Study On The Cointegration Relationships Between International Oil Future Price And Domestic Oil Spot Price

This paper, based on VAR model,Granger causality test ,co-integration theoryand error correction model with the economic data from 1997 to 2004, analyzes thereciprocal effects of the international oil future price and the domestic oil spot price.Empirical results show that there is a stable positive equilibrium relationship betweenthe international oil future price and the domestic oil spot price in the long or shortrun. Through the Granger causality test, this paper indicates that the international oilfuture price is the cause for China's domestic oil spot price and the domestic oil spotprice is also the cause for the international oil future price. But the two kinds ofinfluences are not asymmetrical.In the end, this paper concludes that co-integration analysis is a feasible tool inthe study of the relationships between international oil future price and the domesticoil spot price. In addition, the results of the analysis may provide one kind of theoryreference for the adjustment of China's oil policy.