【摘要】：原油作為重要的投入原材料,是支撐國民經(jīng)濟(jì)運(yùn)行的基礎(chǔ)能源,在全球經(jīng)濟(jì)發(fā)展中扮演著重要的角色。近年來,特別是金融危機(jī)之后,國際原油價(jià)格受到全球經(jīng)濟(jì)形勢、供需、政治沖突等多種因素影響不斷飆升,波動(dòng)愈加劇烈。隨著我國經(jīng)濟(jì)的快速發(fā)展,我國原油進(jìn)口量和消費(fèi)量連年上升。原油對(duì)外依存度從本世紀(jì)初的不到30%上升至2012年的56.4%,不斷刷新歷史紀(jì)錄,一半以上的原油需求需要通過進(jìn)口來滿足。在此背景下,國際原油價(jià)格劇烈波動(dòng)必然給我國經(jīng)濟(jì)帶來不利影響。因此,準(zhǔn)確的對(duì)國際原油價(jià)格波動(dòng)特征進(jìn)行刻畫并分析原油價(jià)格波動(dòng)對(duì)我國經(jīng)濟(jì)增速的影響不僅具有重要理論意義還具有實(shí)際意義。 本文引入偏態(tài)t分布,建立了一類有偏分布下的波動(dòng)模型——GARCH模型、GJR-GARCH模型、FIGARCH模型、FIAPARCH模型來對(duì)國際原油收益率序列進(jìn)行分析,并與這些模型在殘差分布為正態(tài)分布、t分布、GED分布下的估計(jì)結(jié)果進(jìn)行綜合比較。研究發(fā)現(xiàn),殘差分布為偏態(tài)t分布的FIAPARCH模型要優(yōu)于其他GARCH類模型,不僅能夠精確地刻畫原油收益率序列的尖峰厚尾特征,而且能夠更好的描述原油價(jià)格波動(dòng)特征,可以同時(shí)揭示油價(jià)波動(dòng)的聚集性、非對(duì)稱性和長記憶性特征。在此基礎(chǔ)上,以殘差分布為偏態(tài)t分布的FIAPARCH模型估計(jì)的條件方差作為國際原油價(jià)格波動(dòng)指標(biāo),并進(jìn)一步分析國際原油價(jià)格波動(dòng)沖擊對(duì)我國經(jīng)濟(jì)增速的影響。選取拉動(dòng)經(jīng)濟(jì)增長的“三駕馬車”,通過分析國際油價(jià)波動(dòng)沖擊對(duì)我國投資增長率、消費(fèi)增長率和出口增長率的影響進(jìn)而分析油價(jià)波動(dòng)沖擊對(duì)我國經(jīng)濟(jì)增速的影響。實(shí)證結(jié)果表明,國際油價(jià)波動(dòng)沖擊給我國投資、消費(fèi)和出口帶來不利影響,油價(jià)波動(dòng)沖擊短期內(nèi)會(huì)引起投資增長率、消費(fèi)增長率和出口增長率的下降,進(jìn)而減緩我國經(jīng)濟(jì)增速,這種不利沖擊影響會(huì)隨著時(shí)間的推移漸漸衰退。最后,本文為如何降低國際油價(jià)波動(dòng)沖擊對(duì)我國經(jīng)濟(jì)增速的影響提出幾點(diǎn)對(duì)策建議。
[Abstract]:Crude oil, as an important input raw material, is the basic energy to support the operation of national economy and plays an important role in the development of global economy. In recent years, especially after the financial crisis, the international crude oil price has been affected by the global economic situation, supply and demand, political conflict and other factors. With the rapid development of China's economy, China's crude oil imports and consumption have increased year after year. Crude oil dependence rose from less than 30 percent at the beginning of this century to 56.4 percent in 2012, with more than half of crude oil demand having to be met by imports. In this context, the international crude oil price volatility will inevitably bring adverse effects to our economy. Therefore, it is of great theoretical and practical significance to accurately characterize the characteristics of international crude oil price fluctuation and analyze the impact of crude oil price fluctuation on China's economic growth rate. In this paper, by introducing skewed t distribution, we establish a kind of fluctuation model under biased distribution GARCH model and FIAPARCH model to analyze the international crude oil yield series, the GJR-GARCH model and the FIAPARCH model are used to analyze the international crude oil yield series. The results are compared with the estimated results of these models under the condition that the residual distribution is normal distribution / t distribution and GED distribution. It is found that the FIAPARCH model with skewed t distribution is superior to other GARCH models, which can not only accurately describe the peak and thick tail characteristics of the oil yield series, but also better describe the oil price fluctuation characteristics. It can also reveal the characteristics of agglomeration, asymmetry and long memory of oil price volatility. On this basis, the conditional variance estimated by FIAPARCH model with residual distribution as skewness t distribution is used as the index of international crude oil price fluctuation, and the impact of international crude oil price fluctuation shock on China's economic growth rate is further analyzed. By analyzing the impact of international oil price fluctuation on China's investment growth rate, consumption growth rate and export growth rate, this paper analyzes the impact of oil price fluctuation shock on China's economic growth rate. The empirical results show that the impact of international oil price fluctuations on China's investment, consumption and exports will bring adverse effects. In the short term, the impact of oil price fluctuations will cause the growth rate of investment, the decline of consumption growth rate and export growth rate, and then slow down the economic growth rate of our country. The impact of this adverse shock will gradually recede over time. Finally, this paper puts forward some countermeasures and suggestions on how to reduce the impact of international oil price fluctuation on China's economic growth.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F416.22;F124

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