Abstract

This paper mainly focuses on the dynamic effects of oil price shocks on macroeconomics and different industries. Specifically, we examine the corresponding dynamic influence mechanism, as well as analyzing the sources of structural shocks that drive oil price fluctuations. Since the oil prices fluctuation generates endogenous effects on the macroeconomic dynamics, it is appropriate to use the shocks of oil price fluctuations as structural shocks. Then the structural vector autoregressive (SVAR) model is employed for analysis. And we utilize the Bayesian estimation method that fully recognizes prior information to estimate the SVAR model, with which the impact of structural shocks that cause international oil price fluctuations are examined. Further, the influences and impact mechanism of oil supply shocks, specific demand shocks, and aggregate demand shocks on Chinese industry economies are examined. Empirical studies have found that the influence of oil supply has caused reduction in oil production. In the short term, the shocks of oil supply and specific demand in the oil market lead to rising oil prices, thus curbing economic output. The rise of oil prices caused by aggregate demand shocks will expand economic output. The shock of aggregate economic demand acts as the main source of oil price shocks, and the specific demand of the oil market generates more restraining effects on economic output than that of oil supply and aggregate demand. Seen from the heterogeneity of light and heavy industries, energy-intensive industries are less affected by the supply and demand shocks than other industries due to the impact of government subsidies and the state-owned enterprise equity system. The impact of specific demand shocks of oil prices on industrial output is higher than that of supply shocks and demand shocks. The conclusion provides reference for adopting strategies to cope with oil prices fluctuation from the perspective of national security, so as to establish diversified oil reserve system, avoiding risks in the energy derivatives market.

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