基于油价冲击分解的石油价格波动与经济增长的动态变化关系研究

Research on the Dynamic Changing Relationship between Oil Price Fluctuation and Economic Growth Based on the Decomposition of Oil Price Shock

以1980-2008年的美国、欧盟15国和中国为研究样本,从油价冲击来源角度对石油价格波动与经济增长的负相关性逐渐减弱,甚至两者并行不悖的原因进行了探讨。首先采用滚动VAR方法对两者的动态变化关系进行了检验,然后采用SVAR模型将石油价格冲击分解为供给冲击、经济需求冲击和预防性需求冲击,且近10年油价波动主要由经济需求冲击推动。进一步分析结果表明,供给冲击和预防性需求冲击推动的油价上涨与经济增长呈现负相关关系,并且由于石油强度下降、低通货膨胀环境等原因,两者负相关性逐渐减弱;经济需求冲击推动油价上涨时,短期内需求冲击的经济拉动作用大于油价上涨带来的负向作用,油价上涨与经济增长会呈同向变化,这一结果在三个经济体中均得到了验证。因此,考察石油价格波动与经济增长关系时,要区分油价冲击来源,这一结论对政府部门确定油价上涨应对策略有重要指导意义。

The paper takes the US, EU - 15 and China＇ s data from 1980 to 2008 as the research sample and carries on the study about the gradually weakened negative even positive correlation between oil price fluctuation and economic growth from the perspective of the sources of oil price shocks. First of all, roiling VAR approach is used for testing the dynamic changing relationship and SVAR model is built to decompose the oil price shocks into the supply shocks, economic demand shocks and oil-specific demand shocks; the oil price fluctuation is mainly driven by the economic demand shocks in the past ten years. Further empirical results indicate that the correlation between oil price fluctuation driven by the supply shocks and oil - specific demand shocks and the economic growth is negative, and as a result of declining oil intensity, low inflation environment and other reasons, the negative correlation gradually weakens; When the oil price fluctuation is driven by the economic demand shocks, the positive pulling effect of economic demand shocks on the economy is greater than the negative effect of rising oil price in the short term, then the oil price rise and economic growth will move in the same direction. These results are verified in the three economy bodies. Therefore, it is necessary to distinguish the sources of oil price shocks when studying the correlation between oil price fluctuation and economic growth. The conclusion has important guiding significanees for the government department to make corresponding strategies dealing with rising oil prices.