油价冲击、货币政策调整与产出波动——基于中国的经验证据

本文基于我国2001-2010年宏观经济月度数据，采用SVAR模型分析了国际油价波动时，央行货币政策在排除回应油价干扰与未排除干扰下的反应差异及油价波动对产出的影响。研究发现，在排除货币政策回应油价波动干扰后，通过脉冲响应函数反映的油价波动对产出的短期负面影响消失。方差分解结果显示，长期内产出波动由油价冲击和货币政策解释的比例分别为5716%和32480%，比排除干扰前分别下降了2569%和4560%。这说明我国油价冲击带来的经济衰退主要是因为货币政策及其回应油价冲击紧缩所致。此外，面对油价的短期冲击，CPI指数并未随着生产者购进价格指数上升而上升，产出也未发生明显的衰减；但在较长时间内，油价上升会因为相对价格的改变，而影响CPI水平和货币政策，从而对产出产生显著的负面影响。

OILPRICESHOCKS, MONET ARYPOLICYADJUSTMENT AND OUTPUTVOLATILITY——Empirical Evidence from China

Based on the macroeconomic monthly data in 2001—2010in China,using the SVAR model,the paper analyzed the reaction difference of the central bank’s monetary policy between including and excluding responses to oil interference,and the impact of oil price fluctuations on the output.Empirical evidence showed that,after excluding responses of monetary policy to oil prices fluctuation interference,the short-term negative impact on output by oil prices fluctuation reflected through the impulse response function disappeared.The variance decomposition results showed that oil price shocks and monetary policy account for 5.716%and 32.480%respectively in explaining output volatility.Comparing to the data where the interference had not been ruled out,it decreased 2.569%and 4.560%respectively.It indicated that the economic recession brought by the oil price shocks mainly due to the tightening monetary policy responses to oil price shocks.Facing the short-term impact of oil prices,CPI did not increase with the rising of producer price index and the output also had no obvious decrease.But in the long term,due to the changes of relative prices,the rising of oil prices would affect the level of CPI and monetary policies thereby had a significant negative impact on output.