Relationships among Energy Price Shocks, Stock Market, and the Macroeconomy: Evidence from China

Table 1

The test result of unit root.

Variables	ADF test	Test type (𝑐,𝑡,𝑝)	Critical value
IP	−2.003340	(𝑐,𝑡,2)	−3.160198*
dIP	−1.973988	(0,0,11)	−3.165046*
𝑑^2IP	−4.952033	(0,0,10)	−2.598416***
OIL	−1.808898	(𝑐,𝑡,1)	−3.159780*
dOIL	−5.270185	(0,0,0)	−2.593824***
𝑅	−1.922089	(𝑐,0,0)	−2.585861*
dR	−2.995834	(0,0,11)	−2.598416***
STOCK	−1.045074	(0,0,0)	−2.585861*
dSTOCK	−7.767847	(0,0,0)	−2.593824***

Note. ¹The meanings of various variables in the table are as follows: IP is industry value added discounted by price index, OIL is discounted purchase price index for fuel power, 𝑅 stands for real interest rates, and STOCK is monthly price index of Shanghai stock market.
²𝑐,𝑡, and 𝑝 in test type stand for constant, trend, and lag orders, respectively.
³At three remarkable levels, when ADF value is greater than critical value, corresponding series has unit root.
⁴ ***, **, and * stand for 1%, 5%, and 10% critical levels, respectively.
⁵𝑑 stands for the first differential of the variables, and 𝑑² stands for the second differential of the variables.