石油价格冲击传导机制研究
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摘要
石油作为关系国计民生的重要战略资源,其价格变动历来受到理论界与学术界的广泛关注。随着全球金融市场的飞速发展,石油成为国际市场交易量最大的大宗商品之一。石油价格变动表现出典型的金融资产属性,兼具资源属性与金融属性,决定了石油价格冲击传导机制错综复杂性。尚未有文献同时从资源属性和金融属性两个方面综合研究石油价格冲击对国民经济的影响。现有文献可以分为两类：一类文献以Hamilton (1996,1999)为代表,主要从生产链角度出发研究石油价格冲击对实体经济的影响；另一类文献以Sadorsky (1999)为代表,主要研究石油价格冲击对金融市场的传染性,包括股票市场、债券市场与期货市场等。为更加清晰地理顺石油价格冲击对国民经济的传导机制,本文则尝试通过构建动态一般均衡的方法综合考虑石油的双重属性,研究石油价格冲击对国民经济的传导机制。
首先,本文分析了石油价格冲击的特征事实,发现石油价格增长率具备典型金融资产收益率“尖峰厚尾”的属性,且其最显著的影响因子是自身滞后变量。SVAR模型检验发现短期内中国石油消费变动对国际石油价格的影响并不显著,证实了中国石油消费责任论只是国际炒家虚构的概念；而OECD国际石油库存变动则能够有效影响石油价格变动,从一定程度上说明了建立石油储备体系还具有重要的经济意义。除检验均值溢出效应之外,本文还采用Garch-BEKK模型检验了石油价格增长率、资产收益率、GDP增长率之间的波动溢出效应,发现国际石油价格增长率对国内资产价格收益率和GDP增长率具有显著的单向波动溢出,说明国际石油价格冲击的确是影响国内金融市场以及经济增长的重要风险因子。从均值溢出与波动溢出的实证结果来看,石油价格冲击在短期内可以视为影响国民经济的外生风险因子。
其次,基于本文关于石油价格冲击特征事实的实证结果,在石油价格外生假设前提下,本文建立了包含石油生产要素的动态随机一般均衡模型(DSGEModel)。动态随机一般均衡模型采用动态优化的方法解决各行为主体的跨期最优化选择问题,所有市场出清时实现一般均衡,且模型可通过模拟或脉冲响应等方式实现经济波动分析与预测、以及经济政策研究。在基本模型中,本文通过投入产出分析方法刻画了石油价格冲击的生产链渠道,在生产部门、家庭和外生冲击因素达到均衡时,经济就实现一般均衡。在稳态情况下,根据主要经济变量的历史数据和已有文献成果,采用实证估计或校准的方法确定了模型参数之后,通过脉冲响应和历史模拟的方法描述了石油价格、总产出、资本存量、居民消费等主要经济变量的动态关系。从模型的实证结果来看,石油价格变动与总产出变动之间体现出明显的逆周期性；模型并对总产出波动的解释程度达到37%,比不引入石油生产要素的模型提高近5个百分点；另外,通过模型模拟发现降低高耗能产业资本存量占比,石油消费价格弹性上升,总产出相对波动幅度下降；并发现当石油价格波动性下降,总产出波动幅度下降,波动频率降低,宏观风险下降。因此,本文首先验证了石油价格冲击的生产链渠道的存在,且石油消费价格弹性是决定生产链渠道传导作用强弱的主要因素。
为综合考察石油资源属性和金融属性对石油价格冲击传导机制的影响,本文在加入石油生产要素的动态随机一般均衡模型中继续引入银行部门。银行部门行为的刻画主要借鉴Bernanke (1999)等模型针对金融加速器的研究成果,主要考虑了信贷市场的信息不对称所带来的委托代理问题。模型中假定信贷渠道是经济环境中媒介居民储蓄和企业投资的主要渠道,基本符合我国金融体系以间接金融为主的现实特征,新增信贷规模成为影响资本积累的主要因素。在信贷市场信息不完全的情况下,影响信贷增量和贷款利率的因素除企业未来现金流之外还有可抵押资产价值。根据金融市场微观结构理论,由于金融市场之间信息传递作用,投资者可能根据一个市场收益率状况推断其他市场收益率变动。当市场发生较大波动时,虽然资产基本面迥然不同,也可能出现同向大幅波动,对此理论上的解释多集中于羊群效应、投资者情绪以及搜寻成本等。且本文关于石油价格增长率与国内资产收益率的实证分析已经验证了石油价格冲击对企业的可抵押资产价值存在均值溢出和波动溢出效应,石油价格冲击降低可抵押资产价值,导致企业贷款成本上升。与不含金融加速器的模型相比,贷款成本高于资本成本,贷款规模降幅上升,资本存量增长率向下偏离。从模拟数据波动性特征来看,加入金融加速器的动态随机一般均衡模型总产出波动的解释程度上升至52%,一定程度上验证了石油价格冲击的信贷渠道的存在。
动态随机一般均衡模型的建立为经济政策研究提供了良好的研究框架,一定程度上弥补了社会科学研究缺乏实验机会的缺憾,目前主要发达经济国家的中央银行均已建立了自己的动态随机一般均衡模型作为决策时主要的参考依据。因此,本文在前文模型基础上再引入政府部门,试图考察政策干预对石油价格冲击传导机制的影响。在货币政策的设定上,本文主要研究对象是价格调控手段,主要原因在于：一方面数量调控工具缺乏有效的衡量指标,文献研究也多发现了货币流通速度的不稳定性导致货币供给量难以衡量,且在模型分析中不易介入；另一方面,虽然我国尚未实现完全的利率市场化,但是本文实证分析的时间维度为季度,模型中刻画以基准存贷利率为操作工具的货币政策具备一定的现实意义。本文通过平滑的泰勒规则来刻画货币政策1,利率主要盯住预期通货膨胀率与产出缺口。模拟发现,由于石油价格冲击对预期通货膨胀率影响超过对总产出的影响程度,因此在盯住预期通胀率的货币政策干预下,企业贷款利率上升幅度更大,从而导致企业贷款下降幅度更大,总产出波动性上升。因此,本文认为在面对外生的石油价格冲击时,货币政策应该更多地关注核心通胀率。在财政政策干预的方面,本文重点分析了石油消费税对石油价格冲击的传导机制。通过模拟发现,石油消费税的征收与单纯石油价格不同之处是,石油消费税还会通过政府购买带来总需求的上升,而且石油消费税的征收可以提高低耗能资本的占比,从而增强国民经济应对石油价格冲击的抵抗力。此外,国内石油产品定价机制尚未完全理顺,虽然原油价格价格已经完全与国外接轨,但是成品油价格依然是由发改委确定,受垄断部门影响较大。本文没有单独将中石油、中石化等垄断部门作为独立参与主体进行分析,而是将其视同具有政府性质的公共部门。实际上,垄断加成与能源消费税的直接影响是相同的,不同之处仅在于再分配环节。
前文通过理论模型和经验验证的方式研究了石油价格冲击对国民经济的传导机制,发现三个传导机制中影响最大的是货币政策渠道,其次是信贷渠道,最后才是生产链渠道。因此,本文认为考虑降低虚拟经济部门对石油价格冲击传播的放大作用,具有很强的现实意义。本文接着分析了石油期货市场建立的必要性,分析的依据是,前文发现石油价格波动性下降,以及提高石油价格波动的顺周期性,有利于降低宏观经济风险。从期货理论角度分析了期货市场建立对石油价格波动、体现本国需求的重要性,并以燃料油期货市场为例,利用VAR和GARCH-BEKK模型分析了国内期货市场价格、现货市场价格以及新加坡现货市场价格之间的均值溢出效应和波动溢出效应,并发现：虽然本国燃料油期货市场发育尚不完善,但对新加坡燃料油价格也存在均值和波动溢出效应,说明期货市场的建立与不断完善对平抑市场价格波动、反应本国实际供求有较强的实践价值。
本文主要可能的创新之处在于：一是作为宏观数量分析工具的动态随机一般均衡模型(DSGE)已经被广泛用于经济波动分析与预测、货币政策以及金融稳定等领域。而动态随机一般均衡模型模型得到广泛应用的原因在于研究者可以根据分析目的自主调整行为主体目标函数、经济环境以及不确定性因素(外部冲击因子)等。本文的创新之处是利用动态随机一般均衡模型作为全文的主要分析工具,逐步分析了石油价格冲击传导机制中的生产链渠道、信贷渠道和货币政策渠道,最终将三个渠道同时纳入到模型中,并发现货币政策渠道是石油价格冲击传导机制中影响最显著。二是从两个角度综合考虑了石油价格冲击对国民经济的影响：石油资源属性主要影响石油价格冲击的生产链渠道,若降低生产过程中对石油的依赖程度,总产出波动将有所下降；石油金融属性则主要影响石油价格冲击的信贷渠道和货币政策渠道,若通过有效途径降低石油价格波动对国内资产价格波动的传染效应,则石油价格冲击所导致的总产出波动会有所下降；另一方面,若货币政策降低由外生的石油价格冲击所带来的物价水平上涨,更多关注核心通胀率指标,有利于降低石油价格冲击的间接影响。不足之处在于：与多数国内动态随机一般均衡模型文献相似,本文模型建立在封闭经济环境下。然而,笔者也认为随着我国对国际石油价格话语权的提升,建立多国动态随机一般均衡模型可能是未来的研究方向。
As an important strategic resource, oil price shocks are widely concerned by the economists. With the rapid development of global financial markets, oil has become one of the largest commodities. Oil price changes show the typical financial property, including the resource property and the financial attribute, which determine the intricacies of the oil price shock's transmission mechanism. Nowdays there is no literature, from both the resource property and the financial property, researching the effects of the oil price shocks on national economy. The existing literature can be divided into two categories:one is represented by Hamilton (1996,1999), studying the oil price shocks towards economy from the perspective of industry chain; Other is represented by Sadorsky (1999), researching the main infectious on oil price shocks towards the stock market, bond market and futures market. In this paper, we tried starting the research both on the resource property and the financial attribute.
First of all, we analyze the facts of oil price shocks. We found that the most significant variable of the growth rate of oil prices is its own lagged variables, and we also found that the impact of China's oil consumption to international oil prices is not significant in the short-term. It also proved that oil inventories can effectively change oil prices, which means "the importance of the oil reserve system". And on Garch-BEKK models we examined the volatility spillover effect between growth rate of oil prices, growth rate of assets and growth rate of GDP. The result is the international price of oil yield rate of return on domestic asset prices and GDP growth has unidirectional volatility spillover to verify that international oil prices is one of the risk factors for China's national economic development.
Secondly, based on the empirical findings of the third chapter, under the assumption of oil prices exogenous, with oil-producing elements of the dynamic general equilibrium model, historical data and draw on existing literature by estimating the calibration model in the steady-state parameters,impulse response and simulation, describing the oil price shocks, the dynamic relationship between the total output, capital stock, return on capital, consumer and other economic variables, reported changes in oil prices and the total outputchanges between the inverse cyclical. On this basis, reduce the proportion of the capital stock of the high energy-consuming industries, the simulation found that the relative volatility of the total output decline, the price elasticity of oil consumption rose; In addition, we found that the fluctuations in oil prices decline, the total output fluctuations reduced fluctuations in the frequency lower. Therefore, in a sense, the drop in oil prices, the macroeconomic risks decline, verify that the oil price shocks of the industry chain channels.
In order to consider the oil price shocks through the virtual channels of economic impact on national economy, a brief analysis of the conditions that reflect the state of our financial system, assume that the model bank is the only financial institution of the media savings and investment. This article draw on the financial accelerator model of Bernanke,(1999) and other settings, the main consideration of financial markets, asymmetric information, principal-agent problems. Factors that affect the pricing of bank loans, including the production and future cash flow and enterprise value of the assets can be secured. Under Chapter III of empirical findings, the oil price shocks affect the value of collateral assets, resulting in rising costs of business loans. Compared with the financial accelerator model, rising borrowing costs, new loans decreased, leading to the decline in capital stock growth rate of total output growth for the fluctuations increase. In order to join the financial accelerator model interpretation of the main economic variables rise, confirmed the presence of oil price shocks of the credit channel.
Finally, the dynamic general equilibrium models to policy experiments provide a good tool, economic studies and natural sciences, lack of opportunity to sample empirical exists. Therefore, the financial accelerator model based on the introduction of government departments. Empirical Analysis of the Taylor rule of monetary policy in response to oil price shocks, will enlarge the total output volatility, mainly due to the use of the Taylor rule, due to rising oil prices impact on inflation magnitude higher than the aggregate output affect the magnitude of oil price shocks will first result in the expected inflation rate, leading to rising interest rates, corporate lending rates rose even more sharply. Therefore, the proposed monetary policy to reduce the sensitivity of the expected rate of inflation caused by exogenous oil price shocks. In addition, the introduction of the oil consumption tax, oil consumption tax levied can reduce the proportion of the steady-state in high energy consuming industries, and enhance the national economy the ability to respond to oil price shocks.
The last chapter analyzes the necessity created by the oil futures market, the analysis is based on fluctuations in oil prices decline, and help to reduce the macroeconomic risks. Theoretical point of view from the futures futures market to establish on the fluctuations in oil prices, reflecting the importance of domestic demand, and fuel oil futures market, for example, the use of VAR and GARCH-BEKK model to analyze the price of the domestic futures market, spot market prices, and Singapore mean spillovers between the spot market price and volatility spillovers. Found that, although the domestic fuel oil futures market development is not perfect, but the Singapore fuel oil prices also mean and volatility spillover effects, indicating that the futures market to establish and continuously improve a strong practice to stabilize the market price fluctuations, actual supply and demand of the reaction of their own value.
首先,本文分析了石油价格冲击的特征事实,发现石油价格增长率具备典型金融资产收益率“尖峰厚尾”的属性,且其最显著的影响因子是自身滞后变量。SVAR模型检验发现短期内中国石油消费变动对国际石油价格的影响并不显著,证实了中国石油消费责任论只是国际炒家虚构的概念；而OECD国际石油库存变动则能够有效影响石油价格变动,从一定程度上说明了建立石油储备体系还具有重要的经济意义。除检验均值溢出效应之外,本文还采用Garch-BEKK模型检验了石油价格增长率、资产收益率、GDP增长率之间的波动溢出效应,发现国际石油价格增长率对国内资产价格收益率和GDP增长率具有显著的单向波动溢出,说明国际石油价格冲击的确是影响国内金融市场以及经济增长的重要风险因子。从均值溢出与波动溢出的实证结果来看,石油价格冲击在短期内可以视为影响国民经济的外生风险因子。
其次,基于本文关于石油价格冲击特征事实的实证结果,在石油价格外生假设前提下,本文建立了包含石油生产要素的动态随机一般均衡模型(DSGEModel)。动态随机一般均衡模型采用动态优化的方法解决各行为主体的跨期最优化选择问题,所有市场出清时实现一般均衡,且模型可通过模拟或脉冲响应等方式实现经济波动分析与预测、以及经济政策研究。在基本模型中,本文通过投入产出分析方法刻画了石油价格冲击的生产链渠道,在生产部门、家庭和外生冲击因素达到均衡时,经济就实现一般均衡。在稳态情况下,根据主要经济变量的历史数据和已有文献成果,采用实证估计或校准的方法确定了模型参数之后,通过脉冲响应和历史模拟的方法描述了石油价格、总产出、资本存量、居民消费等主要经济变量的动态关系。从模型的实证结果来看,石油价格变动与总产出变动之间体现出明显的逆周期性；模型并对总产出波动的解释程度达到37%,比不引入石油生产要素的模型提高近5个百分点；另外,通过模型模拟发现降低高耗能产业资本存量占比,石油消费价格弹性上升,总产出相对波动幅度下降；并发现当石油价格波动性下降,总产出波动幅度下降,波动频率降低,宏观风险下降。因此,本文首先验证了石油价格冲击的生产链渠道的存在,且石油消费价格弹性是决定生产链渠道传导作用强弱的主要因素。
为综合考察石油资源属性和金融属性对石油价格冲击传导机制的影响,本文在加入石油生产要素的动态随机一般均衡模型中继续引入银行部门。银行部门行为的刻画主要借鉴Bernanke (1999)等模型针对金融加速器的研究成果,主要考虑了信贷市场的信息不对称所带来的委托代理问题。模型中假定信贷渠道是经济环境中媒介居民储蓄和企业投资的主要渠道,基本符合我国金融体系以间接金融为主的现实特征,新增信贷规模成为影响资本积累的主要因素。在信贷市场信息不完全的情况下,影响信贷增量和贷款利率的因素除企业未来现金流之外还有可抵押资产价值。根据金融市场微观结构理论,由于金融市场之间信息传递作用,投资者可能根据一个市场收益率状况推断其他市场收益率变动。当市场发生较大波动时,虽然资产基本面迥然不同,也可能出现同向大幅波动,对此理论上的解释多集中于羊群效应、投资者情绪以及搜寻成本等。且本文关于石油价格增长率与国内资产收益率的实证分析已经验证了石油价格冲击对企业的可抵押资产价值存在均值溢出和波动溢出效应,石油价格冲击降低可抵押资产价值,导致企业贷款成本上升。与不含金融加速器的模型相比,贷款成本高于资本成本,贷款规模降幅上升,资本存量增长率向下偏离。从模拟数据波动性特征来看,加入金融加速器的动态随机一般均衡模型总产出波动的解释程度上升至52%,一定程度上验证了石油价格冲击的信贷渠道的存在。
动态随机一般均衡模型的建立为经济政策研究提供了良好的研究框架,一定程度上弥补了社会科学研究缺乏实验机会的缺憾,目前主要发达经济国家的中央银行均已建立了自己的动态随机一般均衡模型作为决策时主要的参考依据。因此,本文在前文模型基础上再引入政府部门,试图考察政策干预对石油价格冲击传导机制的影响。在货币政策的设定上,本文主要研究对象是价格调控手段,主要原因在于：一方面数量调控工具缺乏有效的衡量指标,文献研究也多发现了货币流通速度的不稳定性导致货币供给量难以衡量,且在模型分析中不易介入；另一方面,虽然我国尚未实现完全的利率市场化,但是本文实证分析的时间维度为季度,模型中刻画以基准存贷利率为操作工具的货币政策具备一定的现实意义。本文通过平滑的泰勒规则来刻画货币政策1,利率主要盯住预期通货膨胀率与产出缺口。模拟发现,由于石油价格冲击对预期通货膨胀率影响超过对总产出的影响程度,因此在盯住预期通胀率的货币政策干预下,企业贷款利率上升幅度更大,从而导致企业贷款下降幅度更大,总产出波动性上升。因此,本文认为在面对外生的石油价格冲击时,货币政策应该更多地关注核心通胀率。在财政政策干预的方面,本文重点分析了石油消费税对石油价格冲击的传导机制。通过模拟发现,石油消费税的征收与单纯石油价格不同之处是,石油消费税还会通过政府购买带来总需求的上升,而且石油消费税的征收可以提高低耗能资本的占比,从而增强国民经济应对石油价格冲击的抵抗力。此外,国内石油产品定价机制尚未完全理顺,虽然原油价格价格已经完全与国外接轨,但是成品油价格依然是由发改委确定,受垄断部门影响较大。本文没有单独将中石油、中石化等垄断部门作为独立参与主体进行分析,而是将其视同具有政府性质的公共部门。实际上,垄断加成与能源消费税的直接影响是相同的,不同之处仅在于再分配环节。
前文通过理论模型和经验验证的方式研究了石油价格冲击对国民经济的传导机制,发现三个传导机制中影响最大的是货币政策渠道,其次是信贷渠道,最后才是生产链渠道。因此,本文认为考虑降低虚拟经济部门对石油价格冲击传播的放大作用,具有很强的现实意义。本文接着分析了石油期货市场建立的必要性,分析的依据是,前文发现石油价格波动性下降,以及提高石油价格波动的顺周期性,有利于降低宏观经济风险。从期货理论角度分析了期货市场建立对石油价格波动、体现本国需求的重要性,并以燃料油期货市场为例,利用VAR和GARCH-BEKK模型分析了国内期货市场价格、现货市场价格以及新加坡现货市场价格之间的均值溢出效应和波动溢出效应,并发现：虽然本国燃料油期货市场发育尚不完善,但对新加坡燃料油价格也存在均值和波动溢出效应,说明期货市场的建立与不断完善对平抑市场价格波动、反应本国实际供求有较强的实践价值。
本文主要可能的创新之处在于：一是作为宏观数量分析工具的动态随机一般均衡模型(DSGE)已经被广泛用于经济波动分析与预测、货币政策以及金融稳定等领域。而动态随机一般均衡模型模型得到广泛应用的原因在于研究者可以根据分析目的自主调整行为主体目标函数、经济环境以及不确定性因素(外部冲击因子)等。本文的创新之处是利用动态随机一般均衡模型作为全文的主要分析工具,逐步分析了石油价格冲击传导机制中的生产链渠道、信贷渠道和货币政策渠道,最终将三个渠道同时纳入到模型中,并发现货币政策渠道是石油价格冲击传导机制中影响最显著。二是从两个角度综合考虑了石油价格冲击对国民经济的影响：石油资源属性主要影响石油价格冲击的生产链渠道,若降低生产过程中对石油的依赖程度,总产出波动将有所下降；石油金融属性则主要影响石油价格冲击的信贷渠道和货币政策渠道,若通过有效途径降低石油价格波动对国内资产价格波动的传染效应,则石油价格冲击所导致的总产出波动会有所下降；另一方面,若货币政策降低由外生的石油价格冲击所带来的物价水平上涨,更多关注核心通胀率指标,有利于降低石油价格冲击的间接影响。不足之处在于：与多数国内动态随机一般均衡模型文献相似,本文模型建立在封闭经济环境下。然而,笔者也认为随着我国对国际石油价格话语权的提升,建立多国动态随机一般均衡模型可能是未来的研究方向。
As an important strategic resource, oil price shocks are widely concerned by the economists. With the rapid development of global financial markets, oil has become one of the largest commodities. Oil price changes show the typical financial property, including the resource property and the financial attribute, which determine the intricacies of the oil price shock's transmission mechanism. Nowdays there is no literature, from both the resource property and the financial property, researching the effects of the oil price shocks on national economy. The existing literature can be divided into two categories:one is represented by Hamilton (1996,1999), studying the oil price shocks towards economy from the perspective of industry chain; Other is represented by Sadorsky (1999), researching the main infectious on oil price shocks towards the stock market, bond market and futures market. In this paper, we tried starting the research both on the resource property and the financial attribute.
First of all, we analyze the facts of oil price shocks. We found that the most significant variable of the growth rate of oil prices is its own lagged variables, and we also found that the impact of China's oil consumption to international oil prices is not significant in the short-term. It also proved that oil inventories can effectively change oil prices, which means "the importance of the oil reserve system". And on Garch-BEKK models we examined the volatility spillover effect between growth rate of oil prices, growth rate of assets and growth rate of GDP. The result is the international price of oil yield rate of return on domestic asset prices and GDP growth has unidirectional volatility spillover to verify that international oil prices is one of the risk factors for China's national economic development.
Secondly, based on the empirical findings of the third chapter, under the assumption of oil prices exogenous, with oil-producing elements of the dynamic general equilibrium model, historical data and draw on existing literature by estimating the calibration model in the steady-state parameters,impulse response and simulation, describing the oil price shocks, the dynamic relationship between the total output, capital stock, return on capital, consumer and other economic variables, reported changes in oil prices and the total outputchanges between the inverse cyclical. On this basis, reduce the proportion of the capital stock of the high energy-consuming industries, the simulation found that the relative volatility of the total output decline, the price elasticity of oil consumption rose; In addition, we found that the fluctuations in oil prices decline, the total output fluctuations reduced fluctuations in the frequency lower. Therefore, in a sense, the drop in oil prices, the macroeconomic risks decline, verify that the oil price shocks of the industry chain channels.
In order to consider the oil price shocks through the virtual channels of economic impact on national economy, a brief analysis of the conditions that reflect the state of our financial system, assume that the model bank is the only financial institution of the media savings and investment. This article draw on the financial accelerator model of Bernanke,(1999) and other settings, the main consideration of financial markets, asymmetric information, principal-agent problems. Factors that affect the pricing of bank loans, including the production and future cash flow and enterprise value of the assets can be secured. Under Chapter III of empirical findings, the oil price shocks affect the value of collateral assets, resulting in rising costs of business loans. Compared with the financial accelerator model, rising borrowing costs, new loans decreased, leading to the decline in capital stock growth rate of total output growth for the fluctuations increase. In order to join the financial accelerator model interpretation of the main economic variables rise, confirmed the presence of oil price shocks of the credit channel.
Finally, the dynamic general equilibrium models to policy experiments provide a good tool, economic studies and natural sciences, lack of opportunity to sample empirical exists. Therefore, the financial accelerator model based on the introduction of government departments. Empirical Analysis of the Taylor rule of monetary policy in response to oil price shocks, will enlarge the total output volatility, mainly due to the use of the Taylor rule, due to rising oil prices impact on inflation magnitude higher than the aggregate output affect the magnitude of oil price shocks will first result in the expected inflation rate, leading to rising interest rates, corporate lending rates rose even more sharply. Therefore, the proposed monetary policy to reduce the sensitivity of the expected rate of inflation caused by exogenous oil price shocks. In addition, the introduction of the oil consumption tax, oil consumption tax levied can reduce the proportion of the steady-state in high energy consuming industries, and enhance the national economy the ability to respond to oil price shocks.
The last chapter analyzes the necessity created by the oil futures market, the analysis is based on fluctuations in oil prices decline, and help to reduce the macroeconomic risks. Theoretical point of view from the futures futures market to establish on the fluctuations in oil prices, reflecting the importance of domestic demand, and fuel oil futures market, for example, the use of VAR and GARCH-BEKK model to analyze the price of the domestic futures market, spot market prices, and Singapore mean spillovers between the spot market price and volatility spillovers. Found that, although the domestic fuel oil futures market development is not perfect, but the Singapore fuel oil prices also mean and volatility spillover effects, indicating that the futures market to establish and continuously improve a strong practice to stabilize the market price fluctuations, actual supply and demand of the reaction of their own value.
引文
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林永生等,2010：石油价格、经济增长与可持续发展,北京师范大学学报,第1期,第132-139页。
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王小鲁,樊纲等,2000：中国经济增长的可持续性,经济科学出版社。
吴磊,2003：中国石油安全,北京,中国社会科学出版社。
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杨继生,2009：国内外能源相对价格与中国的能源效率,经济学家,第4期,第90-97页。
虞伟荣,胡海鸥,2004：石油价格冲击对美国和中国实际汇率的影响,国际金融研究,第12期,第33-39页。
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张军、章元,2003：再论中国资本存量的估计方法,经济研究,第7期。
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何枫,陈荣,何林,2003：我国资本存量的估算及其相关分析,经济学家,第29-33页。
侯乃堃,齐中英,2009：基于油价冲击分解的石油价格波动与经济增长的动态变化关系研究,中国软科学,第8期,第132-143页。
黄赜琳,2005：中国经济周期特征与财政政策效应,经济研究第6期,27-39。
焦建玲,廖华,2008：燃料油期货市场运行效率实证分析,中国能源,第30(2)期,35-38页。
金洪飞,金荤,2008：石油价格与股票市场的溢出效应,金融研究,第2期,第83-98页。
李颢,周力扬,2009：一个具有双寡头垄断性质的三边贸易模型,财经研究,第7期,第76-87页。
李治国、唐国兴,2003：资本形成路径与资本存量调整模型,经济研究,第2期。
林永生等,2010：石油价格、经济增长与可持续发展,北京师范大学学报,第1期,第132-139页。
刘强,2005：石油价格变化对中国经济影响的模型研究,数量经济技术经济研究,第22卷第3期,第16-27页。
梅孝峰,2001：国际市场油价波动分析,北京大学中国经济研究中心讨论稿,5月。
孙泽生,2009：石油国内税的价格效应,世界经济研究,第11期,第50-56页。
王璐,韩立岩,2007：中国产业层面的石油风险关联,世界经济,第1期,第64-72页。
魏巍贤,林伯强,2007：国内外石油价格波动性及其相互关系,经济研究,第12期,第130-141页。
王小鲁,樊纲等,2000：中国经济增长的可持续性,经济科学出版社。
吴磊,2003：中国石油安全,北京,中国社会科学出版社。
谢平、罗雄,2002：泰勒规则及其在中国货币政策中的检验,经济研究第3期,3-12。
杨继生,2009：国内外能源相对价格与中国的能源效率,经济学家,第4期,第90-97页。
虞伟荣,胡海鸥,2004：石油价格冲击对美国和中国实际汇率的影响,国际金融研究,第12期,第33-39页。
张军,吴桂英,张吉鹏,2004：中国省际物质资本存量估算：1952-2000,经济研究,第10期,第35-43页。
张军、章元,2003：再论中国资本存量的估计方法,经济研究,第7期。
张玉喜,2010：货币与经济周期：理论发展及其评述,当代经济研究第5期,52-56。