能源价格、经济政策不确定性与宏观经济
重庆大学硕士学位论文
（学术学位）
学生姓名：魏雪瑞
指导教师：康继军教授
学科门类：经济学
学科名称：应用经济学
研究方向：区域经济学
答辩委员会主席：刘辛
授位时间：2023年6月
Energy Price,Economic Policy Uncertainty
and Macroeconomic
A Thesis Submitted to Chongqing University
In Partial Fulfillment of the Requirement
For the Degree of
Master of Science
In
Applied Economics
By
Wei Xuerui
Supervisor:Prof.Kang Jijun
June ,2023
重庆大学硕士学位论文摘要改革开放以来，中国经济发展离不开能源产业的支持。近年来受新冠疫情及日
益复杂的地缘政治环境影响，国际油价变动更加剧烈，严重影响国内能源价格，进
而影响宏观经济。众所周知，采取政策措施是政府维护宏观经济运行的重要手段，
经济主体会关注政策走向，并根据其政策预期调整投资与消费行为，当政策不确定
性加剧时，经济主体的行为更为复杂，并反映到宏观经济指标。然而现有关于能源
价格与宏观经济的研究中，却较少考虑政策不确定性带来的影响。“防范化解重大
经济金融风险”作为国家当下的重大战略重点，现有文献多研究能源市场和金融市
场的风险溢出，却鲜少涉及能源市场与宏观经济的风险溢出。因此，能源价格冲击
对宏观经济的影响有待深入研究。
为探讨政策不确定性下，能源价格冲击自身对宏观经济的影响以及风险溢出，
本文首先使用时变参数向量自回归模型分析了能源价格、经济政策不确定性与宏
观经济之间随时间变化的动态关系，了解经济政策不确定性发挥的作用。然后使用
Diebold 和Yilmaz 基于预测误差方差分解的溢出指数考察了能源市场、经济政策不
确定性与宏观经济各部门的静态和动态风险溢出，明确能源市场和宏观经济部门
风险溢出的特征。研究结果表明：（1）能源价格冲击会促使经济政策不确定性升高，
由此抑制短期的经济增长，特别的是，金融危机前，经济政策不确定性对经济增长
的中期作用表现为促进。（2）能源价格、经济政策不确定性对宏观经济的影响表现
出明显的随时间变化特征，在金融危机后至中美贸易摩擦前的时间内，由于我国经
常采取促进经济发展的措施，宏观经济变量对能源价格冲击和经济政策不确定性
的反应和其他时期不同。（3）能源市场、经济政策不确定性以及宏观经济部门之间
具有明显的风险溢出效应。静态溢出指数表明宏观经济变量是整个系统中风险传
递的主体，经济政策不确定性、消费、货币供给与利率是风险净输出方，能源价格、
产出、投资则是风险净接收方。（4）金融危机、中美贸易战、新冠肺炎疫情等外部
事件冲击会提高能源市场、经济政策不确定性与宏观经济部门的风险溢出水平，并
且新冠肺炎疫情的影响最大。
基于实证结果，本文提供如下政策建议：首先保证政策的稳定性，尽量降低制
定或实施政策引起的经济政策不确定性。其次，根据能源价格冲击的影响时效把握
政策实施时机。最后，政府应避免对作为风险净输出方的宏观经济变量过度干预。
关键词：能源价格；经济政策不确定性；宏观经济；时变参数向量自回归；溢出指
数
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重庆大学硕士学位论文Abstract
Abstract
Since reforming and opening up,China’s economic development is inseparable from
the support of energy industry.In recent years,due to the COVID-19pandemic and the
increasingly complex geopolitical environment,the changes in international oil prices
have become more drastic,thus affect the domestic energy prices and the macroeconomic.
As we all know,taking policy measures is an important means for the government to
maintain macroeconomic operation.Economic entities will pay attention to the trend of
policies,and adjust their investment and consumption behaviors according to their policy
expectations.When policy uncertainty increases,the behaviors of economic entities are
more complicated and reflected in macroeconomic indicators.However,existing research
on energy prices and macroeconomics has given little consideration to the impact of
policy uncertainty."Forestall major economic and financial risks "as the current focus
of country,the existing literature has studied the risk spillovers between energy market
and the financial market,but rarely involved the risk spillovers between energy market
and the macroeconomic.Therefore,the impact of energy price shock on macroeconomic
needs to be further studied.
In order to discuss the impact of energy price shock itself on macroeconomic and
risk spillover under the policy uncertainty,this paper first used the time-varying parameter
vector autoregressive model to analyze the dynamic relationship between energy price,
economic policy uncertainty and macroeconomic over time,so as to understand the role
of economic policy uncertainty.Then spillover index proposed by Diebold and Yilmaz
based on forecast error variance decomposition was used to investigate the static and
dynamic risk spillovers of energy market,economic policy uncertainty and various
sectors of macroeconomic,and to clarify the characteristics of risk spillovers between
energy market and macroeconomic sectors.The results show that:(1)Energy price shocks
can increase the economic policy uncertainty,thus inhibiting short-term economic growth.
In particular,before the financial crisis,the medium-term effect of economic policy
uncertainty on economic growth is shown as promoting.(2)The impact of energy prices
and economic policy uncertainty on the macroeconomic shows obvious change
characteristics over time.In the period from the financial crisis to the China-US trade
friction,because China often takes measures to promote economic development,the
response of macroeconomic variables to the energy price shock and economic policy
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重庆大学硕士学位论文Abstract
uncertainty is different from other periods.(3)Energy market,economic policy
uncertainty and macroeconomic sectors have obvious risk spillover effect.The static
spillover index indicates that macroeconomic variables are the main body of risk
transmission in the whole system.Economic policy uncertainty,consumption,money
supply and interest rate are net risk exporters,while energy prices,output and investment
are net risk recipients.(4)The impact of external events such as the financial crisis,the
China-US trade war,and the COVID-19pandemic will increase the risk spillover level
between the energy market,economic policy uncertainty and macroeconomic sectors,and
the COVID-19pandemic has the greatest impact.
Based on the empirical results,this paper provides the following policy
recommendations:First,ensure the stability of policies and minimize the economic policy
uncertainty caused by the formulation or implementation of policies.Secondly,grasp the
timing of policy implementation according to the impact of energy price shocks.Finally,
governments should avoid excessive intervention in macroeconomic variables that are net
exporters of risk.
Key words:Energy Price;Economic Policy Uncertainty;Macroeconomic;TVP-VAR;
Spillover Index
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