关键词: 国际油价冲击, 原油进口波动, 低弹性之谜, 非对称效应, 广义脉冲响应函数, 中国

Abstract:

Much research has investigated the relationship between oil price shocks and crude oil imports. Empirical research based on traditional linear models indicates that the price elasticity of oil imports is inelastic in many other countries. However, in China, that number is extremely low, which cannot be completely explained by existing research. In our view, the chances are that non-significant results have cast a veil over the true relationship between them. In order to capture this nonlinear characteristic, we constructed a logistic smooth transition vector auto-regression model. The generalized impulse response functions show that the effects of oil shocks depend not only on the growth rate of the economy but also on the direction of oil shocks. First, the effect of positive oil shocks is different from that of negative oil shocks, especially during economic recession. To be specific, the dynamic reaction of oil imports on a unit of negative oil shock is considerably more obvious than that of a positive oil shock. Second, we make a distinction between economic prosperity and recession, using the growth rate of the economy as a switching variable. The results have shown that the effect of oil shocks (both positive oil shocks and negative oil shocks) is relatively higher during economic recession than economic prosperity. This study investigates the asymmetric effects of oil shocks across two different dimensions, which has important policy implications for the government in determining an appropriate importation strategy and optimal macro-control policy under different economic backgrounds.

Key words: international oil price shocks, oil import fluctuations, the puzzling price elasticity of Chinese oil imports, asymmetric effect, generalized impulse response functions, China