国际油价波动与中国经济非对称关系的实证研究

The Asymmetric Relationship Between International Oil Price Fluctuations and China's Economy

本文基于线性和非线性的双重假设,采用VAR模型、脉冲响应函数和方差分析等方法,引入产出、物价、货币供给和利率变动等宏观经济变量,定量分析了国际石油价格波动与中国经济之间的关系,获得了有趣的实证结果:线性假设下的研究显示,国际油价与中国经济间存在从国际油价波动到中国经济的单向的正向关系;非线性假设下的研究显示国际油价波动与中国经济间的关系存在明显的非对称性,即存在国际油价下跌到中国经济增长减缓的单向正向关系,国际油价上升与中国经济间的关系却不明显。本文的实证结果揭示出,就对中国经济的影响而言,国际油价的涨跌或仅是表象,其实质是国际经济特别是欧美经济的变化对中国经济的影响。

Based on both linear and nonlinear assumptions, this paper presents a quantitative analysis of the relationship between international oil price fluctuations and China's economy. We studied the impact of international oil price changes on China's macroeconomic variables such as output,commodity price,money supply and interest rate via various methodologies including the VAR model,impulse-response functions and variance decomposition. Interesting results are found through empirical tests. Under a linear assumption, it is proved that the international oil price has a unidirectional and positive impact on China's economy, meaning this is just a one way influence from oil price changes to China's economic performance instead of mutual impacts and the economy tends to move towards the same direction in which oil price is trending. Apart from that,the result of the nonlinear model demonstrates an obvious asymmetric relationship between international oil price fluctuations and China's economy: there is a unidirectional accelerating impact from international oil price decrease to the slowdown of China's economic growth, while no evident relationship between oil price increase and economic growth is found. In terms of the impact of oil price changes on China's economy, the empirical tests indicate that the ups and downs of international oil price may just be the appearances, and the actual underlying driving forces are the fluctuations of the global economy, especially the economic performance of Europe and the United States, affecting China's economy. Based on these data we discuss several interventions such as improving the refined oil pricing mechanism and building petroleum financial systems to tackle the impact of a fluctuating international oil price.