基于CARR模型的油价冲击与中国基础工业信息溢出效应研究

发布时间：2018-03-12 19:12

本文选题：CARR模型　切入点：CCF检验法　出处：《资源科学》2017年06期 　论文类型：期刊论文

【摘要】：21世纪初期,原油价格经历了暴涨暴跌的巨幅波动,中国原油消费量同时逐年上涨,国际原油价格波动对中国经济发展的影响成为了关注热点。基础工业是发展工业、尤其是重工业的物质基础,对国民经济发展起着举足轻重的作用。中国的六大基础工业的发展与原油价格息息相关,研究原油价格对中国基础工业的影响十分必要。本文采用CARR模型和CCF检验法,研究了2005年1月4日至2014年7月31日期间油价冲击与中国六大基础工业的信息溢出效应。实证结果表明:(1)中国电力及公用事业、钢铁、机械、基础化工、煤炭、石油石化六大基础工业均显著地受到原油价格波动的影响;(2)中国电力及公用事业、钢铁、机械、基础化工与原油价格存在双向均值溢出效应和方差溢出效应;(3)对于煤炭行业,存在由原油市场到煤炭行业的单向均值溢出效应和单向方差溢出效应;(4)对于石油石化行业,存在由原油市场到石油石化行业的单向均值溢出效应和双向方差溢出效应;(5)从10个滞后阶数的显著性水平分析,中国基础工业与原油市场之间的信息溢出效应并不是十分稳定。
[Abstract]:In the beginning of 21th century, the crude oil price experienced a huge fluctuation, and China's crude oil consumption increased year by year. The impact of the international crude oil price fluctuation on China's economic development became a hot spot. The basic industry is the development industry. In particular, the material basis of heavy industry plays an important role in the development of the national economy. The development of China's six major basic industries is closely related to the price of crude oil. It is necessary to study the influence of crude oil price on China's basic industry. This paper adopts CARR model and CCF test method. The oil price shock and the information spillover effects of China's six major basic industries between January 4th 2005 and July 31st 2014 were studied. The empirical results show that China's electricity and utilities, steel, machinery, basic chemical industry, coal, power and public utilities, Six major basic industries of petroleum and petrochemical are significantly affected by the fluctuation of crude oil prices. (2) there are two-way mean spillover effects and variance spillover effects on China's electricity and public utilities, iron and steel, machinery, basic chemicals and crude oil prices. There are one-way mean spillover effects and one-way variance spillover effects from the crude oil market to the coal industry. The existence of one-way mean spillover effect and bidirectional variance spillover effect from crude oil market to petroleum and petrochemical industry is significant from 10 lag orders. The information spillover effect between China's basic industry and crude oil market is not very stable.
【作者单位】：天津大学管理与经济学部;
【基金】：国家社会科学基金资助项目(14CTJ012)
【分类号】：F416.22;F424;F764.1

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