国际石油价格波动对我国宏观经济影响的实证研究
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摘要
石油作为当今世界的重要能源,目前约占全球能源消费的40%,被称为“工业的血液”和“经济的命脉”,对各国经济都有着重大影响。它的价格变化必然牵动着经济领域的敏感神经,因此,石油价格波动对宏观经济的影响早已成为世界各国特别是工业发达国家关注和研究的重点。
自从1993年我国成为石油净进口国以来,我国石油对外依存度逐年提高。目前,我国正处于经济快速发展和工业化的快速进程中,对石油的需求量持续上涨,石油作为一种必不可少的战略资源和基础化工原料,关系着各行各业的发展,对整个国民经济的发展起着越来越重要的影响。因此,研究国际石油价格波动对我国宏观经济的影响有助于了解国际石油价格波动是如何影响我国宏观经济的,同时也能够为我国政府部门在面临石油冲击时采取合适的经济政策提供指导意见,从而有助于促进我国宏观经济的健康发展。
本文主要研究国际石油价格波动对我国宏观经济的影响问题,先从理论上分析了国际石油价格波动对我国宏观经济的影响,然后介绍了格兰杰因果检验和协整检验,在此基础上,采用误差修正模型(ECM模型)对国际石油价格波动对我国宏观经济的影响进行了实证研究,最后得出结论:
(1)国际石油价格波动对我国国内生产总值、消费者价格指数和广义货币供应量都具有Granger因果关系,且滞后期几乎是一致的。同时,国际石油价格和我国国内生产总值、消费者价格指数和广义货币供应量之间也具有协整关系。
(2)国际石油价格冲击对我国产出水平和广义货币供应量具有显著的负影响,而对我国的消费者价格水平具有显著的正影响。而且,相对于国际石油价格波动对我国货币政策以及物价水平的影响,对我国产出水平的影响更大一些。
(3)由于我国石油价格定价机制和国际石油价格机制并未完全接轨,而且石油价格处于生产链的最顶端,因此,国际石油价格冲击对我国产出水平和广义货币供应量的影响具有一定的滞后效应。
(4)国际石油价格变动在短期内就能引起我国消费者价格水平、广义货币供应量和我国国内生产总值的波动;另一方面,我国国内生产水平和货币政策的变化也会明显引起国际石油价格的波动,而我国消费者价格水平的变动并不能明显引起国际石油价格的波动。
Oil, as an important energy source in today’s world, is accounting for about 40% of the global energy consumption, which is known as“Industrial blood”and“economic lifeline”and has a significant impact on national economies. The changes of its price naturally affect the sensitive nerve of the economic field. Therefore, the impacts that oil price fluctuations on macroeconomic have become the focus of attention and study in the world, particularly in industrial countries.
China became a net oil importer since 1993, oil external dependence has increased annually. At present, China is in the process of rapid economic development and industrialization. Therefore, the demand for petroleum goes up continuously. Oil, as an essential strategic resource and basis of chemical raw materials, concerns the development of all trades and professions and plays an increasingly important influence on the national economic development. Therefore, the study of the impact of oil price fluctuations on the macroeconomic can help us to understand how the international oil price fluctuations affect Chinese macroeconomic and guide our government to take appropriate economic policies in the face of oil shocks, thus contributing to the healthy development of Chinese macro-economic.
This paper mainly studies the impact of the international oil price fluctuations on macroeconomic. It starts with the theoretical analysis of the impact of the international oil price fluctuations on macroeconomic and then introduces the Granger causality test and Cointegration test. On the basis, this article uses ECM model to do the empirical research. The final conclusion:
(1) The international oil price fluctuations have Granger causality on Chinese gross domestic product, consumer price index and the broad money supply and the lag is almost identical. Meanwhile, international oil prices have cointegration-relationship with China’s gross domestic product, consumer price index and the broad money supply.
(2) The international oil price shock has a significant negative impact on the output levels and the broad money supply, while has a significant positive impact on the consumer price level. Moreover, compared to the impact of the international oil price fluctuations on the monetary policy and the price level, the international oil price shocks has greater impact on the level of Chinese output.
(3) Because the oil pricing mechanism of our country has not totally integrated with the international oil price mechanism and oil prices are at the top of the production chain, the impact of the international oil price fluctuations on macroeconomic has a certain lag effect.
(4) The international oil price movements can cause the fluctuations of the consumer price level, the broad money supply and our gross domestic product in the short term, while the changes of our gross domestic product and monetary policy have a significant impact on international oil prices. However, changes in the consumer price level cannot obviously cause the fluctuation of t the international oil price.
自从1993年我国成为石油净进口国以来,我国石油对外依存度逐年提高。目前,我国正处于经济快速发展和工业化的快速进程中,对石油的需求量持续上涨,石油作为一种必不可少的战略资源和基础化工原料,关系着各行各业的发展,对整个国民经济的发展起着越来越重要的影响。因此,研究国际石油价格波动对我国宏观经济的影响有助于了解国际石油价格波动是如何影响我国宏观经济的,同时也能够为我国政府部门在面临石油冲击时采取合适的经济政策提供指导意见,从而有助于促进我国宏观经济的健康发展。
本文主要研究国际石油价格波动对我国宏观经济的影响问题,先从理论上分析了国际石油价格波动对我国宏观经济的影响,然后介绍了格兰杰因果检验和协整检验,在此基础上,采用误差修正模型(ECM模型)对国际石油价格波动对我国宏观经济的影响进行了实证研究,最后得出结论:
(1)国际石油价格波动对我国国内生产总值、消费者价格指数和广义货币供应量都具有Granger因果关系,且滞后期几乎是一致的。同时,国际石油价格和我国国内生产总值、消费者价格指数和广义货币供应量之间也具有协整关系。
(2)国际石油价格冲击对我国产出水平和广义货币供应量具有显著的负影响,而对我国的消费者价格水平具有显著的正影响。而且,相对于国际石油价格波动对我国货币政策以及物价水平的影响,对我国产出水平的影响更大一些。
(3)由于我国石油价格定价机制和国际石油价格机制并未完全接轨,而且石油价格处于生产链的最顶端,因此,国际石油价格冲击对我国产出水平和广义货币供应量的影响具有一定的滞后效应。
(4)国际石油价格变动在短期内就能引起我国消费者价格水平、广义货币供应量和我国国内生产总值的波动;另一方面,我国国内生产水平和货币政策的变化也会明显引起国际石油价格的波动,而我国消费者价格水平的变动并不能明显引起国际石油价格的波动。
Oil, as an important energy source in today’s world, is accounting for about 40% of the global energy consumption, which is known as“Industrial blood”and“economic lifeline”and has a significant impact on national economies. The changes of its price naturally affect the sensitive nerve of the economic field. Therefore, the impacts that oil price fluctuations on macroeconomic have become the focus of attention and study in the world, particularly in industrial countries.
China became a net oil importer since 1993, oil external dependence has increased annually. At present, China is in the process of rapid economic development and industrialization. Therefore, the demand for petroleum goes up continuously. Oil, as an essential strategic resource and basis of chemical raw materials, concerns the development of all trades and professions and plays an increasingly important influence on the national economic development. Therefore, the study of the impact of oil price fluctuations on the macroeconomic can help us to understand how the international oil price fluctuations affect Chinese macroeconomic and guide our government to take appropriate economic policies in the face of oil shocks, thus contributing to the healthy development of Chinese macro-economic.
This paper mainly studies the impact of the international oil price fluctuations on macroeconomic. It starts with the theoretical analysis of the impact of the international oil price fluctuations on macroeconomic and then introduces the Granger causality test and Cointegration test. On the basis, this article uses ECM model to do the empirical research. The final conclusion:
(1) The international oil price fluctuations have Granger causality on Chinese gross domestic product, consumer price index and the broad money supply and the lag is almost identical. Meanwhile, international oil prices have cointegration-relationship with China’s gross domestic product, consumer price index and the broad money supply.
(2) The international oil price shock has a significant negative impact on the output levels and the broad money supply, while has a significant positive impact on the consumer price level. Moreover, compared to the impact of the international oil price fluctuations on the monetary policy and the price level, the international oil price shocks has greater impact on the level of Chinese output.
(3) Because the oil pricing mechanism of our country has not totally integrated with the international oil price mechanism and oil prices are at the top of the production chain, the impact of the international oil price fluctuations on macroeconomic has a certain lag effect.
(4) The international oil price movements can cause the fluctuations of the consumer price level, the broad money supply and our gross domestic product in the short term, while the changes of our gross domestic product and monetary policy have a significant impact on international oil prices. However, changes in the consumer price level cannot obviously cause the fluctuation of t the international oil price.
引文
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[7] Walter,Sanchez,Nonlinear.Effects of Inflation on Economic Growth[J].IMF Staff Papers, International Monetary Fund,2004,71:599-607.
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[14] Gisser M.,Goodwin T.H..Crude oil and the Macroeconomy:Tests of Some Popular Notions[J].Journal of Money,Credit and Banking,2004,70:94-103.
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[16]何晓群,魏涛远.世界石油价格上涨对我国经济的影响[J].经济理论于经济管理,2002,4:7-10.
[17]刘强.石油价格变化对中国经济影响的模型研究[J].数量经济技术经济研究.2005.3:25-27.
[18]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(双月刊),2005,6: 12-18.
[19]吴静,王铮,吴兵.石油价格上涨对中国经济的冲击--可计算一般均衡模型分析[J].中国农业大学学报,2005,2:69-75.
[20]焦建玲,范英,魏一鸣.石油价格研究综述[J].中国能源,2004,4:33-39.
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