能源经济学研讨会 

【总第67期】

Uncertainty Shocks to Oil Prices and Chinese Macroeconomy
本次能源经济学研讨会邀请到中央财经大学经济学院的俞剑老师学术演讲。

时间：5月6日，星期五，12:00—13:00
地点：中国人民大学明德主楼734会议室

Abstract: This paper investigates the dynamic impacts of uncertainty shocks to oil prices on Chinese real GDP (Gross Domestic Product) and investment. Two measures, sample standard deviation and conditional standard deviation of forecast errors estimated from a GARCH (1,1) model of monthly oil prices, are constructed to characterize uncertainty in oil prices. We find that an increase in volatility of oil prices tends to reduce real GDP and investment, which in turn encourages Chinese government to stabilize the economy via expansionary fiscal and monetary policies. Furthermore, a symmetric result arises when we differentiate impacts of increase and decrease in oil price uncertainties. An increase in volatility of oil prices in the uncertainty-increasing sample suppresses real GDP and investment, while a decrease in volatility of oil prices in the uncertainty-decreasing sample boosts macroeconomy. We ascribe the boosting effect of decreasing uncertainty to the combined factor of falling uncertainty and (concomitant) expansionary monetary and fiscal policies. A cross-section check related to economic geography indicates that uncertainty shocks to oil prices generate a significantly greater negative impact on real GDP and investment in East China, where the economy is more industrialized and depends more heavily on oil.
作者简介：
俞剑，男，浙江金华人，毕业于中国人民大学经济学院，获经济学博士学位。现为中央财经大学经济学院讲师。主要研究方向为石油价格波动与宏观经济政策。目前，已在 Social Science Journal，Journal of WTO and China，《经济学动态》、《金融研究》、《中国人民大学学报》、《经济理论与经济管理》、《财贸经济》等国内外期刊上发表研究论文十余篇，并有多篇文章被SSCI、EI、人大复印资料全文转载或收录，同时著有《国际油价波动的市场特征与中国需求冲击》（合著）。
能源经济学研讨会（Energy Economics Seminar）由中国人民大学经济学院能源经济系定期推出，旨在为研究中国能源经济问题的学者提供交流的平台。

 联系人：宋枫（songfeng@ruc.edu.cn）  

中国人民大学 经济学院能源经济系