国际原油价格与中国基础工业的影响关系研究

发布时间：2018-01-16 12:25

本文关键词：国际原油价格与中国基础工业的影响关系研究　出处：《天津大学》2016年硕士论文　论文类型：学位论文

【摘要】：2008年金融危机前后,原油经历了暴涨暴跌;2011年再次站上百元大关;但好景不长,2014年国际油价暴跌将近50%,进入2015年油价仍有继续大跌之势。改革开放以来,中国工业化和城市化进度加快,居民消费需求结构升级和宏观经济不断发展。中国能源的消费量逐渐增加,主要依赖于进口,对外依存度高达60%。在这一背景下,本文提出采用多种计量方法研究国际油价对中国基础工业的影响关系,对中国经济的长远健康发展和制定能源政策,以及防范金融市场风险具有重要的学术价值与意义。本文采用Granger因果检验、CARR族模型、CCF检验法等多种计量模型,从分行业角度探讨了国际原油价格波动与中国基础工业的影响关系。本文选取的基础工业包括电力、冶金、机械、化学、煤炭、石油石化六大行业。实证结果表明:原油价格变化率与钢铁、煤炭、石油石化行业存在显著的双向线性Granger因果关系,机械、基础化工到原油价格变化率存在显著的单向线性Granger因果关系,电力及公共事业与原油价格不存在线性Granger因果关系;原油价格变化率与6个基础工业存在显著地双向非线性因果关系。中国电力、冶金、机械、化学与原油价格存在双向信息溢出效应,存在从原油价格到煤炭行业的单向均值、方差溢出效应,原油价格与石油石化行业存在双向方差溢出效应和从原油价格到石油石化行业的单向均值溢出效应,而且信息溢出效应并不是十分稳定。油价波动对中国六个基础工业行业市场具有显著地正向影响关系,其中,煤炭和钢铁行业受波动影响程度最大,基础化工行业受波动影响程度最小;但油价波动对中国六个基础工业股票市场基本不存在非对称波动溢出效应。中国基础工业市场显著受到原油价格波动的影响,建立中国原油期货市场,争取原价话语权,对保障中国能源安全具有重要意义。
[Abstract]:In 2008, before and after the financial crisis, crude oil experienced a sharp rise and fall; In 2011, once again stand hundreds of dollars mark; However, the situation did not last long. In 2014, the international oil price plummeted by nearly 50 percent, and in 2015, the oil price continued to drop sharply. Since the reform and opening up, the progress of China's industrialization and urbanization has accelerated. The consumption of energy in China is gradually increasing, mainly dependent on imports, and the degree of dependence on foreign countries is as high as 60%. This paper proposes to study the impact of international oil price on China's basic industry by using a variety of measurement methods, and to formulate energy policies for the long term and healthy development of China's economy. It is of great academic value and significance to prevent financial market risk. This paper adopts Granger causality test / Carr family model and other measurement models. The relationship between the fluctuation of international crude oil price and the basic industry of China is discussed in this paper. The basic industries selected in this paper include electric power, metallurgy, machinery, chemistry and coal. The empirical results show that there is a significant bidirectional linear Granger causality between crude oil price change and steel, coal, petroleum and petrochemical industries. There is a significant unidirectional linear Granger causality between basic chemical industry and crude oil price change rate, but there is no linear Granger causality relationship between electric power and utility industry and crude oil price. The rate of change of crude oil price has significant bidirectional nonlinear causality with six basic industries. There is a two-way information spillover effect between electric power, metallurgical, mechanical, chemical and crude oil prices in China. There are one-way mean, variance spillover effect from crude oil price to coal industry, bidirectional variance spillover effect between crude oil price and petroleum and petrochemical industry and one-way mean spillover effect from crude oil price to petroleum and petrochemical industry. And the information spillover effect is not very stable. Oil price fluctuation has a significant positive impact on the six basic industrial markets in China, among which the coal and steel industries are the most affected by the volatility. The basic chemical industry is the least affected by the fluctuation; However, there is no asymmetric volatility spillover effect on the six basic industrial stock markets in China. China's basic industrial market is significantly affected by crude oil price fluctuations, establishing China's crude oil futures market. Striving for the original price right is of great significance to the protection of China's energy security.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F416.22;F764.1;F424

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