本文選題：CARR模型　切入點(diǎn)：CCF檢驗(yàn)法　出處：《資源科學(xué)》2017年06期 　論文類型：期刊論文

【摘要】：21世紀(jì)初期,原油價(jià)格經(jīng)歷了暴漲暴跌的巨幅波動(dòng),中國(guó)原油消費(fèi)量同時(shí)逐年上漲,國(guó)際原油價(jià)格波動(dòng)對(duì)中國(guó)經(jīng)濟(jì)發(fā)展的影響成為了關(guān)注熱點(diǎn)�；A(chǔ)工業(yè)是發(fā)展工業(yè)、尤其是重工業(yè)的物質(zhì)基礎(chǔ),對(duì)國(guó)民經(jīng)濟(jì)發(fā)展起著舉足輕重的作用。中國(guó)的六大基礎(chǔ)工業(yè)的發(fā)展與原油價(jià)格息息相關(guān),研究原油價(jià)格對(duì)中國(guó)基礎(chǔ)工業(yè)的影響十分必要。本文采用CARR模型和CCF檢驗(yàn)法,研究了2005年1月4日至2014年7月31日期間油價(jià)沖擊與中國(guó)六大基礎(chǔ)工業(yè)的信息溢出效應(yīng)。實(shí)證結(jié)果表明:(1)中國(guó)電力及公用事業(yè)、鋼鐵、機(jī)械、基礎(chǔ)化工、煤炭、石油石化六大基礎(chǔ)工業(yè)均顯著地受到原油價(jià)格波動(dòng)的影響;(2)中國(guó)電力及公用事業(yè)、鋼鐵、機(jī)械、基礎(chǔ)化工與原油價(jià)格存在雙向均值溢出效應(yīng)和方差溢出效應(yīng);(3)對(duì)于煤炭行業(yè),存在由原油市場(chǎng)到煤炭行業(yè)的單向均值溢出效應(yīng)和單向方差溢出效應(yīng);(4)對(duì)于石油石化行業(yè),存在由原油市場(chǎng)到石油石化行業(yè)的單向均值溢出效應(yīng)和雙向方差溢出效應(yīng);(5)從10個(gè)滯后階數(shù)的顯著性水平分析,中國(guó)基礎(chǔ)工業(yè)與原油市場(chǎng)之間的信息溢出效應(yīng)并不是十分穩(wěn)定。
[Abstract]:In the beginning of 21th century, the crude oil price experienced a huge fluctuation, and China's crude oil consumption increased year by year. The impact of the international crude oil price fluctuation on China's economic development became a hot spot. The basic industry is the development industry. In particular, the material basis of heavy industry plays an important role in the development of the national economy. The development of China's six major basic industries is closely related to the price of crude oil. It is necessary to study the influence of crude oil price on China's basic industry. This paper adopts CARR model and CCF test method. The oil price shock and the information spillover effects of China's six major basic industries between January 4th 2005 and July 31st 2014 were studied. The empirical results show that China's electricity and utilities, steel, machinery, basic chemical industry, coal, power and public utilities, Six major basic industries of petroleum and petrochemical are significantly affected by the fluctuation of crude oil prices. (2) there are two-way mean spillover effects and variance spillover effects on China's electricity and public utilities, iron and steel, machinery, basic chemicals and crude oil prices. There are one-way mean spillover effects and one-way variance spillover effects from the crude oil market to the coal industry. The existence of one-way mean spillover effect and bidirectional variance spillover effect from crude oil market to petroleum and petrochemical industry is significant from 10 lag orders. The information spillover effect between China's basic industry and crude oil market is not very stable.
【作者單位】： 天津大學(xué)管理與經(jīng)濟(jì)學(xué)部;
【基金】：國(guó)家社會(huì)科學(xué)基金資助項(xiàng)目(14CTJ012)
【分類號(hào)】：F416.22;F424;F764.1

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