Can International Crude Oil Futures Stabilize the Crude Oil Spot Price Fluctuations in China? - An Empirical Study Based on VEC - BEKK - GARCH (1,1) Model

摘要

Based on the international crude oil futures price and the spot price of crude oil in China from January 4, 2006 to August 20, 2014, the VEC-BEKK-GARCH (1, 1) model was used to analyze the international crude oil futures prices and the crude oil Fluctuation relationship between spot prices. (1) There is a two-way causal relationship between the international crude oil futures price and the fluctuation of the spot price of crude oil in China. (2) The cointegration coefficient between the international crude oil futures price and the spot price of crude oil in China is (1, -1.0928) (3) At the same time, the international crude oil futures prices show a significant price on Chinese crude oil spot price guide function, but the contrary is not established. (3) At the same time, the international crude oil futures prices show a significant price of Chinese crude oil spot price guide function, but the contrary is not established.