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Oil Price Fluctuation: Factors Analysis And Macro-Economics Influence

Posted on:2009-02-07Degree:DoctorType:Dissertation
Country:ChinaCandidate:J W CengFull Text:PDF
GTID:1119360272988791Subject:Financial engineering
Abstract/Summary:PDF Full Text Request
China's oil consumptions and import dependency increase quickly every year.From 2002,the world oil price raises rapidly.The influence of high oil price on China's economy become more and more larger.Therefore,exploring the reasons which influence oil price fluctuation and evaluating the influence of oil price fluctuation on China's economy is a practical significative research.About research methods,the Bayesian vector autoregressive models(BVAR) with Bayesian Priors outerform the unrestricted vector autoregressive model(VAR) in overcoming the problems of excess simulating and forecasting performance in terms of achieving a higher degree of accuracy.The study analyses the factors which influence oil price fluctuation,set up Cointegration Equation(CE) and Bayesian vector error correction model(BVECM) to evaluate the influence of various factor to oil price.The study also establish CE and BVECM to evaluate the influence of oil price fluctuation to China's GDP and CPI.Combining the China's practical instance,the study propose some suggestions to strengthen risk prevention.The main conclusions is as follow:1.The variables of oil price,OECD oil consumptions,OPEC crude oil productions, crude oil stocks of USA and exchange rate of U.S.dollar have long-term equilibrium relations(Cointegration).OECD oil consumptions raising 1 percent will cause oil price rising 30.89 percents.OPEC crude oil productions and USA oil stocks raising 1 percent will cause oil price falling 3.9 percents and 5.77 percents,corresponding.US exchange rate falling 1 percent will cause oil price raising 8.09 percents.2.China's economy characteristic at present,involving non-marketable pricing Mechanism,productive capacity surplus,energy consumptions composition and RMB exchange rate,partly conceal the influence of high oil price on economics.3.China's GDP-increasing-rate,world oil price and China's oil consumptions have long-term equilibrium relations(Cointegration).Oil price raising 1 percent will cause GDP-increasing-rate falling 0.025 percent.GDP-increasing-rate have a positive correlation with oil consumptions,that it is,oil consumptions raising 1 percent will cause GDP-increasing-rate raise 0.156 percent. 4.Oil price raising 10 percents will cause China's CPI raise 0.89 percent.In the short-term,oil price can not explain CPI distinctly.
Keywords/Search Tags:Bayesian Vector Error Correction Model, Cointegration Equation, Error Correction Model, World Oil Price
PDF Full Text Request
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