论文部分内容阅读
本文运用Kilian(2009)的SVAR方法将油价冲击分解为供给冲击、总需求冲击和石油特定需求冲击,选取具有代表性的四个石油净进口国和四个石油净出口国股票市场指数作为研究样本,系统分析了结构性油价冲击对于股票市场的非对称影响。研究结果显示,总需求冲击对股市的影响最强,特定需求冲击次之,供给冲击不对股市产生影响。此外,非对称模型结果发现负向总需求冲击和特定需求冲击比相应的正向冲击只对净出口国股市有更显著和持久的影响,而区分大小规模后的结构性油价冲击则对净进口国和净出口国股市普遍表现出非对称性。
This paper uses Kilian (2009) SVAR method to decompose oil shocks into supply shocks, aggregate demand shocks and oil-specific demand shocks. The representative four net oil importing countries and four net oil exporting countries are selected as the research samples , Systematically analyzes the asymmetric influence of structural oil shock on the stock market. The results show that the impact of aggregate demand on the stock market strongest strokes, followed by the impact of specific needs, supply shocks have no impact on the stock market. In addition, the asymmetric model results show that negative aggregate demand shocks and specific demand shocks have a more significant and lasting impact on net export markets than the corresponding positive shocks, while the structural oil price shocks after the size of the division are negative for net imports Countries and net exporters generally show asymmetry in the stock market.