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

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

Addresses: Hefei University of Technology, Hefei 230026, China. ' Institute of Policy and Management, Chinese Academy of Science, Beijing 100080, China. ' Institute of Policy and Management, Chinese Academy of Science, Beijing 100080, China. ' National Natural Science Foundation of China, Beijing 100085, China. ' University of Science and Technology of China, Hefei 230026, China

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.

DOI: 10.1504/IJGEI.2007.012118

International Journal of Global Energy Issues, 2007 Vol.27 No.1, pp.61 - 76

Published online: 21 Jan 2007 *

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