| Oil resources as the most important strategic resource in short supply, has been involved with governments, relevant industries and enterprises and trading investors sensitive nerves, it is known as modern industry "blood", is a liquid "gold"Associated with economic production, distribution and consumption, associated with commodity prices and an important asset, but also geopolitical and international situation in the region is an important material factors. Who have more oil, not only contributed to the development and export of their economies, also in international affairs and has the right to speak cannot be ignored. Because the history of the oil and the outbreak of wars and countless conflicts, such as the Gulf War and so on. Because the oil caused by economic and financial crisis is fresh in the last century, the Middle East oil crisis of the seventies led to direct economic recession in Europe and America and other developed countries. It has been said:"Who controls the oil, whoever controls the oil price volatility in all countries and world economic trends closely.After the reform and opening up, China’s dependence on foreign oil imports has increased steadily and, in 1991, our oil imports is only a few thousand tons, but by 1993, China became a net importer of crude oil, the new century, in one fell swoop in 2003 surpass Japan to become the world’s second largest oil use of power. At present, it has been ranked the first largest oil consumer, crude oil both from the perspective of the major exporting countries still look on the price mechanism, all of China’s economic development has countless relationships.CPI (Consumer Price Index) is called the consumer price index, a measure of general goods and services price index changes of a basket of residents’ daily consumption. Depending on the specific type of use, is divided into eight categories, including health care and personal products in eight categories, the consumer price is too high in a country within a certain period of time, it means that the country’s serious inflation occurs. It is precisely because it is closely related to people’s livelihood, so it has been well received by the community and the government. Oil is the basic raw material in many sectors of the national economy, the increase in international crude oil prices will increase the cost of production of industrial and agricultural products by increasing the prices of raw materials related industries and businesses, after the final sales will be transmitted to the downstream end consumer market, the trend is bound to affect CPI. So study the relationship between the two, both is of great importance from the theoretical or practical significance.Empirical and theoretical study of fluctuations in oil prices will have long relationships with other domestic and international factors, researches on these aspects have been more thorough and systematic, summary view, from the research field of view, relates generally to oil and other commodities the relationship between oil and the overall macroeconomic, oil and major economic indicators, the relationship between oil and stock markets, oil and gold market relations and so on; from the scope of the study point of view, relates to the international and domestic market, within the industry, enterprise, different industry sector, the relationship between different prices like; from research methods, covers the description of the facts, logical reasoning. On the measurement methods, the use of multiple time series analysis, unit root test, VAR model, ARCH model. In ARCH models, including various forms of ARCH model conversion, followed by multi-family use GARCH model to describe the asset price volatility, there are also separate out the volatility of the results of the impact analysis of the effect of this approach is used ARJJ-GARCH model, price volatility sequence into everyday behavior and sudden jumps, as well as researchers used ARDL model, which eliminates the need to consider the entire sequence with a single stage restrictions. He above research methods and conclusions are more conventional, very few consider using nonlinear vector Markov process autoregressive model of the article. This paper uses the proposed Hamilton, Krolzig inherited study out of the nonlinear system vector auto regression model Markov district, considered the model parameters with Regimes and change the characteristics of theoretical reasoning and empirical proof combination of approaches. Analysis of different areas of the system, the consumer price index itself and the oil price shocks on the domestic consumer market to obtain valuable results and recommendations.The results of the paper are organized as follows:The first chapter is an introduction, discusses the background and significance of the article. Secondly, it discusses the research and innovation of this deficiency, and thus the method and structural arrangement article discusses research.The second chapter discusses the theory of the price of oil and consumer goods markets. From the outside and inside, what is first introduced commodity markets, commodity markets a brief overview of the commodities market, which followed the oil market theory are analyzed, reviewed the development process of the world oil market, and then followed by a discussion its implementation in the form of China:History of the development of Chinese oil market, the last of the inherent logic relationship between oil prices and the CPI was explained, discussed the interaction transmission mechanism.Chapter Three different aspects related literature were reviewed, according to the first macro then micro, after the virtual economy to the real economy in order. First, most scholars summed up the field of early start of the study:the oil market price volatility and the relationship between macroeconomic. Secondly, it analyzes the relationship between oil price volatility in commodity markets, including agricultural products, other resource products. Also analyzes the oil market and capital market, the gold market transfer relation, finally Markov models in the domestic field of literature to do a systematic review.Chapter IV of the model based on the mathematical model MSVAR derivation, combined with the way the measurement theory was explained, followed by explanation describes the meaning of the relevant basic tests, and describes the characteristics of the data sources. Finally, the oil price data and consumer price data, quantitative analysis, examined the linkage between, on the different characteristics of different Regime were analyzed also analyzed to infer the causes.The fifth chapter presents conclusions based on empirical results and recommendations. Confirmed that consumer price data has a high and low volatility at different times, according to different regions of relevance and probability distribution system, targeted policy recommendations.The paper, at home and abroad numerous theoretical and empirical research based on the results obtained analyzed out conclusions. (1) China’s CPI rate of change of prices in international oil prices and the growth rate of two variables After a period of dynamic stabilization process, in case of unexpected external events or important domestic policy adjustments, will face together "rapid rise" or "rapid decline "the risks, especially refined oil pricing mechanism in each adjustment period is particularly evident, and policy recommendations for the foreign and domestic oil market, especially in terms of oil price reform should be guided by prudence, science, market values, and constantly pricing improve the scientific level, the formation of normalization mechanisms to avoid temporary and irrational decision-making behavior, focusing on long-term interests, the only way to advance stabilize market confidence, reduce unnecessary volatility. (2) For the Government of the price fluctuations of the economic cycle, to adopt reasonable interventions in the consumer price index low volatility conditions we should not blindly introduce expansionary fiscal and monetary policy, and it should distinguish between specific stages. Unreasonable interference will not only reduce volatility, but volatility will increase discretionary policy guidelines for the use requires careful use. (3) policy recommendations on our government for the purchase of basic commodities supply channels, the supply mode and the total should be brought enough attention to ensure that our country’s important energy resources, products like security, like food security, should be through political, comprehensive economic and diplomatic means, the efforts from the beginning to the source output resources, make full use of our accumulated in the capital, technology and other advantages forces to participate in international cooperation in the development of resources and common development. (4) Should also develop our domestic oil futures market, the pricing power to compete in international oil prices, reduced fluctuations in the international oil price changes on our various markets, energy security.The innovation of this study lays first model selection, selects the non-linear Markov Regime vector auto regression model, different from the previous article to use more linear co integration, linear regression and linear vector auto regression model analysis, try to use nonlinear model is relatively small number of theoretical literature in the last decade related. This provides the appropriate research to academic session. Secondly, the study perspective, first of all according to the standard theory of volatility and metering information guidelines, the CPI data Regimes division, the introduction of high and low volatility state, followed by the oil price shocks study it, which is before the scholars use ARCH perhaps the GARCH model to study the asset price volatility, jumping vary. On the data volume and duration, but also to ensure the effective monthly certain number of samples, the study sample short interval in the performance of the model runs, the sample was first started in 1999, the latest time to adjust to the 2015, which will contribute to the timely history and a new economic cycle to reflect changes to the model, an accurate recommendation.Limited to personal knowledge and academic level limited objective, the drawback is that this study:first, due to limitations and partial data synchronization article research areas difficult to collect, tag selection should be more present on the introduction of a number of variables to analyze their relationship, this article in line with the principle of prudence, and to collect as many samples of data to improve the accuracy of estimation, there is no release some time is not long and not strong correlation between the variables included in the index which is selected comparison two important variables, basic MSVAR model, model depth of feeling is not very high, in convincing empirical possible for some of the problems of inadequate, for example in the volatile state transition time to adjust and refined oil pricing mechanism changes in other economic variables which in the end caused a greater impact needs further quantitative research. In future academic research, we can add some relevant variables tested, forming a relatively tight zone nonlinear system conversion research system. Second, in this model and the traditional model the characteristics of the respective advantages and disadvantages are the lack of explanation of contrast, a number of related tests have further complement the space to better illustrate the results and recommendations. The above deficiencies are my future direction of efforts to continue research this issue. |
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