资源科学 ›› 2017, Vol. 39 ›› Issue (6): 1202-1211.doi: 10.18402/resci.2017.06.19

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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

郭名媛(), 王娜   

  1. 天津大学管理与经济学部,天津 300072
  • 收稿日期:2016-04-09 修回日期:2017-04-13 出版日期:2017-06-20 发布日期:2017-06-20
  • 作者简介:

    作者简介:郭名媛,女,天津人,博士,副教授,主要研究方向为低碳经济,金融计量学。E-mail:leu2@163.com

  • 基金资助:
    国家社会科学基金资助项目(14CTJ012)

Information spillover effects of crude oil price shocks on Chinese basic industries according to CARR modeling

Mingyuan GUO(), Na WANG   

  1. College of Management and Economics,Tianjin University,Tianjin 300072,China
  • Received:2016-04-09 Revised:2017-04-13 Online:2017-06-20 Published:2017-06-20

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。

关键词: CARR模型, CCF检验法, 原油价格, 基础工业, 信息溢出效应, 中国

Abstract:

At the beginning of the 21st century the crude oil price experienced huge fluctuations and China's crude oil consumption continues to rise. The major concern has shifted to the influence of international crude oil prices fluctuations on China's economic development. The basic industry is the material basis for the development of industry,especially heavy industry,and plays a decisive role in national economic development. China's six basic industrial developments are closely related to crude oil prices. It is necessary to study how crude oil prices affect China's basic industries. Using CARR modeling and CCF tests,we researched the information spillover effects of crude oil price shocks on China's six basic industries (electricity,metallurgy,machinery,fundamental chemicals,coal and petroleum and petrochemical) from January 1st, 2005 to July 31st, 2014. The empirical results show that:①The volatility of crude oil price has significant influences on China's six basic industries;②There are the bidirectional mean and variance spillover effects between Chinese electricity, metallurgy, machinery, fundamental chemicals industries and crude oil price;③There are the unidirectional mean and variance spillover effects running from crude oil prices to coal industry;④There are bidirectional variance information spillover effects and unidirectional mean information spillover effects running from crude oil price to petroleum & petrochemical industry;⑤The information spillover effect is not very stable, seen from the significant level of 10 lags. We conclude that China's basic industrial markets are significantly affected by fluctuations in crude oil prices. In order to compete for crude oil pricing rights and protect China's energy security,it is necessary to establish a Chinese crude oil futures market.

Key words: CARR Model, CCF test, crude oil price, basic industries, information spillover effects, China