| 国际原油价格波动是否增加了国内CPI通胀率的不确定性? |
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| 引用本文： | 张超,鲁旭.国际原油价格波动是否增加了国内CPI通胀率的不确定性?[J].国际贸易问题,2012(9):153-160. |
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| 作者姓名： | 张超 鲁旭 |
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| 作者单位： | 安徽财经大学金融学院;中国人民大学经济学院 |
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| 基金项目： | 中国人民大学“985”工程宏观经济调控体系研究项目;安徽省哲学社会科学规划重点项目(AHSK09-10D04)资助 |
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| 摘 要： | 本文选取2001年1月至2011年10月的月度统计数据,基于二阶矩意义的Granger因果检验方法,在多元GARCH模型框架下,运用残差向量的方差-协方差矩阵所包含的信息,构建非对称的BEKK模型,对国际油价波动与国内消费者价格指数(CPI)通胀率不确定性的因果关系进行了检验。结论表明,国际油价波动会向国内CPI输出不确定性因素,且短期油价上涨更容易增加国内CPI的不确定性;但国内CPI变动无法向国际油价输出不确定性。
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| 关 键 词： | 原油价格波动 国内CPI通胀率 多元GARCH模型 ABEKK模型 |
Could the Fluctuations of International Oil Prices Increase the Uncertainties of Domestic CPI? |
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| ZHANG Chao,LU Xu.Could the Fluctuations of International Oil Prices Increase the Uncertainties of Domestic CPI?[J].Journal of International Trade,2012(9):153-160. |
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| Authors: | ZHANG Chao LU Xu |
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| Institution: | ZHANG Chao LU Xu |
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| Abstract: | This paper bases on Granger causality test method of second-order moment,and builds the ABEKK model by using the implied information of residual vector’ s variance-covariance matrix in the framework of multivariate GARCH model.We test the causal relationship between fluctuations of international oil prices and uncertainties of domestic CPI with the monthly data from January 2001 to October 2011.The results show that the fluctuations of international oil prices will export uncertainties to domestic CPI,and the rising oil prices in short-term will be more likely to increase the uncertainty of domestic CPI.However,domestic CPI can’t output uncertainties to the international crude oil price. |
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| Keywords: | Fluctuations of oil prices Domestic CPI Multivariate GARCH model ABEKK model |
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