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Analysis of the co-movement between Chinese and international crude oil price

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Listed:
  • Jian-Lin Jiao
  • Ying Fan
  • Yi-Ming Wei
  • Zhi-Yong Han
  • Jiu-Tian Zhang

Abstract

Crude oil price has an important effect on national economic production and safety-stock. In this paper, we analysed the trends of Chinese and international crude oil prices and their fluctuations by testing the Granger causality and the dynamic effects to its counterpart. Results show that from 1997, the trends of Chinese and international crude oil prices are almost identical. The fluctuation of the Chinese price is less than that of international crude oil price. Over the longer term, there is bilateral Granger causality between Chinese and international crude oil prices. However, the impact of international price on the Chinese price is rapid and dramatic: whilst the impact of the latter on the former is relatively slow and small.

Suggested Citation

  • Jian-Lin Jiao & Ying Fan & Yi-Ming Wei & Zhi-Yong Han & Jiu-Tian Zhang, 2007. "Analysis of the co-movement between Chinese and international crude oil price," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 27(1), pages 61-76.
    • Handle: RePEc:ids:ijgeni:v:27:y:2007:i:1:p:61-76
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    Citations

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    Cited by:

    1. Toan Luu Duc Huynh & Muhammad Shahbaz & Muhammad Ali Nasir & Subhan Ullah, 2022. "Financial modelling, risk management of energy instruments and the role of cryptocurrencies," Annals of Operations Research, Springer, vol. 313(1), pages 47-75, June.
    2. Qin, Meng & Su, Chi-Wei & Hao, Lin-Na & Tao, Ran, 2020. "The stability of U.S. economic policy: Does it really matter for oil price?," Energy, Elsevier, vol. 198(C).
    3. Liu, Li & Chen, Ching-Cheng & Wan, Jieqiu, 2013. "Is world oil market “one great pool”?: An example from China's and international oil markets," Economic Modelling, Elsevier, vol. 35(C), pages 364-373.
    4. Zhang, Bing & Wang, Peijie, 2014. "Return and volatility spillovers between china and world oil markets," Economic Modelling, Elsevier, vol. 42(C), pages 413-420.
    5. Zhang, Yue-Jun & Fan, Ying & Tsai, Hsien-Tang & Wei, Yi-Ming, 2008. "Spillover effect of US dollar exchange rate on oil prices," Journal of Policy Modeling, Elsevier, vol. 30(6), pages 973-991.
    6. Zhi-Hong Han & Sheng Yang & Mu-Ling Chen & Ling-Yun He, 2015. "Mean spillover effect between crude oil and gasoline markets: an empirical result," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 38(1/2/3), pages 49-68.

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