油价冲击、耐用品消费与中国实际经济周期
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| Title | Oil Price Shocks, Durables Consumption, and China’s Real Business Cycle
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| 作者 | 王云清 刘骞文 |
| Author | Wang Yunqing and Liu Qianwen |
| 作者单位 | 上海金融学院；复旦大学金融研究中心 |
| Organization | School of International Finance, Shanghai Finance University, and Financial Research Center, Fudan University, Financial Research Center, Fudan University |
| 作者Email | wodewyq@sina.com；thegreatestpb@163.com |
| 中文关键词 | 油价冲击 耐用品消费 实际经济周期 |
| Key Words | Oil Price Shocks; Durables Consumption; Real Business Cycle |
| 内容提要 | 中国经济的高速发展极大的拉动了对石油的需求，国际油价的剧烈波动势必会对经济稳定性带来负面影响。考虑到油价冲击已成为中国经济波动的重要外部源，又鉴于石油与耐用消费品之间的强关联性，本文尝试构建了一个包含耐用品消费的石油经济RBC模型，并运用季度数据对中国经济进行了实证检验，从而考察了中国宏观经济波动的周期特征及油价冲击的传导机制。研究发现：（1）在RBC模型中将消费区分为耐用品和非耐用品两类在研究中国经济周期特征中有重要作用，核心发现是该模型改进了对消费波动及其弱的顺周期特征预测，更接近于实际经济；（2）油价冲击主要作用影响在于消费波动，对产出、投资和就业的影响较弱，而技术冲击是这三个变量波动的主要来源；（3）模型揭示了油价传导机制由期内的收入效应、期间的耐用品与资本品之间的资产组合配置效应等两方面所决定。 |
| Abstract | With rapid economic growth of China accompanied by huge amount of oil use, the fluctuations in oil prices in world market would evidently have negative impact on the economic stability. Considering that oil price shocks have become a key source of exogenous uncertainties for China’s economy as well as the fact that strong relationships between oil and durables, this paper develops a RBC model with oil factor and durables to study the features of China’s real business cycle and transmission mechanism of the shock as well, while making the corresponding empirical applications based on China’s quarterly macroeconomics data. We conclude that (1) introducing durable goods and nondurables being component part of consumption plays an important role in accounting for the features of China’s real business cycle. In particular, it is evident that the model operates consumption volatility and weakly positive correlation linked to GDP to the values close to the observed one; (2) oil price shocks have mainly impacts on consumption volatility, but attribute an even smaller proportion of output, investment, and employment. Moreover, productivity shocks continue to be the primary force behind the fluctuations in the above three variables; (3) in our economy we show that the transmission mechanism of the oil price shocks are determined by both principles including intra-temporal income effects and inter-temporal effects of portfolio rebalancing between durables and capital. |
| 文章编号 | WP880 |
| 登载时间 | 2015-05-22 |
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