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5 BRENT原油价格与六大行业板块指数的均值、方差-Granger因果关系检验结果 |
| Table 5 The results of mean and variance Granger casualty test of BRENT crude oil price and six industry sector index |
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| 均值-因果检验 | 方差-因果检验 | 均值-因果检验 | 方差-因果检验 | | k | EP→BRENT | BRENT→EP | EP→BRENT | BRENT→EP | ST→BRENT | BRENT→ST | ST→BRENT | BRENT→ST | | 0 | 1.905 8* | 1.905 8* | 1.422 2 | 1.422 2 | 0.938 6 | 0.938 6 | 1.048 7 | 1.048 7 | | 1 | 0.656 0 | 2.581 0*** | 0.440 5 | 2.844 4*** | 0.933 8 | 1.695 1* | 0.469 3 | 2.092 6** | | 2 | 0.196 3 | -0.632 1 | 0.383 1 | -0.612 9 | 0.253 8 | -0.713 5 | 0.210 7 | -0.426 2 | | 3 | 1.853 2* | 0.641 7 | 1.589 8 | 0.608 1 | 1.565 8 | 0.162 8 | 1.278 5 | 0.517 2 | | 4 | 0.804 5 | -0.526 7 | 0.272 9 | -1.106 1 | 0.593 8 | -0.114 9 | 0.205 9 | -0.799 7 | | 5 | 0.134 1 | 2.791 7*** | 0.330 4 | 2.533 1 | -0.857 1 | 1.968 1** | -0.814 0 | 1.987 2 | | 6 | 1.642 5 | 0.301 7 | 0.680 0 | -0.162 8 | 2.006 4 | 0.507 6 | 2.145 3** | 0.541 1 | | 7 | -0.134 1 | -1.034 3 | 0.186 8 | -0.014 4 | 0.244 2 | -1.771 8* | 0.713 5 | -1.877 1* | | 8 | 1.585 0 | 0.569 8 | 2.475 7** | 0.225 1 | 1.992 0** | 0.354 4 | 2.830 0*** | 0.086 2 | | 9 | 0.387 9 | 0.148 4 | 0.258 6 | -0.110 1 | -0.258 6 | -0.392 7 | -0.450 1 | -0.038 3 | | 10 | 0.301 7 | -0.287 3 | -0.105 3 | -0.502 8 | 0.268 2 | 0.047 9 | -0.249 0 | -0.536 3 | | 均值-因果检验 | 方差-因果检验 | 均值-因果检验 | 方差-因果检验 | | k | MA→BRENT | BRENT→MA | MA→BRENT | BRENT→MA | FC→BRENT | BRENT→FC | FC→BRENT | BRENT→FC | | 0 | 1.120 5 | 1.120 5 | 0.584 2 | 0.584 2 | 1.149 2 | 1.149 2 | 0.632 1 | 0.632 1 | | 1 | 0.493 2 | 2.370 3** | 0.340 0 | 2.341 6** | 0.402 2 | 2.446 9*** | 0.014 4 | 2.509 2** | | 2 | -0.478 9 | 0.972 1 | -0.258 6 | 0.981 6 | -0.335 2 | -0.502 8 | -0.249 0 | -0.431 0 | | 3 | 2.260 2** | -0.536 3 | 1.834 0* | -0.569 8 | 2.700 7*** | 1.034 3 | 2.480 5** | 0.838 0 | | 4 | 1.134 9 | 0.186 8 | 1.034 3 | -0.335 2 | 1.082 2 | -1.000 8 | 0.727 9 | -1.465 3 | | 5 | -0.866 7 | 1.273 7 | 0.177 2 | 1.728 7* | -0.249 0 | 1.728 7* | -0.081 4 | 1.340 8 | | 6 | 1.513 2 | -0.507 6 | 0.981 6 | -0.282 5 | 1.594 6 | -0.210 7 | 0.905 0 | -0.239 4 | | 7 | -0.555 5 | -1.867 5* | -0.660 8 | -1.618 5 | 0.890 7 | -1.819 6* | 0.703 9 | -1.589 8 | | 8 | 0.708 7 | -0.589 0 | 1.115 7 | -0.646 5 | 0.560 3 | 0.555 5 | 0.823 6 | 0.627 3 | | 9 | 0.119 7 | 0.186 8 | -0.210 7 | 0.076 6 | 0.459 7 | -0.014 4 | 0.397 4 | -0.186 8 | | 10 | -0.225 1 | -0.541 1 | -0.804 5 | -1.201 9 | -0.038 3 | -0.383 1 | -0.512 4 | -0.670 4 | | 均值-因果检验 | 方差-因果检验 | 均值-因果检验 | 方差-因果检验 | | k | CO→BRENT | BRENT→CO | CO→BRENT | BRENT→CO | PP→BRENT | BRENT→PP | PP→BRENT | BRENT→PP | | 0 | 0.282 5 | 0.282 5 | 0.933 8 | 0.933 8 | 1.110 9 | 1.110 9 | 0.823 6 | 0.823 6 | | 1 | 1.393 5 | 3.701 5*** | 1.221 1 | 6.828 4*** | 0.105 3 | 2.547 5** | -0.023 9 | 2.279 3** | | 2 | 0.229 8 | 1.953 7* | -0.043 1 | 1.326 4 | 1.240 2 | -1.115 7 | 1.091 8 | -1.273 7 | | 3 | 0.023 9 | 0.272 9 | -0.440 5 | 0.086 2 | 1.278 5 | 1.494 0 | 1.034 3 | 1.359 9 | | 4 | 1.422 2 | -0.493 2 | 0.545 9 | -1.149 2 | 0.708 7 | 0.014 4 | 0.201 1 | -0.799 7 | | 5 | -1.192 3 | 1.474 9 | -1.326 4 | 0.689 5 | -1.292 9 | 1.221 1 | -0.727 9 | 0.852 4 | | 6 | 1.149 2 | 0.545 9 | 1.359 9 | 0.340 0 | 1.613 7 | 0.383 1 | 1.134 9 | -0.062 3 | | 7 | 0.502 8 | -0.205 9 | 0.234 6 | -0.038 3 | 0.962 5 | -0.751 8 | 2.178 8** | -0.775 7 | | 8 | -0.110 1 | 0.287 3 | 0.062 3 | 0.703 9 | 1.340 8 | -0.287 3 | 1.958 5* | -0.589 0 | | 9 | -0.028 7 | 0.732 6 | -0.823 6 | 0.742 2 | 0.986 4 | 0.411 8 | 0.545 9 | -0.229 8 | | 10 | -0.584 2 | -1.321 6 | -1.034 3 | -1.225 9 | -0.684 8 | -0.885 9 | -1.043 9 | -1.106 1 |
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