Empirical Research on the Price of Oil and Refined Oil Based on the Cointegrauon Relationship
In recent years, by the promoting of the international political situation, the financial capital and other factors, like the exchange rate and the sub-prime crisis, the international oil prices fluctuates violently, which is an enormous challenge for China. Therefore, it is significant to study the volatility relationship among oil prices for the development of Chinas oil futures market and the market participants. This paper examines the price volatility characteristics of crude oil and refined products first and analyzes the short and long term equilibrium relationship between them secondly. The results represented that there is a long-run equilibrium among the prices of crude oil, diesel and jet fuel, but the short term pullbacks capacity is not significant. Based on the analysis, some recommendations are constructed as well.
oil refined oil volatility cointegration error correction model
SHEN Peilong GUO Rui
Faculty of Finance & Banking, Shanxi University of Finance and Economics, P.R.China, 030006 Applied Faculty of Finance & Banking, Shanxi University of Finance and Economics, P.R.China, 030006
国际会议
2010 International Conference on Industry Engineering and Management(2010 产业工程与管理国际研讨会)
江苏常州
英文
103-108
2010-03-26（万方平台首次上网日期，不代表论文的发表时间）