国际石油价格与通货膨胀的周期波动关系

Cyclical Relationship between Oil Price and Inflation

近年来国际石油价格大幅波动,不可避免地给各国经济带来冲击和影响。本文利用小波变换频带分析方法,结合VAR和多元GARCH-BEKK模型,考察了不同经济周期下中美两国通货膨胀与国际油价间的溢出关系。结果表明,国际油价只在短周期里对中国通货膨胀有显著的单向均值溢出效应,而二者之间不存在任何方向的波动溢出效应;美国通货膨胀与国际油价则在多数周期下具有显著的均值与波动溢出效应。本文认为尽管当前中国通货膨胀与国际油价的关系并不显著,但随着石油消费对进口依赖的不断提高,能源安全问题将成为未来中国需要应对的挑战,因此相关部门应及早采取有效措施,加快完善国内石油市场化建设,增强能源意识,提高能源利用效率,以应对未来石油冲击对经济的影响。

The big fluctuation of oil price in recent years inevitably shocked the world economy to some degree. The paper studied the spillover effect between the international oil price and inflation under different economic circles on basis of Chinese and US data. In the case of mean spillover effect,the empirical result shows that only under short circle the effect between Chinese inflation and oil price is significant,while the spillover effects between US inflation and oil price are significant under most circles. In the case of volatility spillover effect,there is no such effect between Chinese inflation and oil price. However,the effect between US inflation and oil price are significant under most circles. Based on the empirical result,the paper gave some policy advices. It suggests that the Chinese government should continue the marketing process of domestic oil market and implement related policies to prepare for the future oil shock to macro economy.