國際原油價格SVAR模型的穩健性檢驗

Abstract

基於 Kilian (2009) 使用SVAR模型對原油市場供給衝擊和總需求衝擊對原油實質價格影響的分析，本文利用世界月電力消費量同比增長率作為衡量實體經濟活動的指標對 Kilian (2009) 中的模型進行了穩健性檢驗。其中檢驗的重點在於總需求衝擊在1990-2012 期間對原油實質價格的累積效果。我發現 Kilian (2009) 高估了總需求衝擊對原油實質價格的累積效果。另外， Kilian (2009) 中所構建的世界實體經濟活動月指標可能摻雜世界對大宗工業原料的“預防性需求”，而這種需求可能會使後續研究產生偏誤。但若是使用本文所構建的電力需求指標就可以避免這種偏誤。鑒於衡量世界實體經濟活動月指標的缺乏，本文所構建的月指標可以為日後的研究提供一個不一樣的選擇。

Building on Kilian's (2009) structural VAR analysis of the effects of oil supply and aggregate demand shocks on the real price of crude oil, this paper tests the robustness of the model by using year-on-year growth rate of world's monthly electricity consumption as the measure of global economy activity. The focus is on the differences in the cumulative effects that aggregate demand shocks impact on real price of oil during 1990-2012. I find that Kilian (2009) overestimates the effect of aggregate demand shock on oil price. Besides, the monthly index of global real economic activity constructed in Kilian (2009) may contain “precautionary demand' for industrial commodities and which may cause a bias in the follow-up studies. While by using the new index constructed in this paper, the “precautionary demand' can be eliminated and the potential bias may be avoided. For the lack of monthly index measuring the real global economy activity, the monthly index constructed in this paper may be an alternative choice other than Kilian's index in further studies.