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20世纪90年代以来,国际油价经历了大幅度波动,这一时期新兴经济体的快速发展刺激了原油需求,对油价上涨产生一定的拉动作用。本文通过构建非限制性VAR模型和递归VAR模型,对1994~2012年油价驱动因素加以分析,重点研究了来自发达经济体和新兴经济体的需求对石油价格产生的不同影响。研究发现:(1)与供给冲击相比,来自发达经济体和新兴经济体的需求冲击对油价波动的解释力更强,是驱动油价上涨的主要因素;(2)与新兴经济体相比,发达经济体的需求是油价波动的主要动因,其对油价波动的解释力约为新兴经济体的两倍;(3)2003年后,新兴经济体对于油价的影响逐渐增强。
Since 90s of the 20th century, the international oil price has undergone a drastic fluctuation. The rapid development of emerging economies during this period stimulated the demand of crude oil, which had a certain pulling effect on the rising oil price. By building a non-restrictive VAR model and a recursive VAR model, this paper analyzes the oil price drivers from 1994 to 2012 and focuses on the different effects of demand from developed and emerging economies on oil prices. The results show that: (1) Compared with the supply shocks, the impact of demand shocks from developed economies and emerging economies on the volatility of oil prices is stronger than that of supply shocks, which is the main factor driving the rise of oil prices; (2) Compared with the emerging economies, The demand of developed economies is the main reason for fluctuations in oil prices, which explain the fluctuation of oil prices about twice that of emerging economies. (3) The impact of emerging economies on oil prices gradually increases after 2003.