国际石油价格与通货膨胀的溢出效应及动态相关性
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财经研究 2010 年 第 36 卷第 04 期, 页码：26 - 36
摘要
参考文献
摘要
国际石油价格大幅波动不可避免地给全球经济带来了一定程度的冲击和影响。文章采用向量自回归、多元GARCH-BEKK和DCC-GARCH模型对中美两国通货膨胀与国际石油价格之间的均值溢出效应、波动溢出效应及动态相关关系进行了实证检验。检验结果表明,国际石油价格与中国通货膨胀不存在任何方向的均值和波动溢出效应,美国通货膨胀与国际油价则存在双向显著的均值和波动溢出效应;中国通货膨胀与国际油价的动态相关关系显著弱于美国,不易受到国际油价的冲击和影响。从整体上看,当前中国通货膨胀与国际石油价格的关联性并不显著,但随着我国石油消费对进口依赖程度的不断提高,石油安全问题在可预见的未来将成为中国需要应对的一个现实挑战。因此,相关部门应及早采取有效措施,应对未来石油冲击对宏观经济的影响。
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[3]曾秋根.商品指数基金、油价上涨通货膨胀预期的自我实现[J].国际金融研究,2005,(12):21-27.
[4]王风云.国际石油价格波动对我国通货膨胀影响的实证分析[J].价格月刊,2007,(7):61-65.
[5]吴力波.国际原油价格上涨对中国、美国和日本宏观经济的影响[J].国际石油经济,2008,(1):33-39.
[6]曾林阳.国际石油期货价格波动对我国通货膨胀率波动的影响——基于Al mon PDL的经验证据[J].财经科学,2008,(12):55-63.
[7]Alquist R,Kilian R,Lutz P.What do we learn fromthe price of crude oil Futures[R].CEPR Discussion Papers,No.6548,2007.
[8]Antell J.Essays on the linkages between financial markets,and risk asymmetries[R].Swedish School of Economics and Business Administration PH.D.Dissertation,2004.
[9]Bhattacharya R,Ghura D.Oil and growth in the Republic of Congo[R].I MF WorkingPaper,No.06,2006.
[10]Bollerslev T,Chou Kroner.ARCH modelinginfinance:Areviewof the theory and em-pirical evidence[J].Journal of Econometrics,1992,52:5-59.
[11]Chen S.Oil price pass-through into inflation[EB/OL].http://ssrn.com/abstract=1085941,2008,9,6.
[12]De Gregorio J,Oscar L,Christopher N.Another pass-through bites the dust?Oilprices and inflation[R].NBER Working Papers,No.417,2007.
[13]Hamilton J D.Oil and the macroeconomy since World WarⅡ[J].The Journal of Polit-ical Economy,1983,91,(2),228-248.
[14]Hooker B,Mark A.Are oil shocks inflationary?Asymmetric and nonlinear specifica-tions versus changes in regi me[J].Journal of Money,Credit and Banking,2002,82(6):540-561.
[15]LeBlanc M,Menzie D.Do high oil prices presage inflation?The evidence from G-5countries[J].NBER Working Paper,No.1021,2004.
[16]Lescaroux F,Mignon A.On the influence of oil prices on economic activity and othermacroeconomic and financial variables[J].OPEC Review,2008,32,(1):343-380.
引用本文
王彬, 李成, 马文涛. 国际石油价格与通货膨胀的溢出效应及动态相关性[J]. 财经研究, 2010, 36(4): 26–36.
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