能源价格与宏观经济周期的联动关系——基于小波频带变换的视角

The cyclical co movement between Energy price and macro economy——Based on Wavelet Transform

本文考察能源价格与宏观经济的周期波动关系,计算和比较了能源价格与宏观经济中的诸多代表性关键指标的联动关系。从实证结果来看,能源价格更多在价格层面影响宏观经济,能源价格与经济增长、工业生产之间的联动性相对较低;从周期联动的角度来看,能源价格不构成经济增长、工业生产的长期决定因素,对经济增长的冲击更多表现在短周期的尺度之内;能源价格与C PI、非食品C PI的联动,在长期更高,但与PPI的联动在短期更高。能源价格与宏观经济不同变量和在不同周期视角下的联动不仅折射出我国经济的内部结构特征,也为制定宏观经济政策提供了参考。

The paper uses wavelet band approach to study the energy price and macro economy cyclical fluctuation relationship on the basis of mean and volatility spill over effect framework form time and frequency domain. The model calculate and compare the co movement relationship between energy price and different crucial index in macro economy. From the empirical work, energy price is more close to price related index of macro economy, the co movement of energy price and GDP growth and industrial product is relatively low. Form the cyclical approach, energy price is not long term determinant factor of economic growth and industrial product. The energy price shock to economy is mainly concentrate in short term cycle. The energy price long term co movement with CPI and non food CPI is higher, the co movement with PPI in short term is higher. The various cyclical co movement pattern between energy price and macro economy manifest Chinese economic internal structural character, it also brings reference for macro economic policy decision.