石油价格波动与我国进口价格的动态关系研究——基于对油价冲击分解的结构VAR模型

运筹与管理 ›› 2011, Vol. 20 ›› Issue (2): 125-131.

石油价格波动与我国进口价格的动态关系研究——基于对油价冲击分解的结构VAR模型

孙薇^1,2, 齐中英¹

1.哈尔滨工业大学经济与管理学院,黑龙江哈尔滨 150001;
2.哈尔滨工程大学理学院,黑龙江哈尔滨 150001

收稿日期:2009-11-30 出版日期:2011-04-25
作者简介:孙薇(1980-),女,博士研究生,主要从事能源经济研究;齐中英(1957-),男,教授,博士生导师,从事能源经济、风险分析与管理等领域研究。
基金资助:
国家自然科学基金资助(编号:70673015)

Research on the Dynamic Changing Relationship Between Oil Price Changes and Domestic Import Prices——Based on Decomposition of Oil Shocks By Structural VAR

SUN Wei^1,2, QI Zhong-ying¹

1. School of Management, Harbin Institute of Technology, Harbin 150001, China;
2. School of Science, Harbin Engineering University, Harbin 150001, China

Received:2009-11-30 Online:2011-04-25

摘要/Abstract

摘要： 以2000~2008年我国月度数据为研究样本,从油价冲击的正负冲击角度分析国际石油价格波动与我国进口价格之间的存在的动态传导关系,并对其产生的原因进行了讨论。首先采用结构VAR(SVAR)模型对我国进口价格受到的油价冲击进行结构分解,其次用移动平均形式的SVAR模型分析不同油价冲击对进口价格的影响。结果表明,油价上涨对进口价格有显著的正向拉动作用,同期经济需求上涨推动进口价格有较大涨幅;而油价下跌时进口价格跌幅较小,甚至与油价波动存在负相关关系,这主要是由经济需求增加造成的。因此,研究石油价格对进口价格水平的动态传导关系,要区分油价冲击形式,这一结论有助于政府部门针对油价正负冲击的不同影响来制定应对政策,确保经济的稳定发展。

关键词: 管理科学, 油价冲击分解, 结构VAR, 进口价格

Abstract: Based on the monthly data from 2000~2008, this paper discusses the dynamic relationships between international oil prices fluctuations and import prices of China in the view of the positive and negative oil shocks. Firstly, by structural VAR(SVAR)models, this paper decomposes the oil shocks which would affect import prices. Furthermore, we analyse the history contributions of oil shocks on import prices by SVAR models in moving average models. The results show that rising oil prices and the contemporaneous economic growth would push import prices to rise significantly, while the insignificant decline of import prices when oil prices decrease, are mainly originated by the accumulated effects of economic growth. Therefore, it is necessary to distinguish the positive and negative oil shocks when studing the correlation between oil price fluctuation and domestic prices. The conclusion will contribute to the government department to make corresponding strategies in dealing with the positive and negative oil prices.

Key words: management science, decomposition of oil shocks, structure VAR, import prices

中图分类号:

F224.3

孙薇, 齐中英. 石油价格波动与我国进口价格的动态关系研究——基于对油价冲击分解的结构VAR模型[J]. 运筹与管理, 2011, 20(2): 125-131.

SUN Wei, QI Zhong-ying. Research on the Dynamic Changing Relationship Between Oil Price Changes and Domestic Import Prices——Based on Decomposition of Oil Shocks By Structural VAR[J]. Operations Research and Management Science, 2011, 20(2): 125-131.

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