国际油价、汇率与通货膨胀之间的动态分析——基于向量自回归(VAR)的实证分析

Dynamic Analysis among International Oil Price, Exchange Rate and Inflation——based on Empirical Analysis of VAR

选取国际油价、居民消费价格指数与汇率三个指数变量,利用2006年2月~2015年12月的月度数据,通过建立向量自回归(VAR)模型,对国际油价、CPI与汇率三者之间的关系进行实证研究。结果表明,国际油价、CPI与汇率之间存在协整关系,其中CPI与国际油价、汇率正相关。同时,三个变量之间存在单向Granger因果关系,其中汇率是国际油价和CPI的Granger因果关系。

This paper selects international oil price, residential consumption price index and exchange rate as three index variables, uses monthly data within 2006.2-2015.12, and takes empirical study on the relationship among international oil price, CPI and exchange rate by building VAR model. The results indicate that, there exists co-integration relationship among international oil price, CPI and exchange rate, in which CPI has positive correlation with international oil price and exchange rate. Meanwhile, the three variables have single directional Granger causality, and the exchange rate is the Granger causality of international oil price and CPI.