国际原油价格对中国股票市场的“溢出效应”及其传导机制研究
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摘要
原油作为最基础的能源和化工原料,被誉为现代工业的“血液”,在国民经济的发展中起着举足轻重的作用。尤其是二战以后,原油已经超越煤炭,成为全球第一大能源。随着世界经济对原油依赖性越来越强,原油价格波动也日益剧烈。2003年原油价格为30美元/桶,2004年原油价格突破40美元/桶,2006年原油价格超过60美元/桶,2008年7月更是创纪录地达到145美元/桶的历史高点。原油价格波动如此之大,起伏如此之快,可以说是前所未有。
中国作为世界第一大能源消费国,近几年对原油消耗量与日俱增。2001年,我国原油对外依存度还只有27%,2010年,我国原油对外依存度已经高达54%,现在更是超过美国,达到55%以上。理论上,原油对外依存度如此之高,剧烈的国际油价波动不可避免会对我国宏观经济产生意外冲击。如果股票市场是有效的,原油对宏观经济的冲击势必在股票市场上也会有所反映。A股市场上热传甚广的“中石油魔咒”即是投资者对这种反映的一种形象化描述。
然而,目前国内学者多关注原油价格与我国宏观经济的关系,而较少关注原油价格与我国股票市场的关系。而对这两个市场关系和作用机制的研究无论是从国家金融安全,还是从资产配置、风险防范角度都具有重要的理论意义和现实意义。
本文首先梳理相关文献,对市场间的“溢出效应”进行了界定,然后使用股改后数据从均值和波动率两个维度对国际原油价格对我国股票市场的“溢出效应”进行了测度。发现在股市平缓期间,原油价格对股票市场有着显著的负向冲击作用,这说明随着原油对外依存度不断提高,国际原油价格已经成为影响我国资本市场走势不可忽视的力量,同时也说明股改后我国资本市场有效性得到了显著提高。但是在牛市和熊市极端情形下,协整检验和Granger检验均认为原油价格与股票市场没有显著关系,说明市场在这两个时期的有效性较弱。使用滚动样本法进行的稳健性检验表明,该结论具有很好的稳定性。此外,使用DCC-GARCH模型检验表明,国际原油价格与股票市场存在正向的波动溢出效应,即一个市场的风险的会显著传染至另一市场。
在确认“溢出效应”存在的情况下,本文开始探讨这种效应的传导机制,这在很多文献中被视为“黑箱”。我们分别从经济产出、利率、流动性和财富转移四个方面进行了探讨。其中,经济产出和利率传导机制是从资产估值角度切入的,流动性和财富转移则是从资产需求角度切入的。研究结论认为：(1)当国际原油价格上涨时,国内经济产出一般会下降,而经济产出在很多时候是表征企业现金流的,企业现金流减少,股票价值降低,股票市场从而出现下跌；(2)由于相对价格体系灵活性不够,国际原油价格上涨还会导致一般物价水平上升,从而降低居民的实际货币余额,推升国内利率走高,而贴现率与利率高度相关,由此导致股票价值降低。(3)当国际原油价格上涨时,由于原油的需求弹性较小,对外进口支出会增加,国际收支出现恶化,在固定汇率制度下,国际收支无法通过汇率予以调节,只能通过国外国内相对价格来调节,而要实现这一目的,就必须降低国内流动性,从而导致股票市场上货币流动性趋向紧缩,压制股票的需求,从而股票价格下跌。(4)当国际原油价格上涨时,原油进口国的财富被转移至原油出口国,居民收入增速降低,为了维持既定的消费水平,公众会选择抛售股票,从而导致股票价格下跌。
最后,本文在总结研究结论的基础上,提出了两市场的投资策略以及政策层面的建议。
Crude oil, as the most basic energy and chemical raw materials, is called the blood of modern industry. It plays a decisive role in the development of national economy. Especially after the World War Ⅱ, the crude oil has been excess the coal, to become the world's largest energy. For the reason that the world economy is more and more dependent on crude oil, crude oil price fluctuations are also increasingly fierce. In2003crude oil is$30a barrel. In2004, it breaks through40dollars/barrel. When it comes to2006, it is more than60U.S. dollars/barrel. In July2008, it is reached a record of$145a barrel. Crude oil price volatility is so big and quick which is hither to unknown.
China, as the world's largest energy consumer, the consumption of crude oil grow with each passing day. In2001, China's dependence on foreign oil is only27%. While in2010, China's dependence on foreign oil is high up to54%, now is more than the United States, reaching more than55%. In theory, high dependence on foreign oil and sharp fluctuations in international oil prices will produces unexpected shock to our country economy inevitably. If the stock market is effective, the crude oil on the macroeconomic impact which bound in the stock market will be reflected. The "oil curse" is an image description of the investor to this reflects on "A stock market".
However, the domestic scholars pay more attention to crude oil price and China's macroeconomic relationships, while little attention is paid to the price of crude oil and the stock market relationships in China. On the two market relationship and interaction mechanism of either from the financial security of the state, or from the asset allocation, risk prevention angle has the important theory significance and the practical significance.
This paper uses the shares after the data from the mean and volatility of two dimensions of international crude oil price on China's stock market "spillover effect" of the measure. Found in the stock market during the period of flat, crude oil prices on the stock market have a significant negative impact, this shows that with the increasing dependence on foreign oil, international oil price has already become China's capital market power which can not be ignored, but also after the share reform of Chinese capital market efficiency had been improved significantly. But in a bull market and bear market in extreme cases, co-integration test and Granger test showed that the price of crude oil has no significant relationship with the stock market, the market in the two period of weaker effectiveness. The use of rolling sample method for robust test shows that, this conclusion has good stability. In addition, the use of DCC-GARCH model test shows that the international crude oil prices and the stock market volatility spillover effect are positive, i.e. a market volatility rate can increase significantly the other market volatility.
Then, this paper begins to explore this "spillover effect" of the conduction mechanism. We were from the economic output, interest rate, liquidity and wealth transfer four respects undertook discussing, among them, the economic output and the transmission mechanism of interest rate from the perspective of the valuation of assets, liquidity and wealth transfer is from the angle of asset demand. The study concluded that: First,when the international crude oil prices increases, domestic economic output will generally fall in economic output and in many cases is the characterization of corporate cash flow. When cash flow is reduced, the stock market will fall; Second, due to the relative price system is not flexible enough, the international crude oil prices also led to the general level of prices rise, thereby reducing the residents of real money balances. It pushes up domestic higher interest rates, and the discount rate and the interest rate are highly correlated, which lead to stock value. Third,When the international crude oil prices increases, the elasticity of demand is small. Then foreign import expenditure increases, international balance of payments worsen. In the fixed exchange rate system, the balance of payments can be mediated through the exchange rate. Only through the foreign and domestic relative price adjustment, and to achieve this goal, we must reduce domestic liquidity, which lead to stock market liquidity and become tighter, pressing demand for shares and stock prices. Fourth,when the international crude oil prices increases, crude oil import country's wealth is transferred to the crude oil export country, income growth rate is reduced, in order to maintain a predetermined level of consumption, the public can choose to sell stock, leading to a decline in stock price.
中国作为世界第一大能源消费国,近几年对原油消耗量与日俱增。2001年,我国原油对外依存度还只有27%,2010年,我国原油对外依存度已经高达54%,现在更是超过美国,达到55%以上。理论上,原油对外依存度如此之高,剧烈的国际油价波动不可避免会对我国宏观经济产生意外冲击。如果股票市场是有效的,原油对宏观经济的冲击势必在股票市场上也会有所反映。A股市场上热传甚广的“中石油魔咒”即是投资者对这种反映的一种形象化描述。
然而,目前国内学者多关注原油价格与我国宏观经济的关系,而较少关注原油价格与我国股票市场的关系。而对这两个市场关系和作用机制的研究无论是从国家金融安全,还是从资产配置、风险防范角度都具有重要的理论意义和现实意义。
本文首先梳理相关文献,对市场间的“溢出效应”进行了界定,然后使用股改后数据从均值和波动率两个维度对国际原油价格对我国股票市场的“溢出效应”进行了测度。发现在股市平缓期间,原油价格对股票市场有着显著的负向冲击作用,这说明随着原油对外依存度不断提高,国际原油价格已经成为影响我国资本市场走势不可忽视的力量,同时也说明股改后我国资本市场有效性得到了显著提高。但是在牛市和熊市极端情形下,协整检验和Granger检验均认为原油价格与股票市场没有显著关系,说明市场在这两个时期的有效性较弱。使用滚动样本法进行的稳健性检验表明,该结论具有很好的稳定性。此外,使用DCC-GARCH模型检验表明,国际原油价格与股票市场存在正向的波动溢出效应,即一个市场的风险的会显著传染至另一市场。
在确认“溢出效应”存在的情况下,本文开始探讨这种效应的传导机制,这在很多文献中被视为“黑箱”。我们分别从经济产出、利率、流动性和财富转移四个方面进行了探讨。其中,经济产出和利率传导机制是从资产估值角度切入的,流动性和财富转移则是从资产需求角度切入的。研究结论认为：(1)当国际原油价格上涨时,国内经济产出一般会下降,而经济产出在很多时候是表征企业现金流的,企业现金流减少,股票价值降低,股票市场从而出现下跌；(2)由于相对价格体系灵活性不够,国际原油价格上涨还会导致一般物价水平上升,从而降低居民的实际货币余额,推升国内利率走高,而贴现率与利率高度相关,由此导致股票价值降低。(3)当国际原油价格上涨时,由于原油的需求弹性较小,对外进口支出会增加,国际收支出现恶化,在固定汇率制度下,国际收支无法通过汇率予以调节,只能通过国外国内相对价格来调节,而要实现这一目的,就必须降低国内流动性,从而导致股票市场上货币流动性趋向紧缩,压制股票的需求,从而股票价格下跌。(4)当国际原油价格上涨时,原油进口国的财富被转移至原油出口国,居民收入增速降低,为了维持既定的消费水平,公众会选择抛售股票,从而导致股票价格下跌。
最后,本文在总结研究结论的基础上,提出了两市场的投资策略以及政策层面的建议。
Crude oil, as the most basic energy and chemical raw materials, is called the blood of modern industry. It plays a decisive role in the development of national economy. Especially after the World War Ⅱ, the crude oil has been excess the coal, to become the world's largest energy. For the reason that the world economy is more and more dependent on crude oil, crude oil price fluctuations are also increasingly fierce. In2003crude oil is$30a barrel. In2004, it breaks through40dollars/barrel. When it comes to2006, it is more than60U.S. dollars/barrel. In July2008, it is reached a record of$145a barrel. Crude oil price volatility is so big and quick which is hither to unknown.
China, as the world's largest energy consumer, the consumption of crude oil grow with each passing day. In2001, China's dependence on foreign oil is only27%. While in2010, China's dependence on foreign oil is high up to54%, now is more than the United States, reaching more than55%. In theory, high dependence on foreign oil and sharp fluctuations in international oil prices will produces unexpected shock to our country economy inevitably. If the stock market is effective, the crude oil on the macroeconomic impact which bound in the stock market will be reflected. The "oil curse" is an image description of the investor to this reflects on "A stock market".
However, the domestic scholars pay more attention to crude oil price and China's macroeconomic relationships, while little attention is paid to the price of crude oil and the stock market relationships in China. On the two market relationship and interaction mechanism of either from the financial security of the state, or from the asset allocation, risk prevention angle has the important theory significance and the practical significance.
This paper uses the shares after the data from the mean and volatility of two dimensions of international crude oil price on China's stock market "spillover effect" of the measure. Found in the stock market during the period of flat, crude oil prices on the stock market have a significant negative impact, this shows that with the increasing dependence on foreign oil, international oil price has already become China's capital market power which can not be ignored, but also after the share reform of Chinese capital market efficiency had been improved significantly. But in a bull market and bear market in extreme cases, co-integration test and Granger test showed that the price of crude oil has no significant relationship with the stock market, the market in the two period of weaker effectiveness. The use of rolling sample method for robust test shows that, this conclusion has good stability. In addition, the use of DCC-GARCH model test shows that the international crude oil prices and the stock market volatility spillover effect are positive, i.e. a market volatility rate can increase significantly the other market volatility.
Then, this paper begins to explore this "spillover effect" of the conduction mechanism. We were from the economic output, interest rate, liquidity and wealth transfer four respects undertook discussing, among them, the economic output and the transmission mechanism of interest rate from the perspective of the valuation of assets, liquidity and wealth transfer is from the angle of asset demand. The study concluded that: First,when the international crude oil prices increases, domestic economic output will generally fall in economic output and in many cases is the characterization of corporate cash flow. When cash flow is reduced, the stock market will fall; Second, due to the relative price system is not flexible enough, the international crude oil prices also led to the general level of prices rise, thereby reducing the residents of real money balances. It pushes up domestic higher interest rates, and the discount rate and the interest rate are highly correlated, which lead to stock value. Third,When the international crude oil prices increases, the elasticity of demand is small. Then foreign import expenditure increases, international balance of payments worsen. In the fixed exchange rate system, the balance of payments can be mediated through the exchange rate. Only through the foreign and domestic relative price adjustment, and to achieve this goal, we must reduce domestic liquidity, which lead to stock market liquidity and become tighter, pressing demand for shares and stock prices. Fourth,when the international crude oil prices increases, crude oil import country's wealth is transferred to the crude oil export country, income growth rate is reduced, in order to maintain a predetermined level of consumption, the public can choose to sell stock, leading to a decline in stock price.
引文
1按照国际经验,石油对外依存度达到50%便应该引起重视,我国近几年石油消费增速越来越快,目前已经超过55%,而且年增速较大,从近年来的统计数据中可以看到,我国原油对外依存度每年约提高3%。
2实际上市场上已经意识到国际原油价格可能会对中国股票市场产生影响,但对其中的作用机制还不清楚。很多股民认为只要中国石油和中国石化两只股票大涨,随后大盘就会下跌,并将其形象化地称为“中石油魔咒”,其在最近的多次市场走势预测中屡试不爽。关于该现象的解释,有“掩护撤退论”,即大资金为了在不影响大盘指数的情况下卖空其他股票,故意拉升中石油等大盘股价格；“股指期货操纵论”,即大资金先在股指期货开好空仓,然后拉抬中石油打压股指,从而在股指期货上做空获利。“完全巧合论”即认为这种现象完全是一种巧合,不具有持续稳定性。我们更倾向从基本面角度来看待这一问题。国际油价上涨利好石油类股票,但却不利于整个经济增长,因而之后大盘指数会出现下跌。
1林伯强和牟敦国(2008)还认为,由于在我国一次能源消费构成中,煤炭消费占比70%,原油消费仅占20%,导致同等幅度的煤炭价格上涨对宏观经济的紧缩力度是同等幅度的原油价格上涨对宏观经济的紧缩力度2-3倍。
2参见罗伯特.雷亚,2008,《道氏理论》,地震出版社。
31987年10月19日美国股市暴跌22.6%,在此之前没有任何明显的新闻信息公布,说明是基本面信息以外的因素推动了价格变化。美国政府事后对该股市暴跌的原因进行了专项调查,认为造成此次大跌的罪魁祸首是投资者采用程式化交易。详参刘红忠,金融市场学,2003年,人民出版社,第229—-251页。
1这种形式实际上只考虑了股票收益率中的资本利得部分,而忽略了其中的股息和红利,准确的表达形式应是r1=1n(P1+D1)-lnPt-1,式中,r1为对数收益率,Pt是第t期股票价格,Dt是第t期的分红,Pt-1是第t-1期股票价格。所幸Fama和French(1988)研究认为,股息对于收益率分布整体影响不大,在统计上完全可以忽略。
2根据SIC和AIC信息准则,这里选择最优滞后期为1。
3参郭鹏飞、杨朝军,2003,《管理型和投资型行业分类标准的比较研究》,《科学学与科学技术管理》,第1期。
4从各序列的最大值和最小值情况来看,WTI原油价格的最大上涨和下跌幅度均超出10%,但股票指数的最大上涨和下跌幅度离10%的限制尚有部分空间,说明前一种原因是股票价格波动幅度小于原油资产价格波动幅度的主要原因。
5实际上,自相关性并非完全不好,如果用于外推预测,自相关性越高反而越有利于预测,但如果进行结构分析,严重的自相关性则会导致参数估计不具有最小方差性,从而影响系数 假设检验的准确性。
6这里的检验主要是针对序列的条件异方差性,对于无条件异方差性,一般不影响估计结果,因而在时间序列分析中并不予考虑。
7黄德龙和杨晓光(2008)使用学生t分布,Logit分布、指数幂分布、混合正态分布、ARCH-M模型、GARCH-M模型对股指收益率数据分别进行了拟合比较,认为学生t分布和历史数据的分布最为接近。姚远(2009)比较了沪深两市GARCH、EGARCH和TARCH模型在正态分布、学生t分布、广义误差项分布假设下的极大似然值和A1C值,认为学生t分布在这两个指标下一致优于正态分不和广义误差项分布。
8 Kilian (2008)认为,受能源价格冲击的影响,消费支出的变化往往超出人们想象,甚至餐饮和住宿等服务行业也受到了明显的不利影响。
1向量自回归模型(VAR)的一个主要缺陷就是抛弃了复杂的经济理论基础,仅仅基于数据的统计性质建立模型,这类模型对于研究多个变量之间的动态变化很有用处,但对于其中的理论内涵和微观基础却无能为力,因而VAR模型并不适合用于结构分析。详细内容请参,
2除两大基准原油价格以外,还有Dubai的Oman原油,亚洲的Tapis原油,非洲的Bonny原油,但这些军士地区性基准原油,影响力较小。
3由于WTI交割地库欣离美国南部沿海地区炼油厂比较远,因此有学者认为,WTI价格并不能总是很好地反映美国墨西哥湾地区原油市场供求的走势。尤其是2011年以来WTI价格与其他国际原油价格相背离的情况愈演愈烈。沙特、科威特、伊拉克都已经弃用WTI,巴西、加拿大、委内瑞拉有跟进的趋势。但目前使用WTI作为基准原油价格的国家占比仍为多数。
4三位学者由于模型中包含的变量不同,选用数据存在差异,这些都是计算结果不同的原因。
5林伯强和牟敦国(2008)、刘亦文和胡宗义(2009)使用的均为CGE模型,文中给出的主要是各行业对国际原油价格的反应系数,没有给出国际原油价格对经济总产出的影响系数,但根据行业反应系数可大致推断国际原油价格对经济总产出的影响范围。孙稳存(2007)结合货币政策操作模型,分析了国际原油价格对中国菲利普斯曲线的影响,通过模拟分析,他认为原 油价格上涨10%,将使得当年通货膨胀率上升0.35%,产出缺口上升0.05%。
6国际能源署(2004)研究认为,原油价格持续上涨10美元,将拖累中国经济增长率下滑0.8个百分点。详参“Analysis of the Impact of High Oil Prices on the Global Economy", May 2004. http://www.iea.Org/Textbase/Papers/2004/High_Oil_Prices.pdfo
7详参高铁梅、王金明,2001,我国货币政策传导机制的动态分析,第3期,第50-58页。
8限于篇幅,这里仅以一个线性状态空间模型进行表述,有兴趣读者可参阅：Harvey,A.C.forecasting, Structural Time Series Models and the Kalman Filter.Cambridge university Press,1989, Chapter3,4
9由双对数线形回归方程得到的估计系数可近似作为该变量的弹性。详参刈屋武昭,1992：计量经济分析的基础与应用,中国金融出版社,第31-33页
101999年,我国原油对外依存度仅为19%,2000年为30%,2001年为27%。
11参高铁梅,2006,《计量经济分析方法与建模》,清华大学出版社,第252-301页
12本文将这种缓冲机制称之为国际原油价格的“结构效应”,即当国际原油价格上涨时,国内那些高能耗、定价能力弱的部门利润被侵蚀,投资动力减弱,最终产业规模会萎缩,在国民经济中占比会降低,而那些低能耗、服务性行业受影响较小,在国民经济中结构将会扩张。产业结构这种适应性调整将会使得原油价格对国民经济的冲击变小。
13在进行脉冲响应分析之前,需要确定SVAR的合理滞后期,如果滞后期太短,误差项之间会出现严重的自相关,影响参数估计的一致性,滞后期太长,又会导致自由度减少,影响参数估计的有效性。在本文,AIC准则判定模型最佳滞后期为7,SC准则判定最佳滞后期为6,LR判定最佳滞后期为5,考虑到样本数仅为48个,我们以SC准则为标准,选择滞后5期,经过AR-roots检验,SVAR是稳定的。
14参见刘骏明、伍超明,2004,虚拟经济与实体经济关系模型,经济研究,第4期,60页-69页。
15参见刘红忠,2005,《金融市场学》,上海人民出版社,229-234页
16原国家统计局局长邱晓华就认为我国股市不是宏观经济晴雨表的主要原因是上市公司市值小、投资参与主体少、股民行为和心态不成熟等原因造成的,他这一观点具有代表性。前面两点的变化本文正文中已经予以指出,关于最后一点,笔者认为,股民的行为和心态不成熟并不是中国股票市场运行效率差的原因,而恰恰是中国股票市场运行效率低的结果,正是我国股票市场定期机制扭曲,长期不透明、不公正的客观环境才造就了广大股民心浮气躁,急于投机的心态。
17这里我们只选取前置12期是因为根据前面的相关性分析,各宏观变量与股票指数的相关性至12期以后开始渐趋变弱,因此,选取前置12期是可以确保股票预见力最大的变量在内的。
1之所以写成这种形式是因为经验表明,债券利率随时间的变化而变化,即rh=f(t),若求函数在任一点上的变化率,则要对函数求对数的导数(1nrh)t,根据复合函数的求导法则,有(lnrb)t=1/(rb)·f'(t)=1/(rb)·(drb)/(dt)
2为了便于分析,在本章,我们假定货币供给量不变,只分析国际原油价格带来的利率变动,关于国际原油价格对货币供应量的影响我们将在第八章详细讨论。
3从各序列的最大值和最小值情况来看,WTI原油价格的最大上涨和下跌幅度均超出10%,但股票指数的最大上涨和下跌幅度离10%的限制尚有部分空间,说明前一种原因是股票价格波动幅度小于原油资产价格波动幅度的主要原因。
4这里的检验主要是针对序列的条件异方差性,对于无条件异方差性,一般不影响估计结果,因而在时间序列分析中并不予考虑。
1这一假设与事实存在部分差异,根据第三章我们对世界原油价格影响因素的分析,国际原油价格上涨会刺激其他国家开采原油,从而对原油价格起到平抑作用。为了简便起见,我们做这样的假定,避免了本国的原油产量的内生性问题。
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2实际上市场上已经意识到国际原油价格可能会对中国股票市场产生影响,但对其中的作用机制还不清楚。很多股民认为只要中国石油和中国石化两只股票大涨,随后大盘就会下跌,并将其形象化地称为“中石油魔咒”,其在最近的多次市场走势预测中屡试不爽。关于该现象的解释,有“掩护撤退论”,即大资金为了在不影响大盘指数的情况下卖空其他股票,故意拉升中石油等大盘股价格；“股指期货操纵论”,即大资金先在股指期货开好空仓,然后拉抬中石油打压股指,从而在股指期货上做空获利。“完全巧合论”即认为这种现象完全是一种巧合,不具有持续稳定性。我们更倾向从基本面角度来看待这一问题。国际油价上涨利好石油类股票,但却不利于整个经济增长,因而之后大盘指数会出现下跌。
1林伯强和牟敦国(2008)还认为,由于在我国一次能源消费构成中,煤炭消费占比70%,原油消费仅占20%,导致同等幅度的煤炭价格上涨对宏观经济的紧缩力度是同等幅度的原油价格上涨对宏观经济的紧缩力度2-3倍。
2参见罗伯特.雷亚,2008,《道氏理论》,地震出版社。
31987年10月19日美国股市暴跌22.6%,在此之前没有任何明显的新闻信息公布,说明是基本面信息以外的因素推动了价格变化。美国政府事后对该股市暴跌的原因进行了专项调查,认为造成此次大跌的罪魁祸首是投资者采用程式化交易。详参刘红忠,金融市场学,2003年,人民出版社,第229—-251页。
1这种形式实际上只考虑了股票收益率中的资本利得部分,而忽略了其中的股息和红利,准确的表达形式应是r1=1n(P1+D1)-lnPt-1,式中,r1为对数收益率,Pt是第t期股票价格,Dt是第t期的分红,Pt-1是第t-1期股票价格。所幸Fama和French(1988)研究认为,股息对于收益率分布整体影响不大,在统计上完全可以忽略。
2根据SIC和AIC信息准则,这里选择最优滞后期为1。
3参郭鹏飞、杨朝军,2003,《管理型和投资型行业分类标准的比较研究》,《科学学与科学技术管理》,第1期。
4从各序列的最大值和最小值情况来看,WTI原油价格的最大上涨和下跌幅度均超出10%,但股票指数的最大上涨和下跌幅度离10%的限制尚有部分空间,说明前一种原因是股票价格波动幅度小于原油资产价格波动幅度的主要原因。
5实际上,自相关性并非完全不好,如果用于外推预测,自相关性越高反而越有利于预测,但如果进行结构分析,严重的自相关性则会导致参数估计不具有最小方差性,从而影响系数 假设检验的准确性。
6这里的检验主要是针对序列的条件异方差性,对于无条件异方差性,一般不影响估计结果,因而在时间序列分析中并不予考虑。
7黄德龙和杨晓光(2008)使用学生t分布,Logit分布、指数幂分布、混合正态分布、ARCH-M模型、GARCH-M模型对股指收益率数据分别进行了拟合比较,认为学生t分布和历史数据的分布最为接近。姚远(2009)比较了沪深两市GARCH、EGARCH和TARCH模型在正态分布、学生t分布、广义误差项分布假设下的极大似然值和A1C值,认为学生t分布在这两个指标下一致优于正态分不和广义误差项分布。
8 Kilian (2008)认为,受能源价格冲击的影响,消费支出的变化往往超出人们想象,甚至餐饮和住宿等服务行业也受到了明显的不利影响。
1向量自回归模型(VAR)的一个主要缺陷就是抛弃了复杂的经济理论基础,仅仅基于数据的统计性质建立模型,这类模型对于研究多个变量之间的动态变化很有用处,但对于其中的理论内涵和微观基础却无能为力,因而VAR模型并不适合用于结构分析。详细内容请参,
2除两大基准原油价格以外,还有Dubai的Oman原油,亚洲的Tapis原油,非洲的Bonny原油,但这些军士地区性基准原油,影响力较小。
3由于WTI交割地库欣离美国南部沿海地区炼油厂比较远,因此有学者认为,WTI价格并不能总是很好地反映美国墨西哥湾地区原油市场供求的走势。尤其是2011年以来WTI价格与其他国际原油价格相背离的情况愈演愈烈。沙特、科威特、伊拉克都已经弃用WTI,巴西、加拿大、委内瑞拉有跟进的趋势。但目前使用WTI作为基准原油价格的国家占比仍为多数。
4三位学者由于模型中包含的变量不同,选用数据存在差异,这些都是计算结果不同的原因。
5林伯强和牟敦国(2008)、刘亦文和胡宗义(2009)使用的均为CGE模型,文中给出的主要是各行业对国际原油价格的反应系数,没有给出国际原油价格对经济总产出的影响系数,但根据行业反应系数可大致推断国际原油价格对经济总产出的影响范围。孙稳存(2007)结合货币政策操作模型,分析了国际原油价格对中国菲利普斯曲线的影响,通过模拟分析,他认为原 油价格上涨10%,将使得当年通货膨胀率上升0.35%,产出缺口上升0.05%。
6国际能源署(2004)研究认为,原油价格持续上涨10美元,将拖累中国经济增长率下滑0.8个百分点。详参“Analysis of the Impact of High Oil Prices on the Global Economy", May 2004. http://www.iea.Org/Textbase/Papers/2004/High_Oil_Prices.pdfo
7详参高铁梅、王金明,2001,我国货币政策传导机制的动态分析,第3期,第50-58页。
8限于篇幅,这里仅以一个线性状态空间模型进行表述,有兴趣读者可参阅：Harvey,A.C.forecasting, Structural Time Series Models and the Kalman Filter.Cambridge university Press,1989, Chapter3,4
9由双对数线形回归方程得到的估计系数可近似作为该变量的弹性。详参刈屋武昭,1992：计量经济分析的基础与应用,中国金融出版社,第31-33页
101999年,我国原油对外依存度仅为19%,2000年为30%,2001年为27%。
11参高铁梅,2006,《计量经济分析方法与建模》,清华大学出版社,第252-301页
12本文将这种缓冲机制称之为国际原油价格的“结构效应”,即当国际原油价格上涨时,国内那些高能耗、定价能力弱的部门利润被侵蚀,投资动力减弱,最终产业规模会萎缩,在国民经济中占比会降低,而那些低能耗、服务性行业受影响较小,在国民经济中结构将会扩张。产业结构这种适应性调整将会使得原油价格对国民经济的冲击变小。
13在进行脉冲响应分析之前,需要确定SVAR的合理滞后期,如果滞后期太短,误差项之间会出现严重的自相关,影响参数估计的一致性,滞后期太长,又会导致自由度减少,影响参数估计的有效性。在本文,AIC准则判定模型最佳滞后期为7,SC准则判定最佳滞后期为6,LR判定最佳滞后期为5,考虑到样本数仅为48个,我们以SC准则为标准,选择滞后5期,经过AR-roots检验,SVAR是稳定的。
14参见刘骏明、伍超明,2004,虚拟经济与实体经济关系模型,经济研究,第4期,60页-69页。
15参见刘红忠,2005,《金融市场学》,上海人民出版社,229-234页
16原国家统计局局长邱晓华就认为我国股市不是宏观经济晴雨表的主要原因是上市公司市值小、投资参与主体少、股民行为和心态不成熟等原因造成的,他这一观点具有代表性。前面两点的变化本文正文中已经予以指出,关于最后一点,笔者认为,股民的行为和心态不成熟并不是中国股票市场运行效率差的原因,而恰恰是中国股票市场运行效率低的结果,正是我国股票市场定期机制扭曲,长期不透明、不公正的客观环境才造就了广大股民心浮气躁,急于投机的心态。
17这里我们只选取前置12期是因为根据前面的相关性分析,各宏观变量与股票指数的相关性至12期以后开始渐趋变弱,因此,选取前置12期是可以确保股票预见力最大的变量在内的。
1之所以写成这种形式是因为经验表明,债券利率随时间的变化而变化,即rh=f(t),若求函数在任一点上的变化率,则要对函数求对数的导数(1nrh)t,根据复合函数的求导法则,有(lnrb)t=1/(rb)·f'(t)=1/(rb)·(drb)/(dt)
2为了便于分析,在本章,我们假定货币供给量不变,只分析国际原油价格带来的利率变动,关于国际原油价格对货币供应量的影响我们将在第八章详细讨论。
3从各序列的最大值和最小值情况来看,WTI原油价格的最大上涨和下跌幅度均超出10%,但股票指数的最大上涨和下跌幅度离10%的限制尚有部分空间,说明前一种原因是股票价格波动幅度小于原油资产价格波动幅度的主要原因。
4这里的检验主要是针对序列的条件异方差性,对于无条件异方差性,一般不影响估计结果,因而在时间序列分析中并不予考虑。
1这一假设与事实存在部分差异,根据第三章我们对世界原油价格影响因素的分析,国际原油价格上涨会刺激其他国家开采原油,从而对原油价格起到平抑作用。为了简便起见,我们做这样的假定,避免了本国的原油产量的内生性问题。
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