CAJ | 학술논문

本文首先利用动态因子模型从35个宏观变量中提取4个宏观共同因子。基于这些共同因子构建logistic平滑转移的因子扩展向量自回归（LSTFAVAR）模型。最后，基于LSTFAVAR模型分析国际油价冲击对我国宏观经济的影响。实证结果表明，不同物价增长状态下，国际油价冲击对我国产出、价格和货币供给量存在非对称性效应。其中，在物价高增长状态下，国际油价对我国物价冲击比物价非高增长状态更为明显。而且在物价非高增长状态下，国际油价上涨引起货币供给量的减少。而在物价高增长状态下，国际油价上涨引起货币供给量的增加。因此，面临国际油价上涨引起的经济“滞胀”，政府当局需要采取更有效的手段。
본문수선이용동태인자모형종35개굉관변량중제취4개굉관공동인자。기우저사공동인자구건logistic평활전이적인자확전향량자회귀（LSTFAVAR）모형。최후，기우LSTFAVAR모형분석국제유개충격대아국굉관경제적영향。실증결과표명，불동물개증장상태하，국제유개충격대아국산출、개격화화폐공급량존재비대칭성효응。기중，재물개고증장상태하，국제유개대아국물개충격비물개비고증장상태경위명현。이차재물개비고증장상태하，국제유개상창인기화폐공급량적감소。이재물개고증장상태하，국제유개상창인기화폐공급량적증가。인차，면림국제유개상창인기적경제“체창”，정부당국수요채취경유효적수단。
Based on the analysis of the influence of international oil prices on the macroeconomic transmission mechanism, this paper establishes the LSTFA- VAR model to investigate the asymmetric effect of international oil price shocks on China＇s macro economy. The empirical results show that regardless of the in- crease rate of commodity prices, international oil price shocks will cause a de- cline in prices and output in our country, so there is the pressure from imported inflation. The difference is that rising international oil prices curtail money sup- ply when commodity prices increase moderately, and rising international oil pric- es boost money supply when commodity prices increase sharply. This also re- fleets that faced with the economic ＂stagflation＂ caused by rising international oil prices, China＇s monetary authorities need to take more effective measures.