 6months,1 year,2 years,3years periods is performed.
Thirdly, there are two the transmission mechanisms of the international oil price shocks on the RMB real exchange rate. They are balance of payments and price transmission mechanisms. After the international oil price shocks, the export and import of China increase, and the inflation in US and China rise. But, the inflation in US reactions more swiftly and then more lightly than that in China. These two transmission mechanisms have four in-between variables:Chinese export and import, the inflation in US and in China. These in-between variables have different influences on transmission. The effect by synthesis of transmission effects is that international oil price shocks boost Chinese output.
Fourthly, in a dynamic equilibrium framework on Blanchard (2007) and NOEM on Shi (2006), the transmission effect of the international oil price shocks on Chinese output and three transmission mechanisms have been proved. Three transmission mechanisms are balance of payments, RMB real exchange rate and production cost transmission mechanisms.
Fifthly, two empirical VEC models have been studied by the quarterly data from 1994Q1 to 2009Q4. Results testify that there is transmission of the international oil price shocks on Chinese output. If international oil price rises, Chinese output will increase, the variance of Chinese output can be decomposed into several parts that are generated 25.57%, 29.68%,32.18% by the impact of the individual innovations on the variable the international oil price, when a forecast over 1 year,2 years,3years periods is performed.
Sixly, three mechanisms exist in the transmission of the international oil price shocks on Chinese output. The transmission mechanism of balance of payments is the most important, the other two are subordinate. The effect by synthesis of transmission effects is positive for Chinese output.
Finally, the paper investigates how the difference between domestic and abroad oil price influence the transmission mechanisms by empirical VAR model. Results show that this difference will be enlarged while international oil price rises, and under the special oil price mechanism in China, international oil price shocks will promote Chinese output.
引文
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