Analysis of the linkage between Chinese crude oil futures and international crude oil price——An empirical analysis based on VAR model
Download as PDF
Three years after the introduction of Shanghai crude oil futures, its smooth operation is of great significance to Chinese fight for the right to speak in the international crude oil pricing system. This article constructs VAR model, uses Granger causality test, impulse response function analysis, and variance decomposition analysis, and analyses the impact of Shanghai crude oil futures on the spot price of crude oil in the Asia-Pacific region and its participation in the international crude oil pricing system. The study found that Shanghai crude oil futures has significant guidance and influence on Oman crude oil futures. There is a two-way mean spillover effect between Shanghai crude oil futures and BRENT, WTI crude oil futures. Shanghai crude oil futures has been in line with the international crude oil price and has a certain impact on the spot price and futures price of the international crude oil markets.
Crude oil futures, price linkage, mean spillover, VAR model