陈鹏老师的论文在ENERGY POLICY期刊发表

2015-09-30 浏览次数:10 评论 0

    20159月,ENERGY POLICY期刊刊发了我所陈鹏副研究员的论文Global oil prices, macroeconomic fundamentals and China' s commodity sector comovements。该刊是有关能源的综述性刊物,主要发表有关世界各国的能源规划、供需、开发及与能源相关的政治、经济、环境和社会等问题的文章。创刊于1973年,全年15期,是SCISSCIEI收录期刊,20142015年的影响因子2.575。论文摘要如下:
    This paper investigates the common movements of commodity sectors in China as well as the economic underpinnings of the comovements. We employ a Bayesian dynamic latent factor model to disentangle the common and idiosyncratic sector-specicfactors of the prices of a group of China's commodity sectors: petrochemicals, grains,energy,non-ferrousmetals, oils &fats, and softs. The results indicate that the common factor accounts for a signicant portion of the uctuations of China's commodity sectors,providing evidence of the strong commodity sector comovements in China. We further use a VAR model to link the common movements across China's commodity sectors to the underlying determinants, including global oil price shocks and domestic macroeconomic uctuations. We find that the global oilflfiprice shocks have strong effects on the common movements across commodity sectors in China in addition to its domestic macroeconomic uctuations at long horizons. However, at short horizons, theflcommon movements across commodity sectors in China respond more strongly to the global oil shocks than to its domestic macroeconomic uctuations.

 

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