| 国际石油价格与通货膨胀的溢出效应及动态相关性 |
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| 引用本文： | 王彬,李成,马文涛. 国际石油价格与通货膨胀的溢出效应及动态相关性[J]. 财经研究, 2010, 0(4) |
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| 作者姓名： | 王彬 李成 马文涛 |
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| 作者单位： | 西安交通大学经济与金融学院; |
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| 基金项目： | 国家社科基金重点项目(09AZD020);;教育部应急项目(2009JYJR058) |
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| 摘 要： | 国际石油价格大幅波动不可避免地给全球经济带来了一定程度的冲击和影响。文章采用向量自回归、多元GARCH-BEKK和DCC-GARCH模型对中美两国通货膨胀与国际石油价格之间的均值溢出效应、波动溢出效应及动态相关关系进行了实证检验。检验结果表明,国际石油价格与中国通货膨胀不存在任何方向的均值和波动溢出效应,美国通货膨胀与国际油价则存在双向显著的均值和波动溢出效应;中国通货膨胀与国际油价的动态相关关系显著弱于美国,不易受到国际油价的冲击和影响。从整体上看,当前中国通货膨胀与国际石油价格的关联性并不显著,但随着我国石油消费对进口依赖程度的不断提高,石油安全问题在可预见的未来将成为中国需要应对的一个现实挑战。因此,相关部门应及早采取有效措施,应对未来石油冲击对宏观经济的影响。
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| 关 键 词： | 石油价格 通货膨胀 溢出效应 动态条件相关 |
Spillover Effect between International Oil Prices and Inflation and Their Dynamic Relationship |
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| WANG Bin,LI Cheng,MA Wen-tao. Spillover Effect between International Oil Prices and Inflation and Their Dynamic Relationship[J]. The Study of Finance and Economics, 2010, 0(4) |
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| Authors: | WANG Bin LI Cheng MA Wen-tao |
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| Affiliation: | School of Economics and Finance;Xi'an Jiaotong University;Xi'an 710061;China |
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| Abstract: | The big fluctuation of oil price inevitably shocks the world economy.The paper studies the spillover effect and dynamic relationship between oil prices and inflation on basis of Chinese and US markets by VAR-GARCH-BEKK model and DCC-GARCH model.The empirical results show that the mean and volatility spillover effects between international oil prices and inflation in China are not significant,while the mean and volatility spillover effects between international oil prices and inflation in US are significant.... |
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| Keywords: | oil price inflation spillover effect dynamic conditional correlation |
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