摘要
石油价格的波动牵动着一国经济领域的方方面面,备受各国政府的高度关注。本文通过建立描述国际石油价格波动与我国GDP增长率、通货膨胀率、股票市场收益和波动之间动态关系的向量自回归模型,研究国际石油价格波动对我国宏观经济的影响。脉冲响应分析的结果显示:石油价格上涨会使我国的通货膨胀加剧,增大股票市场风险,国际石油价格与我国GDP增长率正相关,高油价没有改变中国经济快速增长的基本趋势。
International oil price volatility has been paid more attention because of its' affection upon every aspects of one country's economy.This paper constructs a VAR model to illustrate the dynamic relationship of oil price volatility,Chinese GDP growth,CPI,stock market return and stock mar- ket risk.The impulse-response analysis shows that oil price increasing can worsen inflation,en- hance stock market risk.It also shows oil prices are positive correlated with Chinese GDP growth,and oil price increasing does not change the trend of Chinese economy.
出处
《财贸经济》
CSSCI
北大核心
2008年第10期12-15,共4页
Finance & Trade Economics
