国际油价波动对经济增长的影响——基于中国的实证分析

基于1990年1月至2009年3月的月度数据,本文实证分析了我国经济增长与国际石油价格之间的长期变动关系,其特点在于,采用稳健性较强的T-Y因果检验来分析油价与经济增长的Granger因果关系,同时,运用非对称协整技术以考察油价与经济增长之间的非线性关系。研究发现：①长期中油价是我国经济增长的单向Granger原因;②油价与我国经济增长之间存在非对称协整关系,油价上涨对经济活动的负面影响大于油价下跌的积极影响。基于中国经济运行的实际,本文还分析了实证结果背后的原因,并提出当前国际金融危机背景下,油价呈下跌趋势,需抓住有利时机,动用外汇储备,大力购入石油资源,建立起石油战略储备;在经济复苏、油价上涨时,可以启动石油战略储备来减少石油供应冲击,从而有助于及时保证我国经济平稳快速增长的政策建议。     

Are crude oil spot and futures prices cointegrated? Not always!

In previous studies, the cointegration relationships between crude oil spot and futures prices are confirmed based on Johansen (1988) test and vector error correction model (VECM). These conventional methods assume that the process of long-run equilibrium adjustment is linear. This paper revisits this topic employing nonlinear threshold VECM to take into account the nonlinear dynamics of equilibrium adjustment. Our results show that crude oil spot and futures prices are cointegrated only when the price differentials are larger than the threshold value. Moreover, we use a multi-frequency analysis based on low-pass filtering with different cut-off frequencies. The main findings indicate that the relationships between spot and futures prices are different between in the short-term and in the long-term. In the short-term, futures price plays the major role in the formation of long-run equilibrium (error correction mechanism). In the long-term, both spot and futures prices contribute to the dynamics of long-run equilibrium.     

Petrol prices,oil price rises and oil price falls: some evidence for the UK since 1972

This paper examines the relationship between retail petrol prices, excise duties and crude oil prices in the UK over the period 1973–1988. The existence of a stable relationship between the petrol price, level of excise duty and spot oil price is confirmed through use of the cointegration approach. Although the speed of reaction of petrol prices to changes in the crude price depends on whether crude prices are rising or falling, any asymmetry in the pricing response is virtually absent after an adjustment period of only four months.     

Does oil price variability affect ASEAN exchange rates? Evidence from panel cointegration test

Using panel data, this article investigates the long-run relationship between real oil prices and real exchange rates for selected ASEAN countries by utilizing quarterly data from 1973:Q1 to 2013:Q4. The modelling implementation starts with the determination of the stationarity condition of the variables which are found to be integrated of order one. Using Maddala and Wu’s (1999) panel cointegration test, the article finds evidence of cointegration among the variables. The fully modified OLS (FMOLS) and dynamic OLS (DOLS) are then used to estimate the long-run relationship between the variables, followed by applying Toda–Yamamoto causality test. The findings exhibit bidirectional causality between real oil prices and real exchange rates in the long run, where it is highly significant.     

An investigation into the dynamic relationship between international and China’s crude oil prices

This article studies the dynamic relationship between international (WTI, Brent and Dubai) and domestic (Da Qing) crude oil prices in China using threshold cointegration method. We find evidence of a long-run equilibrium relationship between each pair of international and Da Qing oil prices, favouring the market integration hypothesis. We also estimate asymmetric adjustments under the momentum threshold autoregressive (M-TAR) specification in a TVECM, and the results show that adjustments to eliminate disequilibrium happen faster when oil price spread increases than when it decreases. The long-run and short-run Granger causality tests support the notion that China has influence on the international oil markets. The results imply that China should open up its domestic and imported oil markets, and also establish a well-functioning crude oil futures market, as they are essential for arbitrage and hedging strategies.     

Conflict, Effort and Capital Stock in UK Wage Determination

The paper is concerned with the determination of wages, unemployment and labour productivity in the UK. The theoretical model suggests that in addition to economic factors, historical and ideological elements play an important role in the determination of wages, unemployment and productivity. Particular emphasis is put on the capital shortage hypothesis. It is argued that capital scrapping in response to the two oil price shocks, combined with subsequent sluggish growth in capital, may be responsible for the rise of the NAIRU and the persistence of unemployment. The empirical analysis is concerned with testing the theoretical model, using quarterly data for the UK from 1966 until 1994. We use cointegration analysis for the determination of wages, unemployment and labour productivity. This revised version was published online in July 2006 with corrections to the Cover Date.     

Price Convergence and Information Efficiency in German Natural Gas Markets

In 2007, Germany changed network access regulation in the natural gas sector and introduced a so‐called entry–exit system. The spot market effects of the reregulation remain to be examined. We use cointegration analysis and a state space model with time‐varying coefficients to study the development of natural gas spot prices in the two major trading hubs in Germany and the interlinked spot market in the Netherlands. To analyse information efficiency in more detail, the state space model is extended to an error correction model. Overall, our results suggest a reasonable degree of price convergence between the corresponding hubs. Market efficiency in terms of information processing has increased considerably among Germany and the Netherlands.     

Fractional integration and cointegration in merger and acquisitions in the US petroleum industry

This article employs methodologies based on fractional integration and cointegration to analyse the time-series properties of merger and acquisitions (M&A) activity and crude oil prices in the US from 1980 to 2012. Our results indicate that an increase in the crude oil price produces a significant increase in the M&A data between 2 and 3 months after the initial shock.     

The role of rare earth prices for consumer prices: an ignored factor?

The article explores the role of a new determinant that accounts for driving consumer prices, i.e. rare earth prices. Rare earths are used for many advanced manufacturing and military technologies. Performing a number of panel methodological approaches, panel cointegration findings support the initial insight of the authors and illustrate a positive effect on consumer prices across all rare earths.     

Fractional cointegration and the term structure

According to the expectations theory of the term structure of interest rates, the yield spread between long-term and short-term interest rates is an optimal predictor of future changes in short rates over the long-run. Results concerning the empirical validity of this hypothesis are not unanimous. These contradictions may be due to the fact that the traditional concept of cointegration is too restrictive. We refer here to the concept of fractional cointegration introduced by Granger (1986). We study the expectations theory by testing for the existence of a (fractional) cointegration relationship between short-term and long-term interest rates. There is evidence of fractional cointegration between interest rates for the G7 countries, with the exception of Germany.First version received: July 2002 / Final version received: July 2003We thank two anonymous referees for very helpful and detailed comments.     

ASIAN REAL EXCHANGE RATES AND OIL PRICES: A COINTEGRATION ANALYSIS UNDER STRUCTURAL BREAKS

We examine the long‐run relationship between Asian real exchange rates and oil prices in the presence of structural breaks. The relevance of considering breaks is demonstrated by utilizing the Johansen et al. procedure that allows for up to two predetermined breaks. Using conventional tests that do not consider breaks reveals no evidence of cointegration. However, the Johansen et al. procedure clearly demonstrates the importance of considering breaks and provides strong support for a stable long‐run relationship in all but Japan and the Philippines. Moreover, the results suggest evidence of bi‐directional causality in Malaysia and Thailand, uni‐directional causality from exchange rates to oil prices in Korea, the Philippines, and Singapore, uni‐directional causality from oil prices to the exchange rate in Indonesia, and no evidence of causality in Japan.     

The causal dynamics between renewable energy,real GDP,emissions and oil prices: evidence from OECD countries

This study extends the empirical literature on the determinants of renewable energy consumption in the case of 25 OECD countries for the period 1980–2011. Preliminary analysis suggests the presence of cross-sectional dependence within the panel data. As a result, second-generation panel unit root tests of Smith et al. (2004) and Pesaran (2007) are undertaken to find the respective variables that are integrated of order one. Panel cointegration and error correction modelling reveal that a long-run relationship exists between renewable energy consumption per capita, real GDP per capita, carbon dioxide emissions per capita and real oil prices. The long-run elasticity estimates are positive and statistically significant for real GDP per capita, carbon dioxide emissions per capita and real oil prices. The panel error correction model shows that a feedback relationship exists among the variables.     

Stock prices,inflation and inflation uncertainty in the U.S.: testing the long-run relationship considering Dow Jones sector indexes

We test for the long-run relationship between stock prices, inflation and its uncertainty for different U.S. sector stock indexes, over the period 2002M7–2015M10. For this purpose we use a cointegration analysis with one structural break to capture the crisis effect, and we assess the inflation uncertainty based on a time-varying unobserved component model. In line with recent empirical studies we discover that in the long run, the inflation and its uncertainty negatively impact the stock prices, opposed to the well-known Fisher effect. In addition we show that for several sector stock indexes the negative effect of inflation and its uncertainty vanishes after the crisis outburst. However, in the short run the results provide evidence in favour of a negative impact of uncertainty, while the inflation has no significant influence on stock prices, except for the consumption indexes. The consideration of business cycle effects confirms our findings, which proves that the results are robust, both for long- and short-run relationships.     

The effect of biofuel policies on feedstock market: Empirical evidence for rapeseed oil prices in EU

The growing expansion of biofuel production in the European Union is a direct consequence of the political framework specifically implemented to reduce the impact of oil price rises and to achieve fuel security and environmental goals. These policies have activated a new relationship between fossil fuel and vegetable oil prices. Combining a multiple structural change approach with rolling cointegration, the article identifies four structural breaks in the relationships between the price of mineral and vegetable oils. Results show that policy instruments are responsible for these structural changes in the long-run relationships between prices. The analysis also shows that from the implementation of the directive 2003/30/EC the price dynamic of rapeseed oil has shifted from its own market to the diesel market, making it subject to interactions with the more complex reality of mineral oil.     

Foreign investments in real estate,economic growth and property prices: evidence from OECD countries

The last two decades have witnessed a growth in foreign direct investments (FDI) in the real estate sector in most of the Organization for Economic Co-Operation and Development (OECD) countries. It is argued that FDI in the real estate sector may improve economic growth in recipient economies. On the other hand, property prices have increased considerably in OECD countries in recent years and some argue that FDI in real estate is one of the driving forces of high property prices in these countries. The purpose of this study is to analyze the interrelationship between FDI in the real estate sector, economic growth, and property prices while controlling for interest rate and inflation. We use observations from a set of OECD countries for the period between 1995 and 2008. The dynamic interrelationship is analyzed by applying a panel cointegration technique. Our empirical results show that FDI in real estate do not cause property price appreciations and also do not contribute to economic growth in OECD countries in the short run and the long run.     

Forecast Errors and Efficiency in the US Electricity Futures Market

In March 1996 the US introduced electricity futures contracts which provided for delivery at the California/Oregon border (COB) and Palo Verde switchyard. These were followed in July 1998 by contracts which provided for delivery of electrical energy into the Cinergy and Entergy systems, and in March 1999 by a contract for the Pennsylvania/New Jersey/Maryland (PJM) area. This paper employs the forecast error approach to study the informational efficiency of these markets (the model prediction and event studies approaches are not feasible). COB and Palo Verde spot and futures prices are stationary, while Cinergy spot and futures prices are I(1) and cointegrated (Entergy and PJM data were not utilised due to insufficient observations). All forecast errors, therefore, are stationary. Estimation is by instrumental variables in the presence of a lagged dependent variable and overlapping observations. For the period 1996 (04) to 1999 (12), with COB and Palo Verde data, the efficient markets hypothesis (EMH) is rejected. This outcome is confirmed by cointegration of the COB and Palo Verde futures prices. A significant M-GARCH term in the forecast error relationship for both contracts supports the view that a time-varying risk premium was present. A significant negative relationship between forecast errors and volume for the COB contract suggests that agents were still learning the true model driving this market, and that Stein's 'Bayesian error' was non-zero.
For the period 1998 (07) to 1999 (12), with COB, Palo Verde and Cinergy data, the EMH cannot be rejected. Finally, an attempt is made to relate this study to the recent electricity crisis in California.     

Differences in long run exchange rate pass-through into import prices in developing countries: An empirical investigation

This paper investigates the exchange rate pass-through into import prices in a sample of 24 developing countries over the period from 1980 to 2003. We estimate a pass-through equation determined by a combination of the nominal exchange rate, the price of the competing products, the exporter's costs and demand conditions. We adopt non-stationary panel estimation techniques and tests for cointegration. In the long run, homogeneity of pass-through rates across countries can be rejected. Moreover, we show that most of these differences in exchange rate pass-through into import prices are due to three macroeconomics determinants: exchange rate regimes, trade barriers and inflation regimes.     

Relationships among U.S. oil prices and oil industry equity indices

The cointegration analysis suggests that the pure oil industry equity system and the mixed oil price/equity index system offers more opportunities for long-run portfolio diversification and less market integration than the pure oil price systems. On a daily basis, in the oil price systems all oil prices with the exception of the 3-month futures can explain the future movements of each other. In the mixed system, none of the daily oil industry stock indices can explain the daily future movements of the New York Mercantile Exchange (NYMEX) futures prices, whereas these prices can explain the movements of independent companies engaged in exploration, refining, and marketing. The spillover analysis of oil volatility transmission suggests that the oil futures market has a matching or echoing volatility effect on the stocks of some oil sectors and a volatility-dampening effect on the stocks of others. The policy implication is that, during times of high oil volatility, traders should choose the S&P oil sector stocks that match their tolerance for volatility and use the right financial derivative to hedge against or profit from this volatility. The day effect for volatility transmission suggests that Friday has a calming effect on the volatility of oil stocks in general. The effect for Monday is not significant.     

Analysis of the impact of excess mortgages on housing prices using the cointegration test

This article attempts to explain and predict housing prices by constructing a model based on the variables that most influence demand: the theoretical purchase effort index without tax deductions as well as a new and innovative indicator that includes the excess of mortgages granted. The Johansen methodology for cointegration analysis reveals the existence of long-run equilibrium and the model’s subsequent ECM, to verify the statistical significance of the variables, confirms the validity of the model concerning this Spanish case study.     

Oil prices and the real exchange rate in Iran: an ARDL bounds testing approach

This article examines the impact of oil prices on the real exchange rate in Iran during the 1961–2014 period using the autoregressive distributed lag approach to cointegration as the estimation method. We find that higher oil prices lead to appreciation of the real exchange rate. The results reveal that oil prices have both short-run and long-run effects on the real exchange rate.