国际原油价格波动对我国宏观经济运行影响的计量研究
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摘要
众所周知，石油在当今世界范围内，是促进人类社会不断进步，推动全球经济稳健、持续增长的极为重要的物质保障。随着科学技术的进步，石油在国民经济增长以及社会发展历程当中发挥着极其重要的作用。此外，随着中国对外开放的不断扩大以及宏观经济的持续稳健增长，中国对国际原油的需求量以及供给量的依存度在逐年增大，与此同时，国际石油价格的跌宕起伏和剧烈波动，也必然对我国宏观经济运行产生冲击影响。本论文就是在思考上述问题的前提下，特别依托于原油价格的特殊背景，详细讨论了国际原油价格波动的具体特征以及国际原油价格波动对我国宏观经济运行过程的影响问题。本论文具体分为如下6章：
在第1章中，首先阐述了本论文的选题背景以及本研究的意义所在，进而列示出本论文的研究思路以及具体研究内容，随后基于本论文所要研究的几个问题进行了已有文献的梳理和归纳。主要从如下几方面进行了回顾：一是关于金融与经济时间序列多机制性动态变化效应检验的文献回顾；二是关于金融与经济时间序列长期记忆性检验的文献回顾；三是关于原油价格波动与重要宏观经济变量关系的文献回顾；四是关于我国原油价格定价机制研究的文献回顾。此外，还阐述了本文的主要创新之处。
在第2章中，重点阐述了本文的核心理论部分，即考虑了能源要素的经济理论与模型。我们首先回顾了新古典经济增长的理论模型，随后探讨了基于新古典经济增长理论模型分析能源投入与宏观经济增长的关联性问题，最后介绍了原油价格序列及其对宏观经济增长影响的计量检验方法。
在第3章中，本章基于2003年1月至2013年3月期间范围内的我国大庆、胜利和欧洲Brent原油现货价格月度数据，利用“两机制”马尔可夫区制转换模型，将我国大庆、胜利和欧洲Brent原油现货价格时间序列波动过程具体划分为两个不同的机制状态，我们将其称为“低价格机制”和“高价格机制”。同时，在具体考虑了“低价格机制”和“高价格机制”这两个不同机制状态后，运用马尔可夫区制转换模型计算国内外原油市场价格时间序列在不同机制之间相互转换的转换概率，对国内外原油市场价格序列的多机制性动态变化效应进行分析。
在第4章中，本章选取2003年1月至2013年3月期间范围内的我国大庆、胜利和欧洲Brent原油现货价格月度数据来具体度量国内外原油价格，并进一步计算国内外原油市场对数收益率时间序列。在此基础上，本文首先介绍和描述了我国大庆、胜利和Brent原油现货价格时间序列以及我国大庆、胜利和Brent原油现货价格对数收益率时间序列的时间变化特征，并刻画了我国大庆、胜利和Brent原油现货价格对数收益率时间序列的时变波动性与分布特征。随后，我们试图基于Student-t分布取代正态分布来具体描述国内外原油市场收益率时间序列中所显著具有的“尖峰厚尾”分布性质，进而通过构建ARFIMA模型、FIGARCH模型以及ARFIMA-FIGARCH模型对我国大庆、胜利和Brent原油现货价格对数收益率时间序列的动态过程进行系统全面分析，旨在测度和识别国内外原油市场收益率时间序列及其波动率时间序列中是否具有长期记忆性效应特征。
在第5章中，本章基于1998年第1季度至2013年第1季度区间范围内的Brent现货价格季度数据来具体度量国际原油价格，同时基于1998年第1季度至2013年第1季度区间范围内的我国实际GDP增长率季度数据来具体度量我国宏观经济增长，利用向量自回归（VAR）模型构建与估计、Granger因果关系检验、冲击响应函数估计以及方差分解方法来具体检验国际原油价格与我国GDP增长率之间的关联性问题。另外，我们基于H-P滤波技术获得Brent现货价格季度数据的周期成分时间序列以及我国GDP增长率季度数据的周期成分时间序列，运用向量自回归（VAR）模型构建与估计、Granger因果关系检验、冲击响应函数估计以及方差分解方法来具体检验国际原油价格波动与我国GDP增长率波动性之间的关联性问题。此外，本章基于1998年1月至2013年3月区间范围内的Brent现货价格月度数据具体度量国际原油价格，并基于1998年1月至2013年3月区间范围内的我国消费者价格指数月度数据、工业品出厂价格指数月度数据，运用多元向量自回归（VAR）模型构建与估计、Granger因果关系检验、冲击响应函数估计以及方差分解方法来具体检验国际原油价格对我国重要宏观经济变量的关联性问题。
在第6章中，本章首先介绍了中国的现行石油定价机制，在此基础上，具体分析了中国现行石油定价机制的优势和弊端。进而，本章总结了我国现行石油定价机制当中存在的一些问题。最后，本章提出了一些完善中国石油定价机制的改革建议。
As we all know, the oil in the world today is to promote the continuous progress of humansociety, and to promote a healthy global economy, a very important matter to sustained growth.With the advancement of science and technology, oil economic growth and social development inthe course of which play a very important role. In addition, along with expanding China's openingup and sustained robust macroeconomic growth, China's dependence on the demand and supply inthe international crude oil increased every year, in addition, the ups and downs of international oilprices and volatility, are bound have an impact on China's macroeconomic performance. Underthe premise of this thesis is to think about these issues, particularly relying on special backgroundin crude oil prices, a detailed discussion of the specific characteristics of international crude oilprice fluctuations, as well as the impact of international crude oil price fluctuations on thecountry's macroeconomic performance in the process. This thesis is divided into the followingchapters specifically:
In Chapter1, the first topic of this paper describes the background, and the significance ofthe study, and then lists out the thesis research ideas and the specific contents, then several issuesto be studied in this thesis has been carried out based on combing the literature and summarized,mainly from the following aspects were reviewed: First, the literature on financial and economictime series multi-institutional review of the dynamic changes in effect test; Second, the literatureon financial and economic time series of long-term memory test review; Third, the literature onthe relationship between crude oil price fluctuations review of key macroeconomic variables;Fourth review of the literature on the price of crude oil pricing mechanism research. In addition,this paper describes the main innovations.
In Chapter2, focusing on the core of the theoretical part of this paper, that is, considering theenergy element of economic theory and model introduction. We first review the theoretical modelof neoclassical economic growth, then discusses the analysis of energy investment and economicgrowth in the neoclassical theory of economic growth model based on association issues.
In Chapter3, on the basis of China's Daqing, Shengli and European Brent crude oil spotprices in the range of monthly data from January2003to March2013period, the use of "two mechanisms," Markov Regime Switching model, our Daqing, Victory Brent crude oil spot pricesand European volatility time series is divided into two distinct processes specific mechanismsstate, we call it "low price mechanism" and "high price mechanism," while, in specificconsideration of the "low-price mechanism" and "High price mechanism" status after these twodifferent mechanisms, the use of Markov switching model transition probabilities domestic crudeoil market price time series between different mechanisms conversion calculations, the price ofdomestic crude oil market mechanisms sequence of multi-analyze the effects of dynamicchanges.
In Chapter4, the paper selected our Daqing, Shengli and European Brent crude oil spotprices in the range of monthly data from January2003to March2013period to measure specificdomestic crude oil prices, domestic oil market and further calculate the logarithm yield time series,on this basis, this paper introduces and describes the time-varying characteristics of China'sDaqing, Shengli and the spot price of Brent crude oil as well as the time series of Daqing, Shengliand the spot price of Brent crude oil yield logarithmic time sequence and characterization ofChina's Daqing, Shengli, and when the spot price of Brent crude oil on the number of time seriesof yield volatility and changes in distribution, then we try to replace based on Student-tdistribution to specifically describe the normal domestic and international crude oil market yieldtime series The significant "fat tail" distribution properties have, and then by building ARFIMAmodel, FIGARCH model and ARFIMA-FIGARCH model of Daqing, Shengli and Brent crude oilspot prices on the dynamic process of several yield time series of systematic and comprehensiveanalysis aimed In the measure and identify domestic and foreign crude oil market yields andvolatility time series time series are characterized by long-term memory effects.
In Chapter5, on the one hand based on the first quarter1998to first quarter2013Brent spotprice range range of quarterly data to measure specific international crude oil prices, and based onthe first quarter1998to first quarter2013quarterly data within the range of the interval to realGDP growth of China's macro-economic growth of specific measure, the use of vectorautoregression (VAR) model building and estimation, Granger causality test, impulse responsefunctions and variance decomposition method to estimate the specific test of international crudeoil issue price cycle correlation between GDP growth and China, in addition, we have obtainedthe spot price of Brent quarterly data based on HP filtering technology cycle component of timeseries and a quarter of China's GDP growth rate component of time series data, using vectorautoregression (VAR) model building and estimation, Granger causality test, impulse response functions and variance decomposition method to estimate the specific inspection problemsassociated with the international crude oil price fluctuations in the volatility of GDP growthbetween. In addition, this chapter based on monthly data Brent spot price of the January1998-March2013period ranges specific measure in international crude oil prices and the monthlyconsumer price index in China based on the January1998-March2013period range data, themonthly producer price index data, the use of multi-vector autoregression model construction andestimation (VAR), Granger causality test, impulse response functions and variance decompositionmethod to estimate the specific test of international crude oil prices related to key macroeconomicvariables issues.
In Chapter6, the paper first introduces the current oil pricing mechanism in China, on thisbasis, a detailed analysis of the advantages of China's current oil pricing mechanism and thedrawbacks of China's current oil pricing mechanism, and further, the paper summarizes our Someproblems of the existing pricing mechanism exists among the specific end, this paper also putsforward some improvement in China's oil pricing mechanism reform program.
在第1章中，首先阐述了本论文的选题背景以及本研究的意义所在，进而列示出本论文的研究思路以及具体研究内容，随后基于本论文所要研究的几个问题进行了已有文献的梳理和归纳。主要从如下几方面进行了回顾：一是关于金融与经济时间序列多机制性动态变化效应检验的文献回顾；二是关于金融与经济时间序列长期记忆性检验的文献回顾；三是关于原油价格波动与重要宏观经济变量关系的文献回顾；四是关于我国原油价格定价机制研究的文献回顾。此外，还阐述了本文的主要创新之处。
在第2章中，重点阐述了本文的核心理论部分，即考虑了能源要素的经济理论与模型。我们首先回顾了新古典经济增长的理论模型，随后探讨了基于新古典经济增长理论模型分析能源投入与宏观经济增长的关联性问题，最后介绍了原油价格序列及其对宏观经济增长影响的计量检验方法。
在第3章中，本章基于2003年1月至2013年3月期间范围内的我国大庆、胜利和欧洲Brent原油现货价格月度数据，利用“两机制”马尔可夫区制转换模型，将我国大庆、胜利和欧洲Brent原油现货价格时间序列波动过程具体划分为两个不同的机制状态，我们将其称为“低价格机制”和“高价格机制”。同时，在具体考虑了“低价格机制”和“高价格机制”这两个不同机制状态后，运用马尔可夫区制转换模型计算国内外原油市场价格时间序列在不同机制之间相互转换的转换概率，对国内外原油市场价格序列的多机制性动态变化效应进行分析。
在第4章中，本章选取2003年1月至2013年3月期间范围内的我国大庆、胜利和欧洲Brent原油现货价格月度数据来具体度量国内外原油价格，并进一步计算国内外原油市场对数收益率时间序列。在此基础上，本文首先介绍和描述了我国大庆、胜利和Brent原油现货价格时间序列以及我国大庆、胜利和Brent原油现货价格对数收益率时间序列的时间变化特征，并刻画了我国大庆、胜利和Brent原油现货价格对数收益率时间序列的时变波动性与分布特征。随后，我们试图基于Student-t分布取代正态分布来具体描述国内外原油市场收益率时间序列中所显著具有的“尖峰厚尾”分布性质，进而通过构建ARFIMA模型、FIGARCH模型以及ARFIMA-FIGARCH模型对我国大庆、胜利和Brent原油现货价格对数收益率时间序列的动态过程进行系统全面分析，旨在测度和识别国内外原油市场收益率时间序列及其波动率时间序列中是否具有长期记忆性效应特征。
在第5章中，本章基于1998年第1季度至2013年第1季度区间范围内的Brent现货价格季度数据来具体度量国际原油价格，同时基于1998年第1季度至2013年第1季度区间范围内的我国实际GDP增长率季度数据来具体度量我国宏观经济增长，利用向量自回归（VAR）模型构建与估计、Granger因果关系检验、冲击响应函数估计以及方差分解方法来具体检验国际原油价格与我国GDP增长率之间的关联性问题。另外，我们基于H-P滤波技术获得Brent现货价格季度数据的周期成分时间序列以及我国GDP增长率季度数据的周期成分时间序列，运用向量自回归（VAR）模型构建与估计、Granger因果关系检验、冲击响应函数估计以及方差分解方法来具体检验国际原油价格波动与我国GDP增长率波动性之间的关联性问题。此外，本章基于1998年1月至2013年3月区间范围内的Brent现货价格月度数据具体度量国际原油价格，并基于1998年1月至2013年3月区间范围内的我国消费者价格指数月度数据、工业品出厂价格指数月度数据，运用多元向量自回归（VAR）模型构建与估计、Granger因果关系检验、冲击响应函数估计以及方差分解方法来具体检验国际原油价格对我国重要宏观经济变量的关联性问题。
在第6章中，本章首先介绍了中国的现行石油定价机制，在此基础上，具体分析了中国现行石油定价机制的优势和弊端。进而，本章总结了我国现行石油定价机制当中存在的一些问题。最后，本章提出了一些完善中国石油定价机制的改革建议。
As we all know, the oil in the world today is to promote the continuous progress of humansociety, and to promote a healthy global economy, a very important matter to sustained growth.With the advancement of science and technology, oil economic growth and social development inthe course of which play a very important role. In addition, along with expanding China's openingup and sustained robust macroeconomic growth, China's dependence on the demand and supply inthe international crude oil increased every year, in addition, the ups and downs of international oilprices and volatility, are bound have an impact on China's macroeconomic performance. Underthe premise of this thesis is to think about these issues, particularly relying on special backgroundin crude oil prices, a detailed discussion of the specific characteristics of international crude oilprice fluctuations, as well as the impact of international crude oil price fluctuations on thecountry's macroeconomic performance in the process. This thesis is divided into the followingchapters specifically:
In Chapter1, the first topic of this paper describes the background, and the significance ofthe study, and then lists out the thesis research ideas and the specific contents, then several issuesto be studied in this thesis has been carried out based on combing the literature and summarized,mainly from the following aspects were reviewed: First, the literature on financial and economictime series multi-institutional review of the dynamic changes in effect test; Second, the literatureon financial and economic time series of long-term memory test review; Third, the literature onthe relationship between crude oil price fluctuations review of key macroeconomic variables;Fourth review of the literature on the price of crude oil pricing mechanism research. In addition,this paper describes the main innovations.
In Chapter2, focusing on the core of the theoretical part of this paper, that is, considering theenergy element of economic theory and model introduction. We first review the theoretical modelof neoclassical economic growth, then discusses the analysis of energy investment and economicgrowth in the neoclassical theory of economic growth model based on association issues.
In Chapter3, on the basis of China's Daqing, Shengli and European Brent crude oil spotprices in the range of monthly data from January2003to March2013period, the use of "two mechanisms," Markov Regime Switching model, our Daqing, Victory Brent crude oil spot pricesand European volatility time series is divided into two distinct processes specific mechanismsstate, we call it "low price mechanism" and "high price mechanism," while, in specificconsideration of the "low-price mechanism" and "High price mechanism" status after these twodifferent mechanisms, the use of Markov switching model transition probabilities domestic crudeoil market price time series between different mechanisms conversion calculations, the price ofdomestic crude oil market mechanisms sequence of multi-analyze the effects of dynamicchanges.
In Chapter4, the paper selected our Daqing, Shengli and European Brent crude oil spotprices in the range of monthly data from January2003to March2013period to measure specificdomestic crude oil prices, domestic oil market and further calculate the logarithm yield time series,on this basis, this paper introduces and describes the time-varying characteristics of China'sDaqing, Shengli and the spot price of Brent crude oil as well as the time series of Daqing, Shengliand the spot price of Brent crude oil yield logarithmic time sequence and characterization ofChina's Daqing, Shengli, and when the spot price of Brent crude oil on the number of time seriesof yield volatility and changes in distribution, then we try to replace based on Student-tdistribution to specifically describe the normal domestic and international crude oil market yieldtime series The significant "fat tail" distribution properties have, and then by building ARFIMAmodel, FIGARCH model and ARFIMA-FIGARCH model of Daqing, Shengli and Brent crude oilspot prices on the dynamic process of several yield time series of systematic and comprehensiveanalysis aimed In the measure and identify domestic and foreign crude oil market yields andvolatility time series time series are characterized by long-term memory effects.
In Chapter5, on the one hand based on the first quarter1998to first quarter2013Brent spotprice range range of quarterly data to measure specific international crude oil prices, and based onthe first quarter1998to first quarter2013quarterly data within the range of the interval to realGDP growth of China's macro-economic growth of specific measure, the use of vectorautoregression (VAR) model building and estimation, Granger causality test, impulse responsefunctions and variance decomposition method to estimate the specific test of international crudeoil issue price cycle correlation between GDP growth and China, in addition, we have obtainedthe spot price of Brent quarterly data based on HP filtering technology cycle component of timeseries and a quarter of China's GDP growth rate component of time series data, using vectorautoregression (VAR) model building and estimation, Granger causality test, impulse response functions and variance decomposition method to estimate the specific inspection problemsassociated with the international crude oil price fluctuations in the volatility of GDP growthbetween. In addition, this chapter based on monthly data Brent spot price of the January1998-March2013period ranges specific measure in international crude oil prices and the monthlyconsumer price index in China based on the January1998-March2013period range data, themonthly producer price index data, the use of multi-vector autoregression model construction andestimation (VAR), Granger causality test, impulse response functions and variance decompositionmethod to estimate the specific test of international crude oil prices related to key macroeconomicvariables issues.
In Chapter6, the paper first introduces the current oil pricing mechanism in China, on thisbasis, a detailed analysis of the advantages of China's current oil pricing mechanism and thedrawbacks of China's current oil pricing mechanism, and further, the paper summarizes our Someproblems of the existing pricing mechanism exists among the specific end, this paper also putsforward some improvement in China's oil pricing mechanism reform program.
引文
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