基于SVAR模型的国际油价冲击与中国的宏观经济

International Oil Price Shocks and China's Macro-economic

运用结构向量自回归(SVAR)模型,研究了国际油价冲击与中国宏观经济之间的关系。研究发现:相对于VAR模型,SVAR模型具有无可比拟的优越性,能更准确地刻画国际油价对中国宏观经济的冲击作用,而且估计结果在不同的模型设定下很稳健。中国的宏观经济在国际油价冲击面前并不是那么脆弱,中国强劲的GDP、消费和出口增长趋势以及滞后应对的政策都在很大程度上削弱了油价冲击对中国宏观经济的不利影响,但油价冲击发生一年后,其对总量经济的负面影响还是会显现出来。

In this paper, the structure of vector autoregressive （SVAR） model is used to investigate the relationship between international oil price shock and China＇s macro-economy. Compared with the VAR model, SVAR model does have the incomparable superiority. It can describe the international oil price im- pact on China＇s macro-economy more accurately, and the estimated result under different model specifica- tion is robust. China＇s macro-economy is not so fragile to the international oil price shocks. The strong growth trends of China＇s GDP, consumption, and export, together with the lagged responsive policy may greatly reduce the negative impact of international oil price shocks on China＇s macro-economy. However, one year after the oil price shocks, the negative impact on the aggregate economic activities may still occur.