称号及び氏名

博士（経済学） 田 洪志

学位授与の日付

平成２４年３月３１日

論文

名 「The Relationship Between Oil Price Shocks andMacroeconomic Aggregates」

論文審査委員主査 村澤 康友
副査 松川 滋副査 佐橋 義直
副査 立花 実

論文要旨
In 1973 and 1979, two oil crises occurred in the international market for crude oil.
These oil crises had significant effects on oil importing countries. There are some studies
on the relationship between oil prices and macroeconomic aggregates in empiricalliterature. In fact, two themes are explored in regard to this subject, that is, the effectsof oil price shocks on real economic activity and the causes of oil price changes.
Oil price shocks almost always impose negative effects on real economic activity.
These negative effects include inflation, recession, and high unemployment. A recent
finding showed that these effects are significantly weaker after 2000 than in the 1970sand 1980s. This phenomenon can be interpreted based on the change in economic
structure and on monetary policy. Based on prior research, economists attempt to clarify
the transmission mechanisms of oil price shocks in the economic system and recommend
appropriate economic policies to authority so as to reduce such effects.
In Chapters 2 and 3 of this paper, both a Dynamic Stochastic General Equilibrium(DSGE) model and a structural Vector Autoregession (VAR) model will be respectively
constructed to confirm the effects of oil price shocks on Japan's economy. The primaryfindings of Chapter 2 are the substitution effects between capital, labor and oil. InChapter 3, a new method using the share of each term of expenditure side of Japan's
national income will be adopted to observe the structural change in Japan's economy. A
feature of Japan's economy is that after the 1980s, the weights of private consumption
and total investment have decreased, whereas the weights of the expenditure ofgovernment, exports, and imports all increased. This approach can also explain why the-1-

effects of oil price shocks are weaker after 2000 compared with those in the 1970s and1980s. Moreover, the Granger causality between Japan's total investment and exports
after 1985 will be further explained. My main finding is that the scale of effects of oil
price shocks on one country relates on the economy structure of this country.
About the causes of oil price changes, a common viewpoint that has emerged recentlyis that the shortage in supply from the international market resulted in the increase inreal oil price. Moreover, the production of crude oil was easily affected by the war andpolitical strife in the Middle East before the 2000s. However, since 2002, no observablereduction occurred in the production of crude oil, despite the fact that real oil prices
have increased. During the same period, a remarkable event associated with theinternational market of crude oil is the rapid economic growth of Brazil, Russia, India
and China (BRIC), all of which have high levels of oil consumption. As the largest
economy in BRIC, close attention is given to the role of China's real economic activity inthe increase in the real price of oil.
Chapter 4 of this paper aims to confirm whether China's economy has indeed affected
the real price of oil in recent decades. To determine this effect, a structural VAR model
was used, and shocks of the oil market-specific demand and Organisation for Economic
Cooperation and Development (OECD) demand were found to have imposedconsiderable effects on the real price of crude oil from 1994 to 2010. In addition, prior to2002, China's real economic activity did not have sufficient power to affect the real priceof oil. Since 2002, however, the demand shocks of China's economic activity positivelyaffected world oil price, but this effect was only temporary and minimal. Until 2010,
China's oil consumption accounted for a very small portion of total world consumption,
which possibly explains the minimal effect on the real price of oil. The effect of China's
real economic activity on the real price of oil may be important in the future, but not atthe present time.

学位論文審査結果の要旨
提出論文は，原油価格とマクロ経済の関係を分析した以下の3本の論文から成る．
1. “The Effects of Oil Price Shocks on Japan’s Economy: A DSGE Approach”（第2 章）
2. “Studying the Effects of Oil Price Shocks on Japan’s Economy” （第3 章）
3. “The Role of China’s Real Economic Activity in Oil Price Changes” （第4 章）
原油価格の上昇は原油輸入国のマクロ経済に負の効果を持つと思われがちだが，必ずしもそうと-2-は限らない．実際に日本経済に対しては正の効果を持つ可能性が幾つかの先行研究で示されている．この点について各章の論文は，それぞれ異なる視点から分析している．
第2章は動学的確率的一般均衡（DSGE）モデルを用いたシミュレーション分析である．新しいケインズ派のDSGE モデルに生産要素として原油を追加し，パラメーターの設定次第で原油価格の上昇が実質GDP を増加させ得ることを示している．本章はInternational Research Journal ofFinance and Economics （2010年，第42 巻）掲載論文に若干の修正を加えたものである．
第3章では，原油価格の上昇が日本経済に与える影響を，GDP の需要項目別に2 変量構造VAR モデルで分析している．1985 年頃の構造変化を検定で確認し，実質GDP 全体に対する効果は1985年以前は負，以後は正であることをインパルス応答関数で示している．これは原油価格の変動要因が1985 年以前と以後で異なる可能性（1985 年以前は供給側，以後は需要側が主要因）を示唆している．本章の元になる論文は日本経済学会2011 年度春季大会とInternational Economic
Association の2011 年度World Congress で報告された．
その後Energy Economics に投稿し，改訂・再投稿の機会を与えられている．同誌からは詳細なレフェリー・コメントがあり，本章はそれに従って修正した再投稿予定の論文である．
2000 年以降の原油価格の上昇の主要因として中国の経済成長が指摘される．第4 章では，その仮説を構造VAR モデルで検証している．供給・需要・価格の3 変量構造VAR モデルで原油価格の変動要因を分析した先行研究を参考に，需要をOECD と中国に分けて4 変量に拡張して分析している．インパルス応答関数とヒストリカル分解により，需要・供給の変化自体ではなく，それをきっかけとした投機が原油価格の主な変動要因であるとの先行研究の結果を確認している．本
論文はEnergy Policy に現在投稿中である．
最終審査においては審査委員から若干の誤りや不明確な点が指摘された．例えば第2 章のDSGEモデルは経済モデルとして閉じておらず，第3 章の需要項目別のインパルス応答関数では原油価格ショックの大きさが統一されていない．また論文の末尾で先行研究を長々と紹介して論文の貢献の印象を弱めている，図表の示し方が標準的でなく見にくい，全体に英語の誤りが散見されるなど，論文の体裁の不備も指摘された．これらの指摘を受けて論文全体を見直し，ネイティブ・スピーカーによる有料の英文校正を再度受け，改めて最終稿を提出した．
申請者は最終審査において，論文の内容の簡潔な説明を行うとともに，審査委員からの質問に対して的確に応答した．以上の審査結果に鑑み，学位論文審査委員会は，提出論文が博士学位論文として十分な内容を持つとの結論に達した．

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