国际煤炭、原油价格波动对中国经济影响的实证分析
摘要
近年来,研究能源价格变动对于宏观经济影响的文章是方兴未艾。在我国能源消费的结构中：70%是煤炭、20%是石油,这个是我们研究能源价格对于我国经济影响的基本前提。国际煤炭价格的变动与国际原油价格的变动,对于我国宏观经济分别有什么样的影响?针对这种影响,我们可以采取何种措施?
本文利用VAR模型,结合格兰杰因果检验以及协整检验,利用国际煤炭、国际原油价格、物价水平(PPI、CPI)、工业增加值(VAI)以及货币发行量(M2)进行了实证分析。首先,本文建立VAR模型来讨论国际煤炭、国际原油价格的变动对于物价水平(PPI、CPI)、工业增加值(VAI)以及货币发行量(M2)的影响。其次,本文讨论了国际煤炭价格与国际原油价格波动的相关性。
本文得到主要结论是：国际煤炭价格和国际原油价格波动对于PPI有较为显著的影响,而对于CPI影响不显著；国际煤炭价格波动对于工业增加值有一定的影响,国际原油价格对于工业增加值影响不显著；国际煤炭价格波动对于货币发行量存在一定程度上的反向关系,国际原油价格对于货币发行量影响不明显。
In recent years, the research of energy price changes for macro economic effects of articles is on the rise. In China's energy consumption structure:70 percent of coal and 20 percent of oil, this is our study of economic impact energy prices for basic prerequisite. The fluctuation international coal price and international oil prices, the change of China's macroeconomic respectively for what? According to this, we can adopt measures?
Using VAR model, cointegration test and granger causality test, to analyze the relation of coal, oil price changes in prices (PPI, CPI), industrial added value (VAI) and monetary circulation (M2) analysis. Using VAR model, cointegration test and granger causality test, analysis of coal, the international oil prices internationally on the price level (PPI, CPI), industrial added value (VAI) and monetary circulation (M2) analysis. Firstly, this paper establish VAR model to discuss international coal, crude oil prices on the international price level (PPI, CPI), industrial added value (VAI) and money supply (M2). Secondly, the paper discusses the international price of coal and international oil prices.
This paper presents the main conclusion is:the price of coal and oil prices for prices have significant influence PPI, but no significant influence on the CPI; Coal price fluctuation in the industrial sector has certain influence in the industrial sector, crude oil prices no significant influence; Coal price fluctuations in currency issued a certain backward relation, crude oil prices for the currency is not remarkable.
本文利用VAR模型,结合格兰杰因果检验以及协整检验,利用国际煤炭、国际原油价格、物价水平(PPI、CPI)、工业增加值(VAI)以及货币发行量(M2)进行了实证分析。首先,本文建立VAR模型来讨论国际煤炭、国际原油价格的变动对于物价水平(PPI、CPI)、工业增加值(VAI)以及货币发行量(M2)的影响。其次,本文讨论了国际煤炭价格与国际原油价格波动的相关性。
本文得到主要结论是：国际煤炭价格和国际原油价格波动对于PPI有较为显著的影响,而对于CPI影响不显著；国际煤炭价格波动对于工业增加值有一定的影响,国际原油价格对于工业增加值影响不显著；国际煤炭价格波动对于货币发行量存在一定程度上的反向关系,国际原油价格对于货币发行量影响不明显。
In recent years, the research of energy price changes for macro economic effects of articles is on the rise. In China's energy consumption structure:70 percent of coal and 20 percent of oil, this is our study of economic impact energy prices for basic prerequisite. The fluctuation international coal price and international oil prices, the change of China's macroeconomic respectively for what? According to this, we can adopt measures?
Using VAR model, cointegration test and granger causality test, to analyze the relation of coal, oil price changes in prices (PPI, CPI), industrial added value (VAI) and monetary circulation (M2) analysis. Using VAR model, cointegration test and granger causality test, analysis of coal, the international oil prices internationally on the price level (PPI, CPI), industrial added value (VAI) and monetary circulation (M2) analysis. Firstly, this paper establish VAR model to discuss international coal, crude oil prices on the international price level (PPI, CPI), industrial added value (VAI) and money supply (M2). Secondly, the paper discusses the international price of coal and international oil prices.
This paper presents the main conclusion is:the price of coal and oil prices for prices have significant influence PPI, but no significant influence on the CPI; Coal price fluctuation in the industrial sector has certain influence in the industrial sector, crude oil prices no significant influence; Coal price fluctuations in currency issued a certain backward relation, crude oil prices for the currency is not remarkable.
引文
[1]程伟力.影响国际石油价格因素的定量分析.国际石油经济[J],2005,8：30-34
[2]高铁梅.计量经济分析方法与建模.清华大学出版社[M],2006年：260-270
[3]韩智勇,魏一鸣.中国能源消费与经济增长的协整性与因果关系分析.系统工程[J],2004,12：17-21
[4]胡宗义等.能源价格对能源强度和经济增长影响的CGE探究.财经理论与实践[J],2008年,2：36-39
[5]李薇.石油价格波动影响宏观经济运行的传导机制研究.世界经济情况[J],2008,2：45-49
[6]李子奈.计量经济学.高等教育出版社[M],2000：145-152
[7]林伯强、蒋竹筠.城市化进程中的中国能源需求预测.2008厦门大学中国能源经济研究中心工作论文
[8]林伯强.电力消费与中国经济增长：基于生产函数的研究.管理世界[J],2003,11：68-72
[9]林伯强.能源价格如何定.上海经济[J],2007,2：48-51
[10]林伯强.中国能源需求的经济计量分析.经济研究[J],2001,10：18-21
[11]林伯强、魏巍贤、李不东.中国长期煤炭需求：影响与政策选择.经济研究[J],2007,2：26-32
[12]刘满平.我国煤炭市场分析.中国能源[J],2003,4：36-39
[13]刘强.石油价格变化对中国经济影响的模型研究.数量经济技术经济研究[J],2005,3：36-43
[14]倪铮、凌子未.中国石油需求量的协整计量分析.南开经济研究[J],2005,6：11-15
[15]潘伟尔.加速煤炭价格机制市场化改革的基本思路.中国能源[J],2005,1：39-42
[16]邱丹、秦远建.我国煤炭价格与经济增长关系的实证研究.煤炭经济研究[J],2009,2：51-55
[17]沈中元.原油价格对中国物价的影响.国际石油经济[J],2004,11：62-66
[18]孙稳存.能源价格冲击对经济的影响.经济理论与经济管理[J],2007,2：63-68
[19]王丰云.国际石油价格波动对我国通货膨胀影响的实证研究.价格月刊[J],2007,7：16-19
[20]杨柳、李力.能源价格变动对经济增长与通货膨胀的影响.中南财经政法大学学报[J],2006,4：16-19
[21]余炜彬、范英、魏一鸣等.Brent原油期货市场的协整性分析.数理统计与管理[J],2004,9：23-27
[22]张晓峒.计量经济学软件EViews使用指南.南开大学出版社[M],2004,12：156-182
[23]赵建国.当前煤炭价格存在问题及解决思路.中国能源[J],2004,11：33-38
[24]赵元兵、黄健.国际原油价格上扬对中国经济的影响.经济纵横[J],2004,1：51-55
[25]Alessandro Cologni,Matteo Manera.,2008.Oil prices,inflation and interest rates in astructural cointegrated VAR model for the G-7 countries,Energy Economics(30),856-888.
[26]Arby, M.R.The Price of Oil and World Inflation and Recession. American Economic Review,1982(7):738-751.
[27].Barsky,Robert,Kilian.Oil and the Macroeconomic since the 1970s.NBER Working Paper. New York., 2004(10):No.108.
[28]Chan,K.S.,Tong,H..On Estimating Thresholds in Autoregressive Models. Journal of Time Series Analysis,1986(7):178-190.
[29]Cheng,Benjamin,Tin Wei Lai.An investigation of co-integration and causality between energy consumption and economic activity in Taiwan Province of China. Energy Economics,1997(19):435-444.
[30]Daan P.van Soest,Gerard H.Kuper,Jan Jacobs,Threshold Effects of Energy Price Changes,2000(4),173-191
[31]Davis,S.J.,and J.Haltiwanger.Sectoral Job Creation and Destruction Response to Oil Price Changes. Journal of Monetary Economics,2001(48):465-512.
[32]Finn,M.G.(2000),"Perfect competition and the effects of energy price increases on economics activity", Journal of Money, Credit & Banking,32(3).
[33]Finn,M.G..Perfect Competition and the Effects of Energy Price Increases on Economic Activity. Journal of Money, Credit and Banking,2000(3):400-416.
[34]Granger,C.W.J.,Ter?svirta,T..Modeling Nonlinear Economic Relationships. Oxford:Oxford University Press, 1993.103-148
[35]Hamilton,J.D.Oil and the macroeconomic since world War Ⅱ.Journal of Political Economy,1983(2):228-248.
[36]Hooker,M.A.,.What happened to oil-price relationship,Journal of Monetary Economics,1996 (2),195-213
[37]Hotelling, Harold.The Economics of exhaustible Resources. Journal of Political Economy,1990(4):137-175.
[38]International Energy Agency,Analysis of the impact of high oil prices on the Global Economy,2004
[39]Lee,K.,Ni,S.,Ratti,R.A.Oil shocks and the macro economy:the role of price variability. Energy Journal,1995(4):39-56.
[40]Mork,K.A.Oil and the macroeconomic when prices go up and down:an extension of Hamilton's results. Journal of Political Economy,1997(3):740-744.
[41]Osborn,D.Business Cycle Nonlinearities in UK Consumption and Production. Discussion Paper No.9701,School of Economic Studies,University of Manchester,1997.
[42]Ryan,D.L.,Yu Wang,A.Plourde(1996),Asymmetric price response of residential energy demand in Ontario, Canadian Journal of Economics,29.
[43]Sensier,M.,Osborn,D.R.,Ocal,N..Asymmetric interest rate effects for the UK real economy. Oxford Bulletin of Economics and Statistics,2002Vol.64:315-339.
[44]Shiu-Sheng Chen.,2009.Oil price pass-through into inflation.Energy Economics 31,126-133.
[45]Vivek Ghosal,Product market competition and the industry price-cost markup fluctuations:role of energy price and monetary changes,International Journal of Industrial Organization,2000(18),415-444
[2]高铁梅.计量经济分析方法与建模.清华大学出版社[M],2006年：260-270
[3]韩智勇,魏一鸣.中国能源消费与经济增长的协整性与因果关系分析.系统工程[J],2004,12：17-21
[4]胡宗义等.能源价格对能源强度和经济增长影响的CGE探究.财经理论与实践[J],2008年,2：36-39
[5]李薇.石油价格波动影响宏观经济运行的传导机制研究.世界经济情况[J],2008,2：45-49
[6]李子奈.计量经济学.高等教育出版社[M],2000：145-152
[7]林伯强、蒋竹筠.城市化进程中的中国能源需求预测.2008厦门大学中国能源经济研究中心工作论文
[8]林伯强.电力消费与中国经济增长：基于生产函数的研究.管理世界[J],2003,11：68-72
[9]林伯强.能源价格如何定.上海经济[J],2007,2：48-51
[10]林伯强.中国能源需求的经济计量分析.经济研究[J],2001,10：18-21
[11]林伯强、魏巍贤、李不东.中国长期煤炭需求：影响与政策选择.经济研究[J],2007,2：26-32
[12]刘满平.我国煤炭市场分析.中国能源[J],2003,4：36-39
[13]刘强.石油价格变化对中国经济影响的模型研究.数量经济技术经济研究[J],2005,3：36-43
[14]倪铮、凌子未.中国石油需求量的协整计量分析.南开经济研究[J],2005,6：11-15
[15]潘伟尔.加速煤炭价格机制市场化改革的基本思路.中国能源[J],2005,1：39-42
[16]邱丹、秦远建.我国煤炭价格与经济增长关系的实证研究.煤炭经济研究[J],2009,2：51-55
[17]沈中元.原油价格对中国物价的影响.国际石油经济[J],2004,11：62-66
[18]孙稳存.能源价格冲击对经济的影响.经济理论与经济管理[J],2007,2：63-68
[19]王丰云.国际石油价格波动对我国通货膨胀影响的实证研究.价格月刊[J],2007,7：16-19
[20]杨柳、李力.能源价格变动对经济增长与通货膨胀的影响.中南财经政法大学学报[J],2006,4：16-19
[21]余炜彬、范英、魏一鸣等.Brent原油期货市场的协整性分析.数理统计与管理[J],2004,9：23-27
[22]张晓峒.计量经济学软件EViews使用指南.南开大学出版社[M],2004,12：156-182
[23]赵建国.当前煤炭价格存在问题及解决思路.中国能源[J],2004,11：33-38
[24]赵元兵、黄健.国际原油价格上扬对中国经济的影响.经济纵横[J],2004,1：51-55
[25]Alessandro Cologni,Matteo Manera.,2008.Oil prices,inflation and interest rates in astructural cointegrated VAR model for the G-7 countries,Energy Economics(30),856-888.
[26]Arby, M.R.The Price of Oil and World Inflation and Recession. American Economic Review,1982(7):738-751.
[27].Barsky,Robert,Kilian.Oil and the Macroeconomic since the 1970s.NBER Working Paper. New York., 2004(10):No.108.
[28]Chan,K.S.,Tong,H..On Estimating Thresholds in Autoregressive Models. Journal of Time Series Analysis,1986(7):178-190.
[29]Cheng,Benjamin,Tin Wei Lai.An investigation of co-integration and causality between energy consumption and economic activity in Taiwan Province of China. Energy Economics,1997(19):435-444.
[30]Daan P.van Soest,Gerard H.Kuper,Jan Jacobs,Threshold Effects of Energy Price Changes,2000(4),173-191
[31]Davis,S.J.,and J.Haltiwanger.Sectoral Job Creation and Destruction Response to Oil Price Changes. Journal of Monetary Economics,2001(48):465-512.
[32]Finn,M.G.(2000),"Perfect competition and the effects of energy price increases on economics activity", Journal of Money, Credit & Banking,32(3).
[33]Finn,M.G..Perfect Competition and the Effects of Energy Price Increases on Economic Activity. Journal of Money, Credit and Banking,2000(3):400-416.
[34]Granger,C.W.J.,Ter?svirta,T..Modeling Nonlinear Economic Relationships. Oxford:Oxford University Press, 1993.103-148
[35]Hamilton,J.D.Oil and the macroeconomic since world War Ⅱ.Journal of Political Economy,1983(2):228-248.
[36]Hooker,M.A.,.What happened to oil-price relationship,Journal of Monetary Economics,1996 (2),195-213
[37]Hotelling, Harold.The Economics of exhaustible Resources. Journal of Political Economy,1990(4):137-175.
[38]International Energy Agency,Analysis of the impact of high oil prices on the Global Economy,2004
[39]Lee,K.,Ni,S.,Ratti,R.A.Oil shocks and the macro economy:the role of price variability. Energy Journal,1995(4):39-56.
[40]Mork,K.A.Oil and the macroeconomic when prices go up and down:an extension of Hamilton's results. Journal of Political Economy,1997(3):740-744.
[41]Osborn,D.Business Cycle Nonlinearities in UK Consumption and Production. Discussion Paper No.9701,School of Economic Studies,University of Manchester,1997.
[42]Ryan,D.L.,Yu Wang,A.Plourde(1996),Asymmetric price response of residential energy demand in Ontario, Canadian Journal of Economics,29.
[43]Sensier,M.,Osborn,D.R.,Ocal,N..Asymmetric interest rate effects for the UK real economy. Oxford Bulletin of Economics and Statistics,2002Vol.64:315-339.
[44]Shiu-Sheng Chen.,2009.Oil price pass-through into inflation.Energy Economics 31,126-133.
[45]Vivek Ghosal,Product market competition and the industry price-cost markup fluctuations:role of energy price and monetary changes,International Journal of Industrial Organization,2000(18),415-444