结构性油价波动对中国股市的非对称性影响分析

摘要

The paper investigates the effect of different driven factors of oil price fluctuations( structural oil price fluctuation) on China stock market and further studies the resource of asymmetric effect.Oil price fluctuation is decomposed into three parts by SVAR model, which include the supply factor, economic demand factor and oil-specific demand factor.The three kinds of oil price fluctuations have complex impacts on China stock market. Asymmetric GARCH model and its information curve indicate that the supply factor and oil-specific demand fac-tor are the main resource of the asymmetric impact of oil price fluctuations on China stock market.So the research of oil price fluctuations on China stock market based on the decomposing of oil price driven factors can guide significances for the related government department to make appropriate discretionary choice.%本文分别检验了不同驱动因素所致的油价波动（结构性油价波动）对我国股市收益波动的非对称性影响，并探寻了油价波动对我国股市产生非对称性影响的来源。首先利用SVAR模型将油价波动分解为供给、需求和预防性购买三种驱动因素所致的油价波动，发现三种驱动因素所致的油价波动对我国股市收益的影响存在显著差异；GARCH非对称模型检验及其信息影响曲线结果显示供给和预防性购买因素所致的油价波动是对我国股市的产生非对称性影响的主要原因。在应对油价波动策略时，区分油价波动背后的驱动因素有助于政府机构采取行之有效的宏观调控。