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21世纪初期,原油价格经历了暴涨暴跌的巨幅波动,中国原油消费量同时逐年上涨,国际原油价格波动对中国经济发展的影响成为了关注热点。基础工业是发展工业、尤其是重工业的物质基础,对国民经济发展起着举足轻重的作用。中国的六大基础工业的发展与原油价格息息相关,研究原油价格对中国基础工业的影响十分必要。本文采用CARR模型和CCF检验法,研究了2005年1月4日至2014年7月31日期间油价冲击与中国六大基础工业的信息溢出效应。实证结果表明:(1)中国电力及公用事业、钢铁、机械、基础化工、煤炭、石油石化六大基础工业均显著地受到原油价格波动的影响;(2)中国电力及公用事业、钢铁、机械、基础化工与原油价格存在双向均值溢出效应和方差溢出效应;(3)对于煤炭行业,存在由原油市场到煤炭行业的单向均值溢出效应和单向方差溢出效应;(4)对于石油石化行业,存在由原油市场到石油石化行业的单向均值溢出效应和双向方差溢出效应;(5)从10个滞后阶数的显著性水平分析,中国基础工业与原油市场之间的信息溢出效应并不是十分稳定。
In the early 21st century, the price of crude oil experienced huge fluctuations in inflation and plunge. The consumption of crude oil in China also rose year by year at the same time. The impact of international crude oil price fluctuations on China’s economic development has become a hot issue. Basic industries are the material basis for the development of industry, especially heavy industry, and play an important role in the development of the national economy. The development of China’s six basic industries is closely linked with the price of crude oil. It is necessary to study the impact of crude oil prices on China’s basic industries. In this paper, the CARR model and the CCF test were used to study the information spillover effect between oil price shocks and six basic industries in China from January 4, 2005 to July 31, 2014. The empirical results show that: (1) China’s power and utilities, steel, machinery, basic chemicals, coal, petroleum and petrochemical industries are significantly affected by fluctuations in crude oil prices; (2) China’s power and public utilities, steel, machinery (3) For the coal industry, there is one-way mean spillover effect and one-way variance spillover effect from the crude oil market to the coal industry; (4) For the petroleum and petrochemical industry , There is a one-way mean spillover effect and a two-way variance spillover effect from the crude oil market to the petroleum and petrochemical industry; (5) From the significance level of 10 lagged orders, the information spillover effect between China’s basic industry and the crude oil market is not Very stable.