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

Jian-Lin Jiao, Ying Fan, Yi-Ming Wei, Zhi-Yong Han and Jiu-Tian Zhang

International Journal of Global Energy Issues, 2007, vol. 27, issue 1, 61-76

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.

Keywords: crude oil prices; co-integration; causality; China; impulse-response; variance decomposition; international oil prices; energy pricing; price fluctuation; petroleum pricing. (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (6)

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