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本文通过提取基本因素的形式构造中国需求、国外供需压力、全球流动性、金融投机和美元汇率5个解释变量,结合因子增广型向量自回归模型(FAVAR)和时变参数因子增广型向量自回归模型(TVP-FAVAR)分析2000-2015年的油价波动。结果发现:2000-2008年,油价的攀升主要是由于新兴经济体高速发展引起的供需压力增加;投机行为和全球流动性在2009-2011年油价的上涨中发挥重要作用,但是在2012年以后其影响逐渐减弱。全球原油产量大幅增加和美元汇率走高是造成2014年下半年以来油价加速下跌的主要原因。过去15年中,中国国内的实体经济需求并不构成原油价格波动的主因,但中国需求对油价的影响正逐渐上升。
This paper constructs five explanatory variables of China’s demand, foreign supply and demand pressure, global liquidity, financial speculation and the exchange rate of the U.S. dollar by means of extracting basic factors. Combined with factor-enhanced vector auto-regression model (FAVAR) and time-varying parameter factor augmented vector Auto-Regression Model (TVP-FAVAR) to Analyze Oil Price Fluctuations in 2000-2015. The results showed that: from 2000 to 2008, the rise of oil prices was mainly due to the pressure of supply and demand caused by the rapid development of emerging economies; speculation and global liquidity played an important role in the rise of oil prices in 2009-2011, but after 2012 Influence gradually weakened. The sharp increase in global crude oil output and the rise of the U.S. dollar are the main reasons for the acceleration in the oil price drop since the second half of 2014. In the past 15 years, the demand for real economy in China did not constitute the main reason for the fluctuation of crude oil prices. However, the impact of Chinese demand on oil prices is gradually rising.