国内油价高涨的主因——基于VAR的实证分析

近年来．国际原油价格强势上扬，国内原油价格也不断上调。尽管一些学者从国内需求增加和国内外原油价格接轨的角度来说明目前原油和成品油的高位，但这些理论似乎都无法完全解释当前油价暴涨的现象。本文从原油和成品油的市场结构和定价机制出发，基于VAK模型证明了国内油价主要为短线预期带动所致．这种预期从国外传递到国内并导致了国内油价的上涨。因此通过改革油品的定价机制且完善和适当干预国内原油期货交易市场，可以打压这种非理性预期，抑制油价飙升的势头。     

高油价背景下我国石油期货的发展

随着世界经济的复苏,世界各国对石油的需求旺盛,供给比较紧张等原因,使油价逐步攀升而且居高不下,并有继续攀升的势头。我国是石油消费大国和进口大国,已经开设了燃料油期货市场,但是市场品种单一,仍然面临被动地接受国际油价的局面。在这样的背景下,我国应该大力发展其他的石油期货品种,完善原油、燃料油和成品油价格形成机制,使我国逐步成为影响世界油价的重要因素,同时也为我国石油相关企业提供套期保值的场所。     

WELFARE EFFECTS OF RISING OIL PRICES IN OIL‐IMPORTING DEVELOPING COUNTRIES

Oil prices began climbing consistently in 2002, reaching a record high in July 2008. Though this trend slipped back thereafter, owing to the global economic crisis, oil prices seem to be gradually regaining upward movement. Through an analysis of counterfactual simulations based on a dynamic computable general equilibrium model, this paper shows that the negative impact on GDP of the most recent oil price boom has been substantial in six oil‐importing developing countries, as high as 2% to 3% of GDP per year in some cases, producing unemployment and higher consumer prices and, as a consequence, reduced welfare. Importantly, welfare losses have been much less for countries that have witnessed gains from higher export‐commodity prices. Even for these countries, however, policy action is called for to soften the impact of potential future oil price booms.     

会计信息价值相关吗?基于中国A股市场的经验证据

国内外大量研究证实会计信息与股价具有相关性。然而基于中国沪深两市所有A股上市公司2003-2012年间的截面数据分析,论文发现这一相关性不显著。此外,宏观经济变量与股价的相关性较会计信息变量显著且具持续性。论文的研究结果为进一步研究中国新兴资本市场会计信息价值相关性提供了新的证据。     

The Impact of Energy Prices on Growth and Welfare in a Developing Open Economy

This paper analyzes the impact of an increase in the price of energy (oil) on the growth and welfare of a small developing economy. We consider the extent to which the impacts of energy price shocks depend upon the economy’s internal production structure and its access to the world financial market. We find that the effect on the long-run growth rate depends heavily on the former and is independent of the latter. The effect of accessibility to the world financial market on long-run welfare depends heavily on the elasticity of substitution in production. We supplement the formal analysis with numerical simulations, thereby enabling us to characterize the short-run dynamics. Overall, the simulations can replicate much of the empirical evidence used to characterize the effects of the recent oil price increases on the economy. They also highlight the sensitivity of the effect of the energy price to the elasticity of substitution.     

我国煤炭价格波动性及国内外非对称传导效应的研究

基于2005年1月至2016年3月的月度数据,采用H-P滤波对煤炭价格波动周期进行分析,结果表明2005年至2011年煤价持续增长,2012年至今价格持续大幅度下降;循环波动大约在正负10%以内,从每年的第三个季度到下一年的第三个季度呈“开口向下的抛物线”。然后,运用非线性自回归分布滞后模型研究国际煤炭价格对我国煤炭价格的非对称传导效应,结果表明国际煤炭价格对我国煤炭价格存在短期非对称影响效应,即与国际煤炭价格上涨相比,国际煤炭价格下降时对国内煤炭价格的影响更加显著;而长期内国际煤炭价格对国内煤炭价格并不存在非对称影响效应,表明我国基本实现了煤炭能源市场化,为煤炭行业的未来发展提供了科学依据。     

石油价格波动对我国经济的影响

石油作为一种重要能源和资源,广泛应用于各行各业,被誉为经济乃至整个社会的"黑色黄金"、"经济血液"。1973年石油期货出现以前,国际石油价格一直在每桶3美元左右。30多年来国际石油价格一路攀升,2006年7月甚至达到了每桶78美元的"天价"。石油价格的剧烈波动改变着世界政治经济格局,尤其对世界经济的影响日益显著。我国作为当今世界经济发展的重要一员,与世界经济的关联程度日益增强。随着我国经济的快速发展,对石油的需求目益增加,石油的对外依存度不断提高,这就不可避免地受到国际石油价格上涨的影响。因此,认真分析国际石油价格上涨对世界经济和中国经济的影响,提出我国具体的应对措施,对我国经济社会发展和国家安全具有深远的意义。     

基于菲利普斯模型的油价冲击通胀效应研究

在菲利普斯模型的理论基础上,本文结合中国油价形成机制改革的具体情况,构建了国际油价和中国物价之间的实证模型。实证结果发现,油价冲击对中国CPI的影响有限,但位于油价传导中端的PPI对国际油价变动较为敏感,特别是油价改革之后油价对PPI的传导系数得到了显著的提升。研究表明,油价冲击在中国的传导极大地受到政府政策的影响,价格管制和激烈的市场竞争共同降低了中国下游生产厂商的成本转嫁能力,使中国的厂商在面临油价冲击时处于弱势地位。     

Oil demand in the US and Japan: why the demand reductions caused by the price increases of the 1970's won't be reversed by the price declines of the 1980's

This paper analyzes the imperfect price-reversibility (‘hysteresis’) of oil demand in the US and Japan. We test econometrically oil demand data, disaggregated into transportation oil and non-transportation oil uses.The oil demand reductions following the oil price increases of the 1970's will not be completely reversed by the price cuts of the 1980's. The responce to price cuts in the 1980's is perhaps only one-fifth that for price increases in the 1970's. This has dramatic implications for projections of oil demand, especially under low-price assumptions.We also consider the demand effects of a price recovery in the 1990's, especially whether the effects would be as large as for the price increases of the 1970's or only as large as the smaller demand reversals of the 1980's. On this the results are inconclusive.     

基于Copula-GARCH模型的原油市场和股票市场相关性研究

由于原油市场和股票市场之间的联动性日益增强,因此研究两个市场之间的关联特征,分析原油价格波动对股市的影响,有助于规避风险,保证经济持续平稳地增长.采用Copula-GARCH模型对WTI原油价格的收益率序列和NASDAQ股指的收益率序列进行实证分析.结果表明,GARCH(1,1)-t模型拟合两个序列的条件边缘分布效果最好,时变SJC Copula模型比常相关Copula模型能更好地刻画两个市场之间的相关关系.两个收益率序列之间存在正的相关关系,且相关关系具有时变性,相关结构具有一定的不对称性,上尾相关系数小于下尾相关系数,即两个市场同时出现价格极端下跌的可能性更大.这为中国金融市场风险管理,规避油价波动对股市的冲击提供一定的参考依据.     

The impact of world oil price shocks on macroeconomic variables in Vietnam: the transmission through domestic oil price

This study examines the impact of world oil price shocks on macroeconomic variables in Vietnam with a focus on the transmission channel of domestic oil prices. The Structural Vector Autoregression model with two blocks of real economy variables and monetary variables is employed. The world oil price follows an autoregressive process to reflect the exogenous nature of world oil price shocks to the domestic economy. The retail domestic oil price is determined simultaneously by only the world oil price due to the government's control of the domestic oil market. Using monthly data in the period between 2009 and 2021, the study indicates that a positive shock to world oil prices will increase the domestic oil prices significantly, industrial production (slightly and only statistically significant in the third month after), and inflation (significantly in 8 months). Besides, the domestic oil price is not the only transmission channel of world oil price shocks to the economy. This result implies forecasting, assessing, and controlling the impact of the world oil price shock on the economy should focus on both domestic oil prices and other indirect channels.     

Influence of oil prices on stock market indexes in Russia and Norway

The effects of oil price dynamics on share quotations are discussed in the paper for the 2000–2012 period for two oil exporting countries—Russia and Norway. It has been shown, using a vector autoregressive model, that, in spite of intuitive expectations, oil prices have not been a systematic risk factor for Russian and Norwegian stock market indices. In Norway, share quotations definitely responded to the dynamics of the US dollar exchange rate relative to the world’s main currencies and the S&P 500 stock index, as well as to fluctuations in the global and domestic interest rates, although to a lesser degree. In Russia, share quotations are practically exclusively affected by their own shocks (a factor that is explained by some specific features characterizing Russia’s major public companies).     

重庆市房地产价格变动与物价总水平变动的关系

1997-2012年的16年间,重庆房地产业发展迅速,已成为重庆国民经济的支柱产。本文选取1998—2012年的重庆市新建住宅价格指数NRPI和重庆市居民消费价格指数CPI作为分析数据,在平稳性与协整检验的前提下,对NRPI与CPI进行格兰杰因果分析,判断重庆市物价总水品变动与重庆市房地产价格的因果关系。     

国际油价波动对中国经济影响的评估

文章运用一般均衡分析方法,通过修正传统CGE模型关于完全竞争与固定规模报酬的不合理假设（此即我国能源市场中两个甚为重要却常被忽略的特性）,评估国际油价上涨对我国总体经济与产业的影响。研究表明,国际油价波动对我国经济冲击幅度的评估受到生产技术与订价行为设定方式的影响。只考虑非完全竞争而忽略规模经济时,冲击幅度与传统CGE相差不大,均明显低于同时考虑规模经济与非完全竞争市场结构时的冲击幅度。与国外文献在油价上涨初期所做的预测相比,本文结果较为缓和,显示由需求拉动的油价上涨,对我国实际GDP的冲击并不如预期中的严重。     

金融危机背景下石油价格波动对我国经济影响实证分析

通过选取我国宏观经济数据中反映消费、投资、贸易、价格水平四方面22个经济指标数据,运用因子分析法提取主因子,之后采用VAR模型,分析我国石油价格波动对宏观经济产生的影响。结果表明:贸易对石油价格的变化最为敏感,前期的波动较大;石油价格上涨对消费存在逆向影响,随着价格上涨消费的变化达到低点后缓慢回升;石油价格上涨对物价水平和投资的影响相对不明显。     

上海原油期货与国际原油期货:联动机制和溢出效应

建立VECM—GARCH—BEKK—T模型,分析了上海原油期货价格与WTI、布伦特两大国际基准油价格之间的传导效应、均值溢出效应、波动溢出效应、BEKK交叉效应以及杠杆效应。研究发现,上海、WTI和布伦特原油期货三个市场存在显著的均值溢出和波动溢出效应。其中,上海原油期货上市重构了WTI和布伦特原油期货两个市场的均衡关系、主导影响因素、影响期限以及波动溢出效应;上海原油期货与国际油价有机联动,对WTI的正向影响要大于对布伦特的影响,但WTI、布伦特对上海的影响依然占主导地位。此外,短期内,当期上海原油期货价格与历史WTI和上海原油期货价格波动联系显著为正,而与历史布伦特原油期货价格则显著为负。因此,需要在持续提高上海原油期货参与者数量、提高国际参与度和认可度、完善原油期货区间波段管理机制、提升原油期货交易量、加快人民币国际化进程等方面努力。     

The asymmetric effects of oil price changes on China’s exports: New evidence from a nonlinear autoregressive distributed lag model

China’s dependence on oil imports has greatly increased in recent years. Due to the rapid expansion of global trade, exporting plays an important role in the Chinese economy. This paper uses monthly data from January 2005 to April 2021 to examine the short- and long-term effects of oil price increases and decreases on China’s exports. Our empirical analyses are based on the nonlinear autoregressive distributed lag (NARDL) model, which can effectively capture asymmetric relations. The empirical results provide significant evidence of asymmetry, such that oil price increases have significantly larger effects than oil price decreases in the long term. Interestingly, we find that energy-intensive exports and some specific sectors (e.g., crude fertilizers, petroleum products, and organic chemicals) benefit from oil price increases. We also observe recent declines in the coal and coke sector following positive oil price shocks due to restrictions on coal consumption.     

成品油定价机制完善前后政策变化的实证考察

2013年3月国家发改委发布了新的成品油价格形成机制完善调整办法,新机制政策指向性明显,即在缩短调价周期的同时降低定价办法执行过程中的人为影响和随意性,保证机制和规则自身效用的最大化发挥。为考察成品油定价机制完善前后政策执行上的变化和差异,从实证角度出发,针对成品油定价机制调整以后在价格响应滞后性、规则透明度以及政策执行严谨性三个方面进行分析。分析结果表明,成品油定价机制调整后,国内成品油价格调整对于国际原油价格变化响应的滞后性明显缩短,定价政策执行的严谨性得到加强,价格调整触发和调价幅度计算的规则透明性有所下降。     

Indonesia's Transition to a Net Oil Importing Country: Critical Issues in the Downstream Oil Sector

Given its limited oil reserves and increasing petroleum product consumption, Indonesia will become a net oil importer in the near future, facing increasing petroleum product imports while continuing to export still available but diminishing crude oil This paper examines the implications of that prospect for Indonesia's terms of trade, assessing the future supply and demand balance in the domestic market The assessment includes a petroleum price forecast vis-à-vis the international market, in which Indonesia imports more valuable products while exporting less valuable crude oils To meet this challenge, the key policy issue in the downstream oil sector is the need to bring private participation into the refining and retailing business, by means of a freer market pricing policy and private access to the domestic market.     

石油国内税的价格效应——基于垂直市场结构的研究

石油进口国的国内税政策不仅影响消费者价格,还通过垂直市场结构传导影响石油公司买卖价差和国际石油价格。本文发现,在生产与贸易中介环节的不同市场结构组合下,石油国内税的价格效应明显不同。如果石油公司间竞争不强,国内税价格传递弹性为负,国际价格下降而石油公司要价上升;如果石油公司间竞争很强,国内税价格传递弹性为正,国际价格和石油公司要价同向下降。结合美国、欧盟和日本的需求弹性特征,实证结果支持了本文的理论分析结果,也为美国、欧盟和日本实际国内税率与最优税率的偏离提供了证据。