中国能源类行业周期波动及其对宏观经济的时变影响

Cyclical Fluctuations in China's Energy Industry and their Time-varying Effects on the Macro Economy

利用主成分分析方法计算中国能源类行业运行指数,考察能源类行业的周期波动态势,进一步使用时变参数向量自回归模型分析能源类行业周期波动对宏观经济影响的时变特征。结果表明:中国能源类行业周期波动滞后于宏观经济景气波动,平均周期长度约为3年;能源类行业冲击对产出和价格的影响具有明显的顺周期性,在行业发展的繁荣期,其正向冲击可以持续提升产出水平和价格水平,而在萧条期,其正向冲击仅具有短期效应,长期而言则不利于产出水平的增长和价格水平的回升;能源类行业周期波动对宏观经济影响的价格效应明显强于产出效应,对PPI的影响大于CPI。坚定不移地推进能源类行业去产能等供给侧结构性改革措施,可以作为未来扭转供需失衡和价格水平下行现状的政策选择。

This paper calculates China's energy industry's running index by principal component analysis method to examine the energy industry's cycle fluctuation,and analyzes its time-varying macroeconomic effect with the TVP_VAR model. The results show that China's energy industry's cycle fluctuation lags behind the macro economic fluctuation,with the average cycle length being about 3 years; the effects of energy industry on output and price present obvious pro-cyclical characteristics,that is,in the boom period,the positive impact enhances output and price level,and during the recession period,its influence has only short-term effects; the price effect of energy industry cycle is stronger than the output effect,while the impact on PPI is greater than CPI. So we hold that,through structural reform on supply side,to reverse the current situation of the imbalance between supply and demand and price level downward can serve as a policy choice in the future.