本文關(guān)鍵詞：國(guó)際原油價(jià)格與中國(guó)基礎(chǔ)工業(yè)的影響關(guān)系研究　出處：《天津大學(xué)》2016年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 原油價(jià)格 基礎(chǔ)工業(yè) Granger因果檢驗(yàn) CARR模型 CCF方法 非對(duì)稱效應(yīng)

【摘要】：2008年金融危機(jī)前后,原油經(jīng)歷了暴漲暴跌;2011年再次站上百元大關(guān);但好景不長(zhǎng),2014年國(guó)際油價(jià)暴跌將近50%,進(jìn)入2015年油價(jià)仍有繼續(xù)大跌之勢(shì)。改革開(kāi)放以來(lái),中國(guó)工業(yè)化和城市化進(jìn)度加快,居民消費(fèi)需求結(jié)構(gòu)升級(jí)和宏觀經(jīng)濟(jì)不斷發(fā)展。中國(guó)能源的消費(fèi)量逐漸增加,主要依賴于進(jìn)口,對(duì)外依存度高達(dá)60%。在這一背景下,本文提出采用多種計(jì)量方法研究國(guó)際油價(jià)對(duì)中國(guó)基礎(chǔ)工業(yè)的影響關(guān)系,對(duì)中國(guó)經(jīng)濟(jì)的長(zhǎng)遠(yuǎn)健康發(fā)展和制定能源政策,以及防范金融市場(chǎng)風(fēng)險(xiǎn)具有重要的學(xué)術(shù)價(jià)值與意義。本文采用Granger因果檢驗(yàn)、CARR族模型、CCF檢驗(yàn)法等多種計(jì)量模型,從分行業(yè)角度探討了國(guó)際原油價(jià)格波動(dòng)與中國(guó)基礎(chǔ)工業(yè)的影響關(guān)系。本文選取的基礎(chǔ)工業(yè)包括電力、冶金、機(jī)械、化學(xué)、煤炭、石油石化六大行業(yè)。實(shí)證結(jié)果表明:原油價(jià)格變化率與鋼鐵、煤炭、石油石化行業(yè)存在顯著的雙向線性Granger因果關(guān)系,機(jī)械、基礎(chǔ)化工到原油價(jià)格變化率存在顯著的單向線性Granger因果關(guān)系,電力及公共事業(yè)與原油價(jià)格不存在線性Granger因果關(guān)系;原油價(jià)格變化率與6個(gè)基礎(chǔ)工業(yè)存在顯著地雙向非線性因果關(guān)系。中國(guó)電力、冶金、機(jī)械、化學(xué)與原油價(jià)格存在雙向信息溢出效應(yīng),存在從原油價(jià)格到煤炭行業(yè)的單向均值、方差溢出效應(yīng),原油價(jià)格與石油石化行業(yè)存在雙向方差溢出效應(yīng)和從原油價(jià)格到石油石化行業(yè)的單向均值溢出效應(yīng),而且信息溢出效應(yīng)并不是十分穩(wěn)定。油價(jià)波動(dòng)對(duì)中國(guó)六個(gè)基礎(chǔ)工業(yè)行業(yè)市場(chǎng)具有顯著地正向影響關(guān)系,其中,煤炭和鋼鐵行業(yè)受波動(dòng)影響程度最大,基礎(chǔ)化工行業(yè)受波動(dòng)影響程度最小;但油價(jià)波動(dòng)對(duì)中國(guó)六個(gè)基礎(chǔ)工業(yè)股票市場(chǎng)基本不存在非對(duì)稱波動(dòng)溢出效應(yīng)。中國(guó)基礎(chǔ)工業(yè)市場(chǎng)顯著受到原油價(jià)格波動(dòng)的影響,建立中國(guó)原油期貨市場(chǎng),爭(zhēng)取原價(jià)話語(yǔ)權(quán),對(duì)保障中國(guó)能源安全具有重要意義。
[Abstract]:In 2008, before and after the financial crisis, crude oil experienced a sharp rise and fall; In 2011, once again stand hundreds of dollars mark; However, the situation did not last long. In 2014, the international oil price plummeted by nearly 50 percent, and in 2015, the oil price continued to drop sharply. Since the reform and opening up, the progress of China's industrialization and urbanization has accelerated. The consumption of energy in China is gradually increasing, mainly dependent on imports, and the degree of dependence on foreign countries is as high as 60%. This paper proposes to study the impact of international oil price on China's basic industry by using a variety of measurement methods, and to formulate energy policies for the long term and healthy development of China's economy. It is of great academic value and significance to prevent financial market risk. This paper adopts Granger causality test / Carr family model and other measurement models. The relationship between the fluctuation of international crude oil price and the basic industry of China is discussed in this paper. The basic industries selected in this paper include electric power, metallurgy, machinery, chemistry and coal. The empirical results show that there is a significant bidirectional linear Granger causality between crude oil price change and steel, coal, petroleum and petrochemical industries. There is a significant unidirectional linear Granger causality between basic chemical industry and crude oil price change rate, but there is no linear Granger causality relationship between electric power and utility industry and crude oil price. The rate of change of crude oil price has significant bidirectional nonlinear causality with six basic industries. There is a two-way information spillover effect between electric power, metallurgical, mechanical, chemical and crude oil prices in China. There are one-way mean, variance spillover effect from crude oil price to coal industry, bidirectional variance spillover effect between crude oil price and petroleum and petrochemical industry and one-way mean spillover effect from crude oil price to petroleum and petrochemical industry. And the information spillover effect is not very stable. Oil price fluctuation has a significant positive impact on the six basic industrial markets in China, among which the coal and steel industries are the most affected by the volatility. The basic chemical industry is the least affected by the fluctuation; However, there is no asymmetric volatility spillover effect on the six basic industrial stock markets in China. China's basic industrial market is significantly affected by crude oil price fluctuations, establishing China's crude oil futures market. Striving for the original price right is of great significance to the protection of China's energy security.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2016
【分類號(hào)】：F416.22;F764.1;F424

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