Do Crude Oil Prices Drive Economic Policy Uncertainty? A Stu
发布时间：2024-04-14 08:18
金砖国家作为发展最强劲的新兴经济体在全球贸易合作中起着重要的作用,而原油是实体经济发展不可或缺的传统能源。近年来,金砖国家政府为了适应经济发展的快速转型以及深化产业结构改革的目标推出许多石油进出口利好政策。其各国的能源结构也因此发生转变。而当前,我们也处于经济政策不确定性发生巨大变化的大环境下,特别是现在经历的由于COVID-19大流行带来经济萎靡时期,这使得原油价格变化与各国经济政策不确定性的研究越来越受到学者的重视。本文首先梳理相关文献并阐述原油价格形成机制,通过分析相关理论建立起二者之间的理论影响,并参照之前的研究建立理论模型。根据新兴经济体的发展,我们分别讨论5个金砖国家的从1997年1月到2020年3月的月度经济政策不确定性。本文首先运用全样本格兰杰因果关系检验证明了两者间的时变相关性,再通过BDS检验验证了样本数据的非线性性,以上实证结果得出样本数据具有结构性断裂,传统的实证分析可能会造成结论的不准确。故本文结合分位数格兰杰因果关系检验和子样本拔靴因果关系检验对金砖国家经济政策不确定性和原油价格冲击进行研究。因果关系的实证结果呈现出不对称的特征,当石油市场经历供给冲击时,对...
【文章页数】：63 页
【学位级别】：硕士
【文章目录】：
摘要
Abstract
Chapter1 Introduction
1.1 Research background
1.2 Significance of this study
1.2.1 Theoretical significance
1.2.2 Practical significance
1.2.3 Feasibility of method
1.3 Research contents and Research methods
1.3.1 Research contents
1.3.2 Paper structure
1.3.3 Research methods
1.4 Contributions and deficiencies
1.4.1 Contributions
1.4.2 Deficiency
Chapter2 Literature review
2.1 Unidirectional impact from crude oil price to economic policy uncertainty
2.2 Unidirectional impact from economic policy uncertainty to crude oil price
2.3 Bidirectional relationship between crude oil price and economic policy uncertainty
2.4 Literature Evaluation
Chapter3 The relationship between crude oil price and economic stability
3.1 The mechanism of international oil price formation
3.2 Income transfer effect
3.3 Real balance effect
3.4 Supply shock effect
3.5 Inflation effect
Chapter4 Methodology and data description
4.1 Quantile Granger causality test
4.2 Parameter Stability Test
4.3 Sub-sample Rolling-window Causality Test
4.4 Data description
Chapter5 Empirical results
5.1 Checking for structural changes in data
5.2 Quantile Granger causality test for BRICS
5.3 Time-varying relationships in Brazil
5.4 Time-varying relationships in Russia
5.5 Time-varying relationships in India
5.6 Time-varying relationships in China
5.7 Time-varying relationships in South Africa
5.8 Robustness test
Chapter6 Conclusion
Reference
Research Results During Studying for the Degree
Acknowledgement
本文编号：3954388
【文章页数】：63 页
【学位级别】：硕士
【文章目录】：
摘要
Abstract
Chapter1 Introduction
1.1 Research background
1.2 Significance of this study
1.2.1 Theoretical significance
1.2.2 Practical significance
1.2.3 Feasibility of method
1.3 Research contents and Research methods
1.3.1 Research contents
1.3.2 Paper structure
1.3.3 Research methods
1.4 Contributions and deficiencies
1.4.1 Contributions
1.4.2 Deficiency
Chapter2 Literature review
2.1 Unidirectional impact from crude oil price to economic policy uncertainty
2.2 Unidirectional impact from economic policy uncertainty to crude oil price
2.3 Bidirectional relationship between crude oil price and economic policy uncertainty
2.4 Literature Evaluation
Chapter3 The relationship between crude oil price and economic stability
3.1 The mechanism of international oil price formation
3.2 Income transfer effect
3.3 Real balance effect
3.4 Supply shock effect
3.5 Inflation effect
Chapter4 Methodology and data description
4.1 Quantile Granger causality test
4.2 Parameter Stability Test
4.3 Sub-sample Rolling-window Causality Test
4.4 Data description
Chapter5 Empirical results
5.1 Checking for structural changes in data
5.2 Quantile Granger causality test for BRICS
5.3 Time-varying relationships in Brazil
5.4 Time-varying relationships in Russia
5.5 Time-varying relationships in India
5.6 Time-varying relationships in China
5.7 Time-varying relationships in South Africa
5.8 Robustness test
Chapter6 Conclusion
Reference
Research Results During Studying for the Degree
Acknowledgement
本文编号：3954388
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