摘要
改革开放以来,我国经济增长始终保持着稳中有进的态势,经济总量逐年攀升,与此同时国内对原油等资源类物品的依存度日益上升,国际油价波动对我国经济的冲击越来越深入。鉴于此,文章选用1986-2015年国际油价和我国经济增长数据,并通过构建ARCH族模型和Granger检验实证分析了国际油价波动的特征、效应及与经济增长的因果关系。实证结果显示:国际原油价格时间序列数据整体上呈现出"尖峰厚尾"的态势;此外ARCH族模型检验结果也显示国际油价波动具有集簇性和非对称性的特征,且存在价格波动的"杠杆效应";Granger检验结果也表明国际原油价格变动与我国经济波动之间存在单向因果关系。
Since the reform and opening up,China's economic growth has maintained a stable situation. The economy aggregate is increasing year after year. At the same time,the domestic dependence on crude oil and other resources is increasing,and the impact of international oil price fluctuation on China's economic growth is more and more in-depth. In viewing of this,the data of international oil price and China's economic growth during 1986-2017 is selected in the paper. The causal relationship among economic growth,char acteristics and effects of international oil price fluctuation is analyzed through the construction of ARCH-type model and the empirical re search of Granger test. The empirical results show that the time series data of international crude oil prices contain the general situation of “peak with thick tail”. In addition,the ARCH-type model also show that the fluctuations of international oil prices has the characteris tics of cluster and non symmetry,and exist the “leverage effect. Granger test results display there is unidirectional relationship between international oil price fluctuation and China's economic growth.
作者
滕飞
霍忻
TENG Fei;HUO Xin(School of Economics,Capital University of Economics and Business,Beijing 100070,China;AVIC China Aero-Polytechnology Establishment,Beijing 100028,China;College of Mathematics,Jilin Normal University,Jilin 136000,China)
出处
《技术经济与管理研究》
北大核心
2019年第2期97-103,共7页
Journal of Technical Economics & Management
基金
2017年度北京市自然科学基金项目(9172003)
2018年度国家重点研发计划(2018YFF0215606)
