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

Jian Lin Jiao; Ying Fan; Yi Ming Wei; Zhi Yong Han; Jiu Tian Zhang

doi:10.1504/IJGEI.2007.012118

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

Jian Lin Jiao, Ying Fan, Yi Ming Wei^*, Zhi Yong Han, Jiu Tian Zhang

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

12 Citations (Scopus)

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.

Original language	English
Pages (from-to)	61-76
Number of pages	16
Journal	International Journal of Global Energy Issues
Volume	27
Issue number	1
DOIs	https://doi.org/10.1504/IJGEI.2007.012118
Publication status	Published - 2007
Externally published	Yes

Keywords

Causality
Co-integration
Crude oil price
Impulse-response
Variance decomposition

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1504/IJGEI.2007.012118

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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.",

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AU - Jiao, Jian Lin

AU - Fan, Ying

AU - Wei, Yi Ming

AU - Han, Zhi Yong

AU - Zhang, Jiu Tian

PY - 2007

Y1 - 2007

N2 - 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.

AB - 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.

KW - Causality

KW - Co-integration

KW - Crude oil price

KW - Impulse-response

KW - Variance decomposition

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EP - 76

JO - International Journal of Global Energy Issues

JF - International Journal of Global Energy Issues

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ER -

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

Abstract

Keywords

UN SDGs

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