摘要
中国石油和天然气的对外依存度日益增大,而且能源消费结构中煤炭占比偏高,这使得仅使用原油价格作为能源价格代理变量的常规方法存在不足。本文分析了能源价格影响股票市场的传导机制并进行经验研究,通过构建综合反映中国煤炭、石油及天然气消费的Divisia能源价格指数,有效减少了只考虑原油价格可能带来的偏误。计量分析结果表明,全球经济总需求和能源市场特定需求对工业股票价格产生了显著的负向冲击,并且这种影响在中下游产业更为明显,而能源供给冲击只对上游工业行业股票价格产生显著的负向影响。采用新的Divisia能源价格指数能够更准确地评估能源价格变动的冲击,更科学地评价中国股票市场面临的风险。
Due to the increasing external dependence of oil and natural gas,and the high proportion of coal consumption within the energy structure,the conventional method that exclusively uses the price of crude oil as a proxy of energy price leads to bias.Drawing on the transmission mechanism of the impact of energy prices on the stock market,this paper conducts empirical research.By proposing a Divisia energy price index that fully reflects the actual consumption of coal,oil and natural gas in China,it effectively reduces the possible bias that may be caused by using the international crude oil price.The results of the econometric analysis reveal that the two types of shock-global economic aggregate demand and energy market specific demand-have a significant negative impact on the industrial stock market,especially in the downstream industries,on the other hand,energy supply shocks only have significant negative impact on the upstream industrial stock market.The new Divisia energy price index makes it possible to accurately evaluate the shock of energy price,and to reasonably assess the risks faced by the Chinese industrial stock market.
作者
康继军
郑丝月
Kang Jijun;Zheng Siyue
出处
《世界经济》
CSSCI
北大核心
2021年第7期181-206,共26页
The Journal of World Economy
基金
中央高校基本科研业务费项目“能源价格冲击对中国实体经济和金融市场的影响”(2020CDJSK02PT25)
国家社会科学基金重大项目“面向国家能源安全的智慧能源创新模式与政策协同机制研究”(19ZDA082)
重庆英才计划项目(CQYC20200102210)的资助。
