石油价格波动与我国进口价格的动态关系研究_基于对油价冲击分解的结构VAR模型.pdfVIP

第 20卷 第 2期 运 筹 与 管 理 Vo.l 20, No. 2 2011年 4月 OPERAT IONS RESEARCH AND MANAGEMENT SCIENCE Apr. 2011 基于对油价冲击分解的结构VAR模型 1, 2 1 孙 薇 , 齐中英 ( 1. , 1 0001; 2. , 1 0001) : 2000~ 2008, , VAR( SVAR ) , SVAR , , ; , , , , , , : ; ; VAR; : F224. 3 : A : 2011) 02012 07 R esearch on the D ynam ic Changing R elationsh ip Betw een O il P rice Changes and Dom estic I m port P rices Based on D ecom position of O il Shock s By Structural VAR 1, 2, 1 SUN W ei , Q I Zhongying ( 1. School of M anag ement, H arbin Institute of Technology, H arbin 1 0001, China; 2. School of Science, H arbin Engineering University, H arbin 1 0001, Ch ina) Ab stract: Based on themonthly data from 2000~ 2008, th is paper discusses the dynam ic relationships betw een international oil prices fluctuations and mi port prices of Ch ina in the view of the positive and negative oil shocks. F irstly, by structural VAR ( SVAR) models, th is paper decomposes the oil shocks w hich w ou ld affect mi port prices. Furthermore, w e analyse the history contributions of oil shocks on mi port prices by SVAR models in mov ing averagemodels. The results show that rising oil prices and the contemporaneous econom ic grow thw ou ld push mi port prices to rise sign ificantly, w hile the insignificant decline of mi port pricesw hen oil prices decrease, are mainly originated by the accumu lated effects of econom ic growth. Therefore, it is necessary to distinguish the positive and negative oil shocks when studing the correla