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石油价格对宏观经济的依赖性

Apostolos Serletis¹, Libo Xu²

¹Department of Economics, University of Calgary, Calgary, Canada.

Empirical economics

|June 26, 2023

概括

油价的不确定性对美国实际产出增长产生了负面影响. 这项研究揭示了一个不对称的关系,表明油价冲击对经济表现产生了显著的不利影响.

科学领域:

经济学经济学经济学
计量经济学计量经济学计量经济学
金融市场金融市场

背景情况:

对于政策制定者和市场参与者来说,了解石油价格与经济产出之间的动态关系至关重要.
油价波动可以显著影响宏观经济稳定和增长轨迹.
以前的研究往往忽略了这种关系的非线性和时间变化的性质.

研究的目的:

调查石油价格冲击与美国实际产出增长之间的复杂,非线性依赖.
分析油价不确定性对影响经济表现的作用.
用马尔科夫政权切换方法来考虑变化的石油价格动态.

主要方法:

使用马尔科夫模式切换,确定了结构性的GARCH-in-Mean Vector Autoregression (VAR) 模型.
采用了copula方法来研究非线性和尾部依赖结构.
在指定样本期内分析了美国的时间序列数据.

主要成果:

确定了油价和产出增长冲击之间的不对称的负依赖结构.
发现石油价格的不确定性对实际产出增长产生了统计学上显著的负面影响.
证明了政权转换在捕捉不断变化的石油价格动态方面的重要性.

结论:

油价的不确定性是美国实际产出增长的一个重要决定因素.
油价与产量之间的关系是非线性和不对称的,负面冲击具有明显的影响.
采用的计量经济学模型有效地捕捉了石油价格动态及其经济后果的复杂性.

关键词:

在Copulae中,我们可以看到 Copulae.依赖关系依赖关系马尔科夫政权交换 - 政权交换油价的不确定性油价的不确定性

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