石油价格波动对世界经济波动影响的动态变化关系研究
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摘要
随着经济全球化的迅猛发展,生产国际化进一步加强,各国商品及服务贸易、资本和技术在世界性生产、消费和投资领域扩散,实现世界范围内的流动和配置,使世界各国形成日益密切的相互联系和相互依存的关系。关注世界整体经济的运行情况已成为一国经济发展不可忽视的重要问题。石油作为现代工业生产的“血液”,其价格波动将不仅仅对国别经济产生影响,而且会通过国家间联系对世界经济产生影响。如果仅局限在一个封闭经济体内单独研究油价波动对经济波动的影响,必将会低估油价波动的经济后果,所以深入研究油价波动对世界经济波动的影响这一课题具有重要价值。另一方面,近些年来油价波动与世界经济波动的影响关系出现了动态变化,尤其是进入1999年后,持续上涨的石油价格并没有对世界经济产生不利影响,相反出现了油价上涨与高经济增长率和低通货膨胀率并存的局面。在这一背景下,基于较长时间序列来研究油价波动对世界经济波动影响的动态变化关系,并探寻这一现象的成因,无疑具有重要的理论和现实意义。
在综述国内外研究现状基础上,从油价形成机制、世界经济运行特征及油价波动影响世界经济波动机理分析等方面进行了理论基础铺垫,然后实证检验了油价波动对世界经济波动影响的动态变化关系。动态变化关系成因主要从宏观经济环境、油价波动不确定性和油价冲击来源变化这三方面来分析,具体内容如下:
在油价波动对世界经济波动影响的动态变化关系检验中,经过指标分析与选取,以世界整体和OECD作为世界经济的代表,并计算了相应的季度GDP增长率和通货膨胀率。首先采用直观统计观察方法对动态变化关系进行了判断,然后将样本分为三个区间,采用分区间格兰杰因果关系检验方法对动态变化关系进行了验证,最后采用滚动VAR方法对动态变化关系进行了更准确检验,并同时以美国、欧元区、日本和新兴亚洲这4个经济体为样本进行了进一步检验。结果发现油价波动对世界经济波动的负向作用越来越弱,且在近些年出现了正向作用。
在基于宏观经济环境视角的动态变化关系成因分析中,从石油消耗强度、经济开放度和低通货膨胀环境这三个方面来衡量宏观经济环境变化。采用实证证据对这些宏观经济环境指标做了充分描述性分析,并基于此探讨了它们对动态变化关系的影响机理。然后采用边限协整方法进行了实证检验,结果发现宏观经济环境指标虽然在解释单个经济体时结果不尽相同,但基本都能解释为何油价波动与世界经济增长率和通货膨胀率出现动态变化关系。
在基于油价波动不确定性视角的动态变化关系成因分析中,先基于一般均衡模型从理论角度分析了油价波动不确定性影响经济波动的机理。然后运用GARCH族模型和移动标准差模型计算出油价波动不确定性值,发现近些年来不确定性值有了显著下降。进一步运用VAR模型检验了油价波动不确定性对经济波动的影响,发现它确实能对投资、消费和失业率产生不利影响,进而减少产出,增加通货膨胀率。所以尽管1999年后油价在持续上涨,但油价波动不确定性值却是显著低于几次石油危机期间的不确定性值,因此它没有加剧1999年后油价上涨的经济后果,这样就解释了油价波动不确定性变化是动态变化关系的成因。
在基于油价冲击来源视角的动态变化关系成因分析中,通过对油价波动进行结构性分解,证明它是由石油供给冲击、经济需求冲击和预防性需求冲击共同作用的结果,且在不同时间段内各个冲击的作用显著不同,1999年后的油价波动主要是由于经济需求冲击推动的。进一步检验了三种冲击对世界经济波动的影响,发现石油供给冲击和预防性需求冲击推动的油价上涨对经济增长率和通货膨胀率会产生不利影响,而经济需求冲击对经济增长的拉动作用短期内显著大于油价上涨带来的负向作用,因此当油价上涨是由经济需求冲击推动时,油价上涨与世界经济增长将并行不悖。不同来源冲击对石油价格波动的贡献程度改变及其经济后果差异共同解释了油价冲击来源变化是动态变化关系的成因。
研究突破了已有学者视角,丰富了油价波动对经济波动影响的研究成果,有重要理论意义。同时还能为在经济全球化进程中的世界各国制定针对不同环境下油价冲击的宏观政策提供参考,具有重要现实意义。
With the rapid development of economic globalization and reinforcement of production internationalization, various goods and services trade, capital and technology diffuse in the global production, consumption and investment fields and then flow and configure worldwide. In such circumstances, most countries and regions in the world form an increasingly close mutual connection and interdependent relationship. Therefore, the concern for world economic operation becomes a noticeable important issue for country economic development. As the blood of modern industry production, oil price fluctuation does not only have an impact on the national economy, but also has an important impact on the world economy through the linkages between countries. Studying the impact of oil price fluctuation on the economy in a closed economy will certainly underestimate the economic consequences of oil price fluctuation. Therefore, the deep research about the effect of oil price fluctuation on the world economy has significant value. On the other hand, the relationship between oil price fluctuation and world economic fluctuation presents dynamic changes in recent years, particularly after 1999 sustained rising oil price does not have negative impact on the world economy, on the contrary the situation of rising oil price coexisting with high world economic growth and low inflation occurs. Under this background, studying the dynamic varying relationship between oil price fluctuation and world economy based on a longer time series and exploring the causes of this phenomenon undoubtedly has very important theoretical and practical significance.
Based on the research status at home and abroad, the paper carries on the theory background foundation from the aspects of oil price formation mechanism, world economy operating characteristics and the mechanism of oil price fluctuation influencing world economic fluctuation, and then makes the empirical test on the dynamic impacting relationship between oil price fluctuation and world economic fluctuation. The primary causes of the dynamic relationship are mainly taken from the three aspects of world macroeconomic environment changes, oil price uncertainty changes and oil price shocks sources changes. The concrete content is as follows:
In the test of the dynamic varying relationship between oil price fluctuation and world economic fluctuation, the paper takes the data of whole 36 countries and OECD as the representative of world economy after the analysis and selection of indicators and then calculates corresponding quarterly GDP growth rate and inflation. Firstly, it carries on the judgment to the dynamic varying relationship using an intuitive method of statistical observation; Secondly, it divides the sample into three periods and carries on the test on the dynamic varying relationship using granger causal test; Thirdly, it uses the rolling VAR method to carry on a more accurate test to the dynamic varying relationship and also carries on further examination taking the US, Euro area, Japan and emerging Asian these four economies as the samples simultaneously. The test results show that the negative effect of oil price fluctuation on world economy is getting weaker and even presenting positive impulse response values in recent years.
In the cause analysis of the dynamic varying relationship based on the macroeconomic environment view, the paper measures macroeconomic environment changes from the oil consumption intensity, economic openness degree and low inflation environment these three aspects. Using empirical method to make full descriptive analysis to these macroeconomic environment indicators, the paper analyzes the affecting mechanism based on this. Then it makes empirical test using ARDL method. The results indicate that although the three macroeconomic environment indicators have different effects on the national economy, but most are able to effectively explain the dynamic varying relationship between oil price fluctuation and world economic growth and inflation.
In the cause analysis of the dynamic varying relationship based on the oil price uncertainty view, the paper firstly analyzes the influence mechanism of oil price uncertainty on economy fluctuation based on the general equilibrium model from the theory angle. Then it uses the GARCH models and moving standard deviation model to calculate the oil price uncertainty, and finds that in recent years oil price uncertainty decreases remarkably. Further the paper examines the influence of oil price uncertainty on economic fluctuation based on VAR model, and discovers that oil price uncertainty can have adverse effect on investment, consumption and unemployment, thereby reduce output and increase inflation rate. Although oil price increases remarkably after 1999, but oil price uncertainty decreases compared to the earlier period, thus it indirectly explains that oil price uncertainty is the cause of the dynamic varying relationship.
In the cause analysis of the dynamic varying relationship based on the sources of oil price shocks view, the paper finds that oil price fluctuation is the interaction of oil supply shock, economic demand shocks and precautionary demand shocks through the structural decomposition of oil price fluctuation. Various shocks have significantly different effects in different periods, while oil price fluctuation after 1999 is mainly due to the effects of economic demand shocks. Then it tests the effects of there three kinds of shocks on world economic fluctuation and finds that oil supply shocks and precautionary demand shocks have negative effects on economic growth and inflation, while the positive effects of economic demand shocks on economic growth is higher than the negative effect of rising oil price. Consequently, when oil price is pushed up by economic demand shocks, oil price rise and world economic growth will go hand in hand. Contribution changes of oil shocks on price fluctuation and their economic consequences differences together explain that the changes of oil shock sources is the origin of dynamic varying relationship.
This paper breaks through the present academics research perspective based on the aspect of world economy; it can enrich the related research about the impact of oil price fluctuation on the economy and has important theoretical significance. It also provides an important practical reference for various countries or economic communities to make macroeconomic policies facing oil price shocks under different environment in the process of economic globalization.
在综述国内外研究现状基础上,从油价形成机制、世界经济运行特征及油价波动影响世界经济波动机理分析等方面进行了理论基础铺垫,然后实证检验了油价波动对世界经济波动影响的动态变化关系。动态变化关系成因主要从宏观经济环境、油价波动不确定性和油价冲击来源变化这三方面来分析,具体内容如下:
在油价波动对世界经济波动影响的动态变化关系检验中,经过指标分析与选取,以世界整体和OECD作为世界经济的代表,并计算了相应的季度GDP增长率和通货膨胀率。首先采用直观统计观察方法对动态变化关系进行了判断,然后将样本分为三个区间,采用分区间格兰杰因果关系检验方法对动态变化关系进行了验证,最后采用滚动VAR方法对动态变化关系进行了更准确检验,并同时以美国、欧元区、日本和新兴亚洲这4个经济体为样本进行了进一步检验。结果发现油价波动对世界经济波动的负向作用越来越弱,且在近些年出现了正向作用。
在基于宏观经济环境视角的动态变化关系成因分析中,从石油消耗强度、经济开放度和低通货膨胀环境这三个方面来衡量宏观经济环境变化。采用实证证据对这些宏观经济环境指标做了充分描述性分析,并基于此探讨了它们对动态变化关系的影响机理。然后采用边限协整方法进行了实证检验,结果发现宏观经济环境指标虽然在解释单个经济体时结果不尽相同,但基本都能解释为何油价波动与世界经济增长率和通货膨胀率出现动态变化关系。
在基于油价波动不确定性视角的动态变化关系成因分析中,先基于一般均衡模型从理论角度分析了油价波动不确定性影响经济波动的机理。然后运用GARCH族模型和移动标准差模型计算出油价波动不确定性值,发现近些年来不确定性值有了显著下降。进一步运用VAR模型检验了油价波动不确定性对经济波动的影响,发现它确实能对投资、消费和失业率产生不利影响,进而减少产出,增加通货膨胀率。所以尽管1999年后油价在持续上涨,但油价波动不确定性值却是显著低于几次石油危机期间的不确定性值,因此它没有加剧1999年后油价上涨的经济后果,这样就解释了油价波动不确定性变化是动态变化关系的成因。
在基于油价冲击来源视角的动态变化关系成因分析中,通过对油价波动进行结构性分解,证明它是由石油供给冲击、经济需求冲击和预防性需求冲击共同作用的结果,且在不同时间段内各个冲击的作用显著不同,1999年后的油价波动主要是由于经济需求冲击推动的。进一步检验了三种冲击对世界经济波动的影响,发现石油供给冲击和预防性需求冲击推动的油价上涨对经济增长率和通货膨胀率会产生不利影响,而经济需求冲击对经济增长的拉动作用短期内显著大于油价上涨带来的负向作用,因此当油价上涨是由经济需求冲击推动时,油价上涨与世界经济增长将并行不悖。不同来源冲击对石油价格波动的贡献程度改变及其经济后果差异共同解释了油价冲击来源变化是动态变化关系的成因。
研究突破了已有学者视角,丰富了油价波动对经济波动影响的研究成果,有重要理论意义。同时还能为在经济全球化进程中的世界各国制定针对不同环境下油价冲击的宏观政策提供参考,具有重要现实意义。
With the rapid development of economic globalization and reinforcement of production internationalization, various goods and services trade, capital and technology diffuse in the global production, consumption and investment fields and then flow and configure worldwide. In such circumstances, most countries and regions in the world form an increasingly close mutual connection and interdependent relationship. Therefore, the concern for world economic operation becomes a noticeable important issue for country economic development. As the blood of modern industry production, oil price fluctuation does not only have an impact on the national economy, but also has an important impact on the world economy through the linkages between countries. Studying the impact of oil price fluctuation on the economy in a closed economy will certainly underestimate the economic consequences of oil price fluctuation. Therefore, the deep research about the effect of oil price fluctuation on the world economy has significant value. On the other hand, the relationship between oil price fluctuation and world economic fluctuation presents dynamic changes in recent years, particularly after 1999 sustained rising oil price does not have negative impact on the world economy, on the contrary the situation of rising oil price coexisting with high world economic growth and low inflation occurs. Under this background, studying the dynamic varying relationship between oil price fluctuation and world economy based on a longer time series and exploring the causes of this phenomenon undoubtedly has very important theoretical and practical significance.
Based on the research status at home and abroad, the paper carries on the theory background foundation from the aspects of oil price formation mechanism, world economy operating characteristics and the mechanism of oil price fluctuation influencing world economic fluctuation, and then makes the empirical test on the dynamic impacting relationship between oil price fluctuation and world economic fluctuation. The primary causes of the dynamic relationship are mainly taken from the three aspects of world macroeconomic environment changes, oil price uncertainty changes and oil price shocks sources changes. The concrete content is as follows:
In the test of the dynamic varying relationship between oil price fluctuation and world economic fluctuation, the paper takes the data of whole 36 countries and OECD as the representative of world economy after the analysis and selection of indicators and then calculates corresponding quarterly GDP growth rate and inflation. Firstly, it carries on the judgment to the dynamic varying relationship using an intuitive method of statistical observation; Secondly, it divides the sample into three periods and carries on the test on the dynamic varying relationship using granger causal test; Thirdly, it uses the rolling VAR method to carry on a more accurate test to the dynamic varying relationship and also carries on further examination taking the US, Euro area, Japan and emerging Asian these four economies as the samples simultaneously. The test results show that the negative effect of oil price fluctuation on world economy is getting weaker and even presenting positive impulse response values in recent years.
In the cause analysis of the dynamic varying relationship based on the macroeconomic environment view, the paper measures macroeconomic environment changes from the oil consumption intensity, economic openness degree and low inflation environment these three aspects. Using empirical method to make full descriptive analysis to these macroeconomic environment indicators, the paper analyzes the affecting mechanism based on this. Then it makes empirical test using ARDL method. The results indicate that although the three macroeconomic environment indicators have different effects on the national economy, but most are able to effectively explain the dynamic varying relationship between oil price fluctuation and world economic growth and inflation.
In the cause analysis of the dynamic varying relationship based on the oil price uncertainty view, the paper firstly analyzes the influence mechanism of oil price uncertainty on economy fluctuation based on the general equilibrium model from the theory angle. Then it uses the GARCH models and moving standard deviation model to calculate the oil price uncertainty, and finds that in recent years oil price uncertainty decreases remarkably. Further the paper examines the influence of oil price uncertainty on economic fluctuation based on VAR model, and discovers that oil price uncertainty can have adverse effect on investment, consumption and unemployment, thereby reduce output and increase inflation rate. Although oil price increases remarkably after 1999, but oil price uncertainty decreases compared to the earlier period, thus it indirectly explains that oil price uncertainty is the cause of the dynamic varying relationship.
In the cause analysis of the dynamic varying relationship based on the sources of oil price shocks view, the paper finds that oil price fluctuation is the interaction of oil supply shock, economic demand shocks and precautionary demand shocks through the structural decomposition of oil price fluctuation. Various shocks have significantly different effects in different periods, while oil price fluctuation after 1999 is mainly due to the effects of economic demand shocks. Then it tests the effects of there three kinds of shocks on world economic fluctuation and finds that oil supply shocks and precautionary demand shocks have negative effects on economic growth and inflation, while the positive effects of economic demand shocks on economic growth is higher than the negative effect of rising oil price. Consequently, when oil price is pushed up by economic demand shocks, oil price rise and world economic growth will go hand in hand. Contribution changes of oil shocks on price fluctuation and their economic consequences differences together explain that the changes of oil shock sources is the origin of dynamic varying relationship.
This paper breaks through the present academics research perspective based on the aspect of world economy; it can enrich the related research about the impact of oil price fluctuation on the economy and has important theoretical significance. It also provides an important practical reference for various countries or economic communities to make macroeconomic policies facing oil price shocks under different environment in the process of economic globalization.
引文
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