中国货币政策对国际原油价格的影响研究——基于TVP-VAR模型的实证考察

Influences of China's Monetary Policies on International Crude Oil Prices: An Empirical Study Based on TVP-VAR Model

近年来,随着经济发展和金融开放水平的不断提升,中国的货币政策调整对国际原油价格的影响力在不断增强。针对这一问题,本文首先从理论层面提出了我国货币政策对国际原油价格的影响机制,进而基于2000-2017年的月度数据和时变参数向量自回归模型,考察了中国货币政策因素与国际原油价格之间的时变关系。结果表明,我国货币政策对国际原油价格的影响日益显著,原油价格冲击的内生性逐步增强;我国广义货币供给量的增加将导致国际原油价格上升,且短期冲击的影响呈现增大趋势;利率冲击对油价波动的影响逐年扩大,但由于不同期间传递机制的差异,使得该影响呈现正负交替变化。最后,本文提出要完善人民币计价原油期货的设计与监管,进一步推行稳健的货币政策,以降低我国大范围货币政策调整所带来的国际大宗商品价格的波动。

In recent years,with the continuous development of economy and financial openness,the influence of china＇s monetary policy adjustment on the price of international crude oil has been increasing. Therefore,in this paper,the influence mechanism of china＇s monetary policy on international crude oil price from a theoretical perspective was firstly be discussed. Then,the time-variant relationship between the monetary policy and the oil price was evaluated based on the monthly data from 2000 to 2017 and the Time-Varying Parametric Vector Auto-Regressive（ TVP-VAR） model. The above studies show that our monetary policy has exerted great impact on international crude oil price,and the endogeneity of crude oil price shocks has gradually increased. More specifically,the increase of M2 in china will lead to the rise of oil price,and the influence of short-term strike will show a increasing trend. Simultaneously,the impact of interest rate on the fluctuation of the oil prices is also increasing annually. However,due to the difference periods of transmission mechanism,the influence will correspondently show either positive or negative changes. Finally,this paper proposes to improve the design and supervision of the Renminbi denominated crude oil futures. And also the government should continue its prudent monetary policy in order to reduce the fluctuation of the international commodity price caused by the adjustment of the monetary policy in China.