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
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郭名媛, 王娜
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Information spillover effects of crude oil price shocks on Chinese basic industries according to CARR modeling
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Mingyuan GUO, Na WANG
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| 表2 BRENT原油价格和六大行业板块指数极差序列的平稳性检验结果 |
| Table 2 The results of BRENT crude oil price and six industry sector index ranges unit root test |
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| 有常数项 | 有常数和趋势项 | 无常数和趋势项 | | ADF统计量 | P值 | ADF统计量 | P值 | ADF统计量 | P值 | | BRENT | -9.136 6 | 0.000 0 | -9.629 6 | 0.000 0 | -2.376 3 | 0.016 9 | | EP | -4.223 6 | 0.000 6 | -5.491 2 | 0.000 0 | -2.040 2 | 0.039 7 | | ST | -4.189 6 | 0.000 7 | -5.216 7 | 0.000 1 | -1.979 9 | 0.045 7 | | MA | -4.168 3 | 0.000 8 | -6.209 5 | 0.000 0 | -1.815 9 | 0.066 1 | | FC | -4.145 3 | 0.000 8 | -6.114 5 | 0.000 0 | -1.843 4 | 0.062 2 | | CO | -4.911 2 | 0.000 0 | -6.105 9 | 0.000 0 | -1.995 4 | 0.044 1 | | PP | -3.729 8 | 0.003 8 | -7.322 6 | 0.000 0 | -1.691 1 | 0.086 0 |
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