Resources Science ›› 2017, Vol. 39 ›› Issue (6): 1202-1211.doi: 10.18402/resci.2017.06.19

• Orginal Article • Previous Articles     Next Articles

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

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