能源价格冲击对宏观经济的动态影响与溢出效应

The Dynamic and Spillover Effect of Energy price shock to Macro economy

基于结构向量自回归模型框架研究了供给、需求、货币政策、能源随机冲击对中国宏观经济与能源价格的特征影响,考察了能源价格与宏观经济之间的动态关系。实证表明,产出、通货膨胀波动的主要因素来自供给、需求层面的结构冲击,能源价格冲击的影响相对有限。均值波动溢出效应模型的分析进一步表明,在均值层面上的能源价格与产出、通货膨胀的溢出关系较为松散,但在波动层面上则表现出显著的双向溢出效应,说明能源价格更容易引起宏观经济的短期波动。

The paper first study the character of the dynamic effect of supply shock, demand shock, monetary policy shock and energy shock on Chinese macro economic and energy price on the basis of structural VAR. The empirical study shows that the main factor of output and inflation volatility comes from supply and demand shock ; the energy shock effect is relatively limited. The mean and volatility spillover effect model analysis further suggest that the correlation be- tween energy price and output/inflation is not close in the mean level, but in their volatility level, the correlation is sig- nificant in the dual volatility spillover direction. The result shows that energy price can be more easily to cause short run macro economic volatility. On the basis of the above empirical result, the paper gives relative policy advices.