世界经济周期性波动对油价波动的影响
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摘要
上世纪七十年代以来,国际油价波动频繁,逐渐引起世界各国的高度重视,有关学者对国际油价波动的原因进行了大量研究。近期,在次贷危机引发的全球金融风暴背景下,2008年的国际油价出现了大幅波动。那么,经济发展与油价走势的这种同趋势变动是否就说明了两者之间存在着很大的关系呢?
本文首先在经济周期性波动对油价波动影响理论分析的基础上探索了经济周期性波动对油价波动的传导机理。然后依据经济周期性波动和油价波动的历史运行情况分析了经济增长、OPEC政策与国际油价之间的关系,探析了经济增长与国际油价走势趋同或者背离的原因及OPEC限产保价、增产保价政策未到达预期目标的原因。并且经过分析发现经济增长与国际油价走势趋同或者背离在不同的时间段呈现不同的特点。在建立世界经济增长率、OPEC日均产量和国际油价的向量自回归模型(VAR)的基础上进行了实证分析,结果表明:在第一阶段,世界经济增长率对国家原油价格的Grange因果关系不成立,在10%的显著性水平下国际原油价格对经济增长率存在单向Grange因果关系;在第二个阶段,世界经济增长率对国际原油价格存在单向Grange因果关系,当世界经济增长率上涨1%时,国际原油价格就会上涨12.12%,且世界经济增长率对油价波动的贡献度大于OPEC的日产量对油价波动的贡献度。比较发现,第一阶段由于OPEC政策对油价的巨大影响造成了实证结果的反向。故本文认为,经济周期具有对油价波动的单向因果关系,即经济周期性波动决定油价波动。最后,本文总结了研究的成果,并针对现实情况提出了相关的政策建议。
The fluctuation of international oil prices have began to rise since 1970s,attracted most attention around the world. The related professionals have done a large amount of research about the reasons of the fluctuation. Recently in 2008,the international oil prices appeared sharp fluctuations due to the context of the subprime crisis.Therefore, whether there is a considerable correlation trend between economic development and oil prices change or not?
Firstly the author has explored the conductive mechanism of the economic cycle fluctuation to oil price volatility on the basis of theoretical analysis. According to the historical operation of economic cycles and oil price fluctuations, the analysis defined the relationship among the economic growth, OPEC policy and international oil price . The author analyzed the reasons for economic growth and convergence or departure with the international oil prices and the reasons why OPEC policy of limitation or increasing of the production in order to protect the price does not reach the expected target.At the same time this article has revealed that economic growth convergence or departure with the international oil price movements showing different characteristics at various time periods. This article has done an empirical analysis based on the establishment a model of vector autoregression (VAR) of international oil price ,the rate of world economic growth and the OPEC daily production. The results stated that, in the first stage,the rate of world economic growth has nothing to do with national crude oil prices when we considering "Grange" relationships,typically at the level of 10% international crude oil prices have a one-way causal infuencing relationship to the rate of economic growth.At the second stage , there is a one-way causal relationship between the rate of world economic growth to the international crude oil prices,when the world economic growth rate rise 1% will lead to the international oil prices rise 12.12%.Moreover, the rate of world economic growth has more contributed to price of fluctuations than the OPEC's daily output has done.After comparing the reversed empirical results from the OPEC policy making enormous impact on oil in the first stage,the author believes that the economic cycle possessed a one-way causal relationship to the fluctuations in oil prices, which means economic cycle determined the price. Finally,the paper summarized the researching results,concluded the policy of recommendations based on actual situations.
本文首先在经济周期性波动对油价波动影响理论分析的基础上探索了经济周期性波动对油价波动的传导机理。然后依据经济周期性波动和油价波动的历史运行情况分析了经济增长、OPEC政策与国际油价之间的关系,探析了经济增长与国际油价走势趋同或者背离的原因及OPEC限产保价、增产保价政策未到达预期目标的原因。并且经过分析发现经济增长与国际油价走势趋同或者背离在不同的时间段呈现不同的特点。在建立世界经济增长率、OPEC日均产量和国际油价的向量自回归模型(VAR)的基础上进行了实证分析,结果表明:在第一阶段,世界经济增长率对国家原油价格的Grange因果关系不成立,在10%的显著性水平下国际原油价格对经济增长率存在单向Grange因果关系;在第二个阶段,世界经济增长率对国际原油价格存在单向Grange因果关系,当世界经济增长率上涨1%时,国际原油价格就会上涨12.12%,且世界经济增长率对油价波动的贡献度大于OPEC的日产量对油价波动的贡献度。比较发现,第一阶段由于OPEC政策对油价的巨大影响造成了实证结果的反向。故本文认为,经济周期具有对油价波动的单向因果关系,即经济周期性波动决定油价波动。最后,本文总结了研究的成果,并针对现实情况提出了相关的政策建议。
The fluctuation of international oil prices have began to rise since 1970s,attracted most attention around the world. The related professionals have done a large amount of research about the reasons of the fluctuation. Recently in 2008,the international oil prices appeared sharp fluctuations due to the context of the subprime crisis.Therefore, whether there is a considerable correlation trend between economic development and oil prices change or not?
Firstly the author has explored the conductive mechanism of the economic cycle fluctuation to oil price volatility on the basis of theoretical analysis. According to the historical operation of economic cycles and oil price fluctuations, the analysis defined the relationship among the economic growth, OPEC policy and international oil price . The author analyzed the reasons for economic growth and convergence or departure with the international oil prices and the reasons why OPEC policy of limitation or increasing of the production in order to protect the price does not reach the expected target.At the same time this article has revealed that economic growth convergence or departure with the international oil price movements showing different characteristics at various time periods. This article has done an empirical analysis based on the establishment a model of vector autoregression (VAR) of international oil price ,the rate of world economic growth and the OPEC daily production. The results stated that, in the first stage,the rate of world economic growth has nothing to do with national crude oil prices when we considering "Grange" relationships,typically at the level of 10% international crude oil prices have a one-way causal infuencing relationship to the rate of economic growth.At the second stage , there is a one-way causal relationship between the rate of world economic growth to the international crude oil prices,when the world economic growth rate rise 1% will lead to the international oil prices rise 12.12%.Moreover, the rate of world economic growth has more contributed to price of fluctuations than the OPEC's daily output has done.After comparing the reversed empirical results from the OPEC policy making enormous impact on oil in the first stage,the author believes that the economic cycle possessed a one-way causal relationship to the fluctuations in oil prices, which means economic cycle determined the price. Finally,the paper summarized the researching results,concluded the policy of recommendations based on actual situations.
引文
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[2] Gregory D H,Shin K.Intranational Business Cycles in the United States[J]. Journal of International Economics, 1998, 44(2):289-313
[3] Backus D K,Kehoe P J,Kydland F E.International Real Business Cycles[J]. Journal of Political Economy, 1992, 58(2):377-409
[4] Kollmann R.Incomplete Asset Markets and the Cross-country Consumption Correlation Puzzle[J].Journal of Economic Dynamics and Control,1996,20(1): 945-961
[5] Selover D D.International Interdependence and Business Cycle Transmission in asean [J].Journal of the Japanese and International Economics,1999,13(2): 230-253
[6] Sarkissian S.The Cross-Country Consumption Dispersion and the World Business Cycle[J].Journal of International Economics, 2002,39(1):256-295
[7] Baxter M,Kouparitsas M A.Determinants of business cycle comovement a robust analysis[J].Journal of Monetary Economics, 2005, 52(1): 113-157
[8] Kouparitsas M. Is there a world business cycle? [R].The Federal Reserve Bank of Chicago,2001, 11(1):172-198
[9] Karry A, Ventura J.product price and the OECD cycle [J].Journal of Internaeconomics, 2000,29(1):251-285
[10] Dellas H.A real model of the world business cycle[J].Journal of International Money and Finance, 1986, 5(3):381-394
[11] Bergman M. International evidence on the sources of macroeconomic fluctuations[J].European Economic Review,1996, 40(2):1237-1258
[12]唐海燕.当代全球化的发展及后果[N].华东师范大学学报, 1999,( 4):28-32
[13]宋玉华.徐前春.世界经济周期的特征[J].经济研究参考, 2004,( 3):63-65
[14]宗建亮.李天德.熊豪.世界经济周期性波动与石油危机[J].经济经纬, 2008, (1): 28-31
[15]宋玉华.主权财富基金的发展及对21世纪初世界经济的影响[J].经济理论与经济管理, 2008,(1):31-33
[16] Hamilton J D.Oil and the Macroeconomy Since World War II[J].Journal ofPolitical Economy, 1983,96(2):593-617
[17] Hamilton J D.What is an Qil Shock?[J].Journal of Econometrics, 2003, 113(4): 363-398
[18] Mork K A.Oil and Macroeconomy when Price Go Up and Down An Extension of Hamiltons Results[J].Journal of Political Economy,1989,97(1):740-744
[19] Hooker M.What Happened to the Oil Price-Macroeconomy Ralationship? [J]. Journal of Monetary Economics, 1996, 38(3):195-213
[20] Ferderer J P.Oil price volatility and the macroeconomy[J].Journal of Macroeconomics, 1996,18(1):1-26
[21] Cunado J, Gracia F P. Do oil price shocks matter? Evidence for some European countries[J].Energy Economics, 2003,25(2):137-154
[22] Davis S T,Haltiwanger J.Sectoral job creation and destruction responses to oil price changes[J].Journal of Monetary Economics,2001,48(3):465-512
[23]何晓群,魏涛远.世界石油价格上涨对我国经济的影响[J].经济理论与经济管理, 2002,(4):27-31
[24]于渤,迟春洁,苏国福.石油价格对国民经济影响测度模型[J].数量经济技术经济研究,2002,(5):35-41
[25]钱争鸣,郭鹏辉,高峰.世界油价变动对我国经济影响的数量分析[J].国际贸易问题, 2005,(8):21-25
[26]赵元兵,黄健.国际石油价格上扬对中国经济的影响[J].经济纵横, 2005,(1):23-27
[27]潘慧峰,张金水.基于ARCH类模型的国内油价波动分析[J].统计研究, 2005,(4):16-20
[28]于伟,尹敬东.国际原油价格冲击对我国经济影响的实证分析[J].产业经济研究, 2005,( 6):11-15
[29]宋增基,李春红.经济增长对石油需求及石油价格影响的计量分析[J].国际贸易问题, 2009,(5):19-25
[30] Santis R A.Crude oil price fluctuations and Saudi Arabia's behaviour[J].Energy Economics,2003,25(2): 155-173
[31] Kaufmann R K,Dees S.Oil prices: The role of refinery utilization futures markets and non-linearities[J].Energy Economics,2008,30(5): 2609-2622
[32] Cheng K C.Dollar depreciation and commodity in IMF (Ed) [R].World Economix Outlook International Monetary Fund,Washington,2008(11):72-75
[33]赵农,危结根.石油价格波动的分析[J].世界经济,2001,(12):23-27
[34]李懿,冯春山.OPEC对国际石油价格影响研究[J].技术经济与管理研究,2003,(5):40-41
[35]梅国柱.供给因素与国际原油价格形成—解析石油输出国的决策过程[J].国际问题研究,2006,(10):189-190
[36]李天籽,王智辉.欧佩克对国际石油价格的影响分析[C].东北亚论坛,2007, 16(2): 32-35
[37]周子康,王实,杨衡.影响国际石油价格因素解析[J].管理现代化,2005,(6):4-6
[38]殷晓红.影响世界石油市场短期供给的基本因素分析[N].吉林工商学院学报, 2008,24(4):32-35
[39]柏来喜.二十世纪五六十年代国际油价低廉的成因[J].贵州社会科学,2008,(8): 134-136
[40]李优树.国际石油价格波动分析[J].财经科学,2000,(6):1-6
[41]李科.国际油价高位运行现状成因与特点分析[J].中国能源,2006,28(9):32-36
[42]杜伟.国际油价的决定因素及其未来走势[J].经济理论与经济管理,2006,(9): 70-74
[43]张红梅.长短期因素共同作用于国际油价[J].中国石油和化工,2008,(5): 28-31
[44]胡彬.国际市场石油价格波动分析[J].安徽农业科学,2008,36(10):4198-4199
[45]程伟力.影响国际石油价格因素的定量分析[J].国际石油经济,2005,(8): 40-43
[46]蒲志仲.国际油价波动长周期现象探讨[J].国际石油经济,2006,(6): 21-25
[47]黄健.世界石油价格波动的原因分析[J].经济纵横,2005,(4):113-114
[48]章铮.边际机会成本定价-自然资源定价的理论框架[N].自然资源学报,1996, 11(2):107-112
[49]梅国柱.供给因素与国际原油价格形成[J].国际问题研究,2006,(10):189-190
[50]管清友.石油预期带来的结果[J].中国石油企业,2008,(7):53-53
[51]王兰军.美国宏观调控政策对我国的启示[J].宏观经济研究,2005,(1):25-26
[52]王力.美国经济周期的新因素[N].国际关系学院学报,2005,(1):48-54
[53]过启渊,吕秋凉.世界能源经济[M].重庆:重庆出版社,1988:59-60
[54]刘颖,张力.世界石油价格波动分析与我国的对策[J].国际经贸,2005,(12): 9-10
[55]余炜彬,范英,魏一鸣,焦建玲.Brent原油期货市场的协整性分析[J].数理统计与管理,2004,(9):26-32
[56]易丹辉.数据分析与EVIEWS应用[M].北京:中国统计出版社,2005:123-135
[57]高铁梅.计量经济分析方法与建模——Eviews应用及实例[M].北京:清华大学出版社,2005:150-156
[2] Gregory D H,Shin K.Intranational Business Cycles in the United States[J]. Journal of International Economics, 1998, 44(2):289-313
[3] Backus D K,Kehoe P J,Kydland F E.International Real Business Cycles[J]. Journal of Political Economy, 1992, 58(2):377-409
[4] Kollmann R.Incomplete Asset Markets and the Cross-country Consumption Correlation Puzzle[J].Journal of Economic Dynamics and Control,1996,20(1): 945-961
[5] Selover D D.International Interdependence and Business Cycle Transmission in asean [J].Journal of the Japanese and International Economics,1999,13(2): 230-253
[6] Sarkissian S.The Cross-Country Consumption Dispersion and the World Business Cycle[J].Journal of International Economics, 2002,39(1):256-295
[7] Baxter M,Kouparitsas M A.Determinants of business cycle comovement a robust analysis[J].Journal of Monetary Economics, 2005, 52(1): 113-157
[8] Kouparitsas M. Is there a world business cycle? [R].The Federal Reserve Bank of Chicago,2001, 11(1):172-198
[9] Karry A, Ventura J.product price and the OECD cycle [J].Journal of Internaeconomics, 2000,29(1):251-285
[10] Dellas H.A real model of the world business cycle[J].Journal of International Money and Finance, 1986, 5(3):381-394
[11] Bergman M. International evidence on the sources of macroeconomic fluctuations[J].European Economic Review,1996, 40(2):1237-1258
[12]唐海燕.当代全球化的发展及后果[N].华东师范大学学报, 1999,( 4):28-32
[13]宋玉华.徐前春.世界经济周期的特征[J].经济研究参考, 2004,( 3):63-65
[14]宗建亮.李天德.熊豪.世界经济周期性波动与石油危机[J].经济经纬, 2008, (1): 28-31
[15]宋玉华.主权财富基金的发展及对21世纪初世界经济的影响[J].经济理论与经济管理, 2008,(1):31-33
[16] Hamilton J D.Oil and the Macroeconomy Since World War II[J].Journal ofPolitical Economy, 1983,96(2):593-617
[17] Hamilton J D.What is an Qil Shock?[J].Journal of Econometrics, 2003, 113(4): 363-398
[18] Mork K A.Oil and Macroeconomy when Price Go Up and Down An Extension of Hamiltons Results[J].Journal of Political Economy,1989,97(1):740-744
[19] Hooker M.What Happened to the Oil Price-Macroeconomy Ralationship? [J]. Journal of Monetary Economics, 1996, 38(3):195-213
[20] Ferderer J P.Oil price volatility and the macroeconomy[J].Journal of Macroeconomics, 1996,18(1):1-26
[21] Cunado J, Gracia F P. Do oil price shocks matter? Evidence for some European countries[J].Energy Economics, 2003,25(2):137-154
[22] Davis S T,Haltiwanger J.Sectoral job creation and destruction responses to oil price changes[J].Journal of Monetary Economics,2001,48(3):465-512
[23]何晓群,魏涛远.世界石油价格上涨对我国经济的影响[J].经济理论与经济管理, 2002,(4):27-31
[24]于渤,迟春洁,苏国福.石油价格对国民经济影响测度模型[J].数量经济技术经济研究,2002,(5):35-41
[25]钱争鸣,郭鹏辉,高峰.世界油价变动对我国经济影响的数量分析[J].国际贸易问题, 2005,(8):21-25
[26]赵元兵,黄健.国际石油价格上扬对中国经济的影响[J].经济纵横, 2005,(1):23-27
[27]潘慧峰,张金水.基于ARCH类模型的国内油价波动分析[J].统计研究, 2005,(4):16-20
[28]于伟,尹敬东.国际原油价格冲击对我国经济影响的实证分析[J].产业经济研究, 2005,( 6):11-15
[29]宋增基,李春红.经济增长对石油需求及石油价格影响的计量分析[J].国际贸易问题, 2009,(5):19-25
[30] Santis R A.Crude oil price fluctuations and Saudi Arabia's behaviour[J].Energy Economics,2003,25(2): 155-173
[31] Kaufmann R K,Dees S.Oil prices: The role of refinery utilization futures markets and non-linearities[J].Energy Economics,2008,30(5): 2609-2622
[32] Cheng K C.Dollar depreciation and commodity in IMF (Ed) [R].World Economix Outlook International Monetary Fund,Washington,2008(11):72-75
[33]赵农,危结根.石油价格波动的分析[J].世界经济,2001,(12):23-27
[34]李懿,冯春山.OPEC对国际石油价格影响研究[J].技术经济与管理研究,2003,(5):40-41
[35]梅国柱.供给因素与国际原油价格形成—解析石油输出国的决策过程[J].国际问题研究,2006,(10):189-190
[36]李天籽,王智辉.欧佩克对国际石油价格的影响分析[C].东北亚论坛,2007, 16(2): 32-35
[37]周子康,王实,杨衡.影响国际石油价格因素解析[J].管理现代化,2005,(6):4-6
[38]殷晓红.影响世界石油市场短期供给的基本因素分析[N].吉林工商学院学报, 2008,24(4):32-35
[39]柏来喜.二十世纪五六十年代国际油价低廉的成因[J].贵州社会科学,2008,(8): 134-136
[40]李优树.国际石油价格波动分析[J].财经科学,2000,(6):1-6
[41]李科.国际油价高位运行现状成因与特点分析[J].中国能源,2006,28(9):32-36
[42]杜伟.国际油价的决定因素及其未来走势[J].经济理论与经济管理,2006,(9): 70-74
[43]张红梅.长短期因素共同作用于国际油价[J].中国石油和化工,2008,(5): 28-31
[44]胡彬.国际市场石油价格波动分析[J].安徽农业科学,2008,36(10):4198-4199
[45]程伟力.影响国际石油价格因素的定量分析[J].国际石油经济,2005,(8): 40-43
[46]蒲志仲.国际油价波动长周期现象探讨[J].国际石油经济,2006,(6): 21-25
[47]黄健.世界石油价格波动的原因分析[J].经济纵横,2005,(4):113-114
[48]章铮.边际机会成本定价-自然资源定价的理论框架[N].自然资源学报,1996, 11(2):107-112
[49]梅国柱.供给因素与国际原油价格形成[J].国际问题研究,2006,(10):189-190
[50]管清友.石油预期带来的结果[J].中国石油企业,2008,(7):53-53
[51]王兰军.美国宏观调控政策对我国的启示[J].宏观经济研究,2005,(1):25-26
[52]王力.美国经济周期的新因素[N].国际关系学院学报,2005,(1):48-54
[53]过启渊,吕秋凉.世界能源经济[M].重庆:重庆出版社,1988:59-60
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[55]余炜彬,范英,魏一鸣,焦建玲.Brent原油期货市场的协整性分析[J].数理统计与管理,2004,(9):26-32
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