油价冲击、货币政策调整与产出波动——基于中国的经验证据

发布时间：2018-02-26 11:02

本文关键词： 油价冲击货币政策产出波动 SVAR模型　出处：《经济理论与经济管理》2012年07期 　论文类型：期刊论文

【摘要】：本文基于我国2001—2010年宏观经济月度数据,采用SVAR模型分析了国际油价波动时,央行货币政策在排除回应油价干扰与未排除干扰下的反应差异及油价波动对产出的影响。研究发现,在排除货币政策回应油价波动干扰后,通过脉冲响应函数反映的油价波动对产出的短期负面影响消失。方差分解结果显示,长期内产出波动由油价冲击和货币政策解释的比例分别为5.716%和32.480%,比排除干扰前分别下降了2.569%和4.560%。这说明我国油价冲击带来的经济衰退主要是因为货币政策及其回应油价冲击紧缩所致。此外,面对油价的短期冲击,CPI指数并未随着生产者购进价格指数上升而上升,产出也未发生明显的衰减;但在较长时间内,油价上升会因为相对价格的改变,而影响CPI水平和货币政策,从而对产出产生显著的负面影响。
[Abstract]:Based on the monthly macroeconomic data for 2001-2010 in China, this paper uses SVAR model to analyze the difference of response between monetary policy of central bank and the influence of fluctuation of oil price on output when the fluctuation of international oil price is excluded from the interference of oil price and not the interference of oil price. After excluding the monetary policy response to oil price fluctuations, the short-term negative effects of oil price fluctuations reflected by impulse response function on output are eliminated. The variance decomposition results show that, The rates of long-term output fluctuation explained by oil price shock and monetary policy were 5.716% and 32.480 respectively, which decreased by 2.569% and 4.5600.This indicates that the economic recession caused by oil price shock in China is mainly due to monetary policy and its return. In response to the impact of oil prices on austerity. In addition, In the face of the short-term impact of oil prices, the CPI has not risen as producer purchasing price indices have risen and output has not declined significantly; but over a longer period of time, the rise in oil prices will be caused by changes in relative prices. And influence the level of CPI and monetary policy, thus have a significant negative impact on output.
【作者单位】：合肥工业大学管理学院;
【基金】：国家自然科学基金项目(70971034) 教育部人文社会科学青年基金项目(10YJCZH140)
【分类号】：F416.22;F822.0;F224

【二级参考文献】