国际油价不确定性与中国经济增长——基于GARCH-in-Mean SVAR模型的实证研究

Oil Price Uncertainty and the Chinese Macroeconomic Increase:Evidence from the GARCH-in-Mean SVAR Model

通过建立双变量的GARCH-in-Mean SVAR模型,将代表国际油价不确定性的变量——油价变动率的条件标准差,引入结构向量自回归模型(SVAR),来检验国际油价不确定性对中国经济增长的影响。研究表明,国际油价的不确定性尚未对中国经济增长造成显著的负面影响。此外,油价不确定性延长了油价变动对中国经济产生的负面影响,相应缩短了其正面影响,而且,中国经济增长对油价正负冲击的响应具有不对称性。

This paper establishes the GARCH-in-Mean SVAR model , and put the conditional standard deviation of international oil price change rate which stands for the oil price uncertainty to the SVAR model to test the effect that oil price uncertainty on China＇s economic increase. The empirical result shows that so far international oil price uncertainty hasn＇t had significantly negative effect on China＇s economic increase. Besides, oil price uncertainty extends the negative effect that oil price changes on China＇s economic increase and shortens the positive effect. Also, China＇s economic increase responds asymmetrically to international oil price impulse, no matter it is positive or negative.