Research On The Transmission Mechanism Of Oil Price Shocks

As an important strategic resource, oil price shocks are widely concerned by the economists. With the rapid development of global financial markets, oil has become one of the largest commodities. Oil price changes show the typical financial property, including the resource property and the financial attribute, which determine the intricacies of the oil price shock’s transmission mechanism. Nowdays there is no literature, from both the resource property and the financial property, researching the effects of the oil price shocks on national economy. The existing literature can be divided into two categories:one is represented by Hamilton (1996,1999), studying the oil price shocks towards economy from the perspective of industry chain; Other is represented by Sadorsky (1999), researching the main infectious on oil price shocks towards the stock market, bond market and futures market. In this paper, we tried starting the research both on the resource property and the financial attribute.First of all, we analyze the facts of oil price shocks. We found that the most significant variable of the growth rate of oil prices is its own lagged variables, and we also found that the impact of China’s oil consumption to international oil prices is not significant in the short-term. It also proved that oil inventories can effectively change oil prices, which means "the importance of the oil reserve system". And on Garch-BEKK models we examined the volatility spillover effect between growth rate of oil prices, growth rate of assets and growth rate of GDP. The result is the international price of oil yield rate of return on domestic asset prices and GDP growth has unidirectional volatility spillover to verify that international oil prices is one of the risk factors for China’s national economic development.Secondly, based on the empirical findings of the third chapter, under the assumption of oil prices exogenous, with oil-producing elements of the dynamic general equilibrium model, historical data and draw on existing literature by estimating the calibration model in the steady-state parameters,impulse response and simulation, describing the oil price shocks, the dynamic relationship between the total output, capital stock, return on capital, consumer and other economic variables, reported changes in oil prices and the total outputchanges between the inverse cyclical. On this basis, reduce the proportion of the capital stock of the high energy-consuming industries, the simulation found that the relative volatility of the total output decline, the price elasticity of oil consumption rose; In addition, we found that the fluctuations in oil prices decline, the total output fluctuations reduced fluctuations in the frequency lower. Therefore, in a sense, the drop in oil prices, the macroeconomic risks decline, verify that the oil price shocks of the industry chain channels.In order to consider the oil price shocks through the virtual channels of economic impact on national economy, a brief analysis of the conditions that reflect the state of our financial system, assume that the model bank is the only financial institution of the media savings and investment. This article draw on the financial accelerator model of Bernanke,(1999) and other settings, the main consideration of financial markets, asymmetric information, principal-agent problems. Factors that affect the pricing of bank loans, including the production and future cash flow and enterprise value of the assets can be secured. Under Chapter III of empirical findings, the oil price shocks affect the value of collateral assets, resulting in rising costs of business loans. Compared with the financial accelerator model, rising borrowing costs, new loans decreased, leading to the decline in capital stock growth rate of total output growth for the fluctuations increase. In order to join the financial accelerator model interpretation of the main economic variables rise, confirmed the presence of oil price shocks of the credit channel.Finally, the dynamic general equilibrium models to policy experiments provide a good tool, economic studies and natural sciences, lack of opportunity to sample empirical exists. Therefore, the financial accelerator model based on the introduction of government departments. Empirical Analysis of the Taylor rule of monetary policy in response to oil price shocks, will enlarge the total output volatility, mainly due to the use of the Taylor rule, due to rising oil prices impact on inflation magnitude higher than the aggregate output affect the magnitude of oil price shocks will first result in the expected inflation rate, leading to rising interest rates, corporate lending rates rose even more sharply. Therefore, the proposed monetary policy to reduce the sensitivity of the expected rate of inflation caused by exogenous oil price shocks. In addition, the introduction of the oil consumption tax, oil consumption tax levied can reduce the proportion of the steady-state in high energy consuming industries, and enhance the national economy the ability to respond to oil price shocks.The last chapter analyzes the necessity created by the oil futures market, the analysis is based on fluctuations in oil prices decline, and help to reduce the macroeconomic risks. Theoretical point of view from the futures futures market to establish on the fluctuations in oil prices, reflecting the importance of domestic demand, and fuel oil futures market, for example, the use of VAR and GARCH-BEKK model to analyze the price of the domestic futures market, spot market prices, and Singapore mean spillovers between the spot market price and volatility spillovers. Found that, although the domestic fuel oil futures market development is not perfect, but the Singapore fuel oil prices also mean and volatility spillover effects, indicating that the futures market to establish and continuously improve a strong practice to stabilize the market price fluctuations, actual supply and demand of the reaction of their own value.