Please use this identifier to cite or link to this item: http://hdl.handle.net/20.500.11861/3827
Title: An investigation into the dynamic relationship between international and China's crude oil prices
Authors: Dr. WOO Kai Yin 
Chan Hing-lin 
Keywords: Threshold cointegration
Crude oil prices
M-TAR model
Issue Date: 2015
Publisher: Taylor & Francis
Source: Applied Economics, 2016, vol. 48 (24), pp. 2215-2224
Journal: Applied Economics 
Abstract: This article studies the dynamic relationship between international (WTI, Brent and Dubai) and domestic (Da Qing) crude oil prices in China using threshold cointegration method. We find evidence of a long-run equilibrium relationship between each pair of international and Da Qing oil prices, favouring the market integration hypothesis. We also estimate asymmetric adjustments under the momentum threshold autoregressive (M-TAR) specification in a TVECM, and the results show that adjustments to eliminate disequilibrium happen faster when oil price spread increases than when it decreases. The long-run and short-run Granger causality tests support the notion that China has influence on the international oil markets. The results imply that China should open up its domestic and imported oil markets, and also establish a well-functioning crude oil futures market, as they are essential for arbitrage and hedging strategies.
Type: Peer Reviewed Journal Article
URI: http://hdl.handle.net/20.500.11861/3827
DOI: 10.1080/00036846.2015.1117046
Appears in Collections:Economics and Finance - Publication

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