国际石油价格波动与我国宏观经济：基于VAR的分析

Oil Price Volatility and Chinese Macro-economy:A VAR Analysis

石油价格的波动牵动着一国经济领域的方方面面,备受各国政府的高度关注。本文通过建立描述国际石油价格波动与我国GDP增长率、通货膨胀率、股票市场收益和波动之间动态关系的向量自回归模型,研究国际石油价格波动对我国宏观经济的影响。脉冲响应分析的结果显示:石油价格上涨会使我国的通货膨胀加剧,增大股票市场风险,国际石油价格与我国GDP增长率正相关,高油价没有改变中国经济快速增长的基本趋势。

International oil price volatility has been paid more attention because of its' affection upon every aspects of one country's economy.This paper constructs a VAR model to illustrate the dynamic relationship of oil price volatility,Chinese GDP growth,CPI,stock market return and stock mar- ket risk.The impulse-response analysis shows that oil price increasing can worsen inflation,en- hance stock market risk.It also shows oil prices are positive correlated with Chinese GDP growth,and oil price increasing does not change the trend of Chinese economy.