国际原油价格波动及其对我国经济增速的影响

发布时间：2018-09-03 14:02

【摘要】：原油作为重要的投入原材料,是支撑国民经济运行的基础能源,在全球经济发展中扮演着重要的角色。近年来,特别是金融危机之后,国际原油价格受到全球经济形势、供需、政治冲突等多种因素影响不断飙升,波动愈加剧烈。随着我国经济的快速发展,我国原油进口量和消费量连年上升。原油对外依存度从本世纪初的不到30%上升至2012年的56.4%,不断刷新历史纪录,一半以上的原油需求需要通过进口来满足。在此背景下,国际原油价格剧烈波动必然给我国经济带来不利影响。因此,准确的对国际原油价格波动特征进行刻画并分析原油价格波动对我国经济增速的影响不仅具有重要理论意义还具有实际意义。本文引入偏态t分布,建立了一类有偏分布下的波动模型——GARCH模型、GJR-GARCH模型、FIGARCH模型、FIAPARCH模型来对国际原油收益率序列进行分析,并与这些模型在残差分布为正态分布、t分布、GED分布下的估计结果进行综合比较。研究发现,残差分布为偏态t分布的FIAPARCH模型要优于其他GARCH类模型,不仅能够精确地刻画原油收益率序列的尖峰厚尾特征,而且能够更好的描述原油价格波动特征,可以同时揭示油价波动的聚集性、非对称性和长记忆性特征。在此基础上,以残差分布为偏态t分布的FIAPARCH模型估计的条件方差作为国际原油价格波动指标,并进一步分析国际原油价格波动冲击对我国经济增速的影响。选取拉动经济增长的“三驾马车”,通过分析国际油价波动冲击对我国投资增长率、消费增长率和出口增长率的影响进而分析油价波动冲击对我国经济增速的影响。实证结果表明,国际油价波动冲击给我国投资、消费和出口带来不利影响,油价波动冲击短期内会引起投资增长率、消费增长率和出口增长率的下降,进而减缓我国经济增速,这种不利冲击影响会随着时间的推移渐渐衰退。最后,本文为如何降低国际油价波动冲击对我国经济增速的影响提出几点对策建议。
[Abstract]:Crude oil, as an important input raw material, is the basic energy to support the operation of national economy and plays an important role in the development of global economy. In recent years, especially after the financial crisis, the international crude oil price has been affected by the global economic situation, supply and demand, political conflict and other factors. With the rapid development of China's economy, China's crude oil imports and consumption have increased year after year. Crude oil dependence rose from less than 30 percent at the beginning of this century to 56.4 percent in 2012, with more than half of crude oil demand having to be met by imports. In this context, the international crude oil price volatility will inevitably bring adverse effects to our economy. Therefore, it is of great theoretical and practical significance to accurately characterize the characteristics of international crude oil price fluctuation and analyze the impact of crude oil price fluctuation on China's economic growth rate. In this paper, by introducing skewed t distribution, we establish a kind of fluctuation model under biased distribution GARCH model and FIAPARCH model to analyze the international crude oil yield series, the GJR-GARCH model and the FIAPARCH model are used to analyze the international crude oil yield series. The results are compared with the estimated results of these models under the condition that the residual distribution is normal distribution / t distribution and GED distribution. It is found that the FIAPARCH model with skewed t distribution is superior to other GARCH models, which can not only accurately describe the peak and thick tail characteristics of the oil yield series, but also better describe the oil price fluctuation characteristics. It can also reveal the characteristics of agglomeration, asymmetry and long memory of oil price volatility. On this basis, the conditional variance estimated by FIAPARCH model with residual distribution as skewness t distribution is used as the index of international crude oil price fluctuation, and the impact of international crude oil price fluctuation shock on China's economic growth rate is further analyzed. By analyzing the impact of international oil price fluctuation on China's investment growth rate, consumption growth rate and export growth rate, this paper analyzes the impact of oil price fluctuation shock on China's economic growth rate. The empirical results show that the impact of international oil price fluctuations on China's investment, consumption and exports will bring adverse effects. In the short term, the impact of oil price fluctuations will cause the growth rate of investment, the decline of consumption growth rate and export growth rate, and then slow down the economic growth rate of our country. The impact of this adverse shock will gradually recede over time. Finally, this paper puts forward some countermeasures and suggestions on how to reduce the impact of international oil price fluctuation on China's economic growth.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F416.22;F124

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