摘要：
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.%国际油价与原油进口的相关关系问题历来备受关注.基于线性模型的传统研究显示,中国原油进口的价格弹性远远低于其他国家的估计范围,而已有的研究很难完全解释这一问题.考虑到经典线性模型很可能掩盖了两者真正的关联机制,本文将从非对称效应的角度解释这一“低弹性之谜”.首先利用非线性检验确认了传统向量自回归模型中的非线性成分,然后建立平滑转换向量自回归模型(LSTVAR)刻画国际油价与原油进口的动态关联机制.广义脉冲响应函数(GIRF)显示,油价冲击对原油进口的影响存在两个维度的非对称效应.首先是正负油价冲击效应的非对称性,特别是在“经济低速发展阶段”表现得尤为显著,油价下跌对原油进口的影响要比油价上涨时的影响更强;其次是不同发展阶段的效应非对称性,无论对于何种冲击,在“经济低速发展阶段”,原油进口对油价变化的反应程度都要比“经济高速发展阶段”的反应程度更加剧烈.本文在两个层次上揭示了油价冲击的非对称效应,进而较为成功地解开了原油进口的“低弹性之谜”,这对于政府在不同经济环境下差异化定向制定相应的原油进口策略和宏观调控政策具有重要启示意义.
