The relationship between international crude oil prices and China＇s refined oil prices based on a structural VAR model

作     者：Song Han Bao-Sheng Zhang Xu Tang Ke-Qiang Guo 

作者机构：School of Business Administration China University of Petroleum Beijing 102249 China 

出 版 物：《Petroleum Science》 (石油科学（英文版）)

年 卷 期：2017年第14卷第1期

页      面：228-235页

核心收录：

学科分类：120202[管理学-企业管理（含：财务管理、市场营销、人力资源管理）] 12[管理学] 0202[经济学-应用经济学] 02[经济学] 1202[管理学-工商管理] 020205[经济学-产业经济学] 

基　　金：support from the Key Project of National Social Science Foundation of China (NO. 13&ZD159) 

主　　题：International crude oil prices China's refinedoil prices VAR model Granger causality - Impulseresponse Variance decomposition 

摘      要：With the frequent fluctuations of international crude oil prices and China＇s increasing dependence on foreign oil in recent years, the volatility of international oil prices has significantly influenced China domestic refined oil price. This paper aims to investigate the transmission and feedback mechanism between international crude oil prices and China＇s refined oil prices for the time span from January 2011 to November 2015 by using the Granger causality test, vector autoregression model, impulse response function and variance decomposition methods. It is demonstrated that variation of international crude oil prices can cause China domestic refined oil price to change with a weak feedback effect. Moreover, international crude oil prices and China domestic refined oil prices are affected by their lag terms in positive and negative directions in different degrees. Besides, an international crude oil price shock has a signif- icant positive impact on domestic refined oil prices while the impulse response of the international crude oil price variable to the domestic refined oil price shock is negatively insignificant. Furthermore, international crude oil prices and domestic refined oil prices have strong historical inheri- tance. According to the variance decomposition analysis, the international crude oil price is significantly affected by its own disturbance influence, and a domestic refined oil price shock has a slight impact on international crude oil price changes. The domestic refined oil price variance is mainly caused by international crude oil price disturbance, while the domestic refined oil price is slightly affected by its own disturbance. Generally, domestic refined oil prices do not immediately respond to an international crude oil price change, that is, there is a time lag.