Causality Test And Time Varying Analysis Of The Relationship Between International Crude Oil Futures And Spot Prices

Crude oil is the blood of industry and plays an extremely important role in the development of national economy.Crude oil prices are not only closely related to people’s daily life,but also closely related to industrial enterprises,and even affect the development process of the global economy.As we all know,crude oil futures have the function of price discovery for crude oil spot.In order to study the relationship between international crude oil futures and spot under different market conditions and different periods.This paper studies the relationship between Brent and WTI crude oil futures market and spot market from the perspectives of time heterogeneity,quantile heterogeneity and market heterogeneity.Firstly,this paper studies the Granger causality between the international crude oil futures market and the spot market,and compares the Granger causality test results with the quantile Granger causality test results.Then this paper uses VAR model and TVP-VAR model to study the overall spillover effect of crude oil futures market on crude oil spot market and the spillover effect under external emergencies.Finally,in order to ensure the reliability of the conclusion and highlight the difference,this paper compares and analyzes the crude oil futures and spot market under Brent and WTI systems.The study found that both Brent crude oil futures and WTI crude oil futures have the function of price discovery on the spot price of crude oil.WTI crude oil spot will in turn affect WTI crude oil futures,but Brent crude oil futures are almost immune to the price change of Brent spot.In addition,we also found that the influence coefficient of Brent futures on Brent spot is slightly higher than that of WTI crude oil markets,and there is a time lag in the response of Brent crude oil spot market to the impact of Brent crude oil futures market.During the 2008 financial crisis,the impact of the international crude oil futures market on the spot market lasted for about 3 months.However,there was a phenomenon of response delay and overresponse during the 2015-2016 crude oil price collapse and the COVID-19 pandemic period,besides,the response duration exceeded 6 months.The above conclusions can help investors adjust their investment strategies to avoid risks in the Russia-Ukraine conflict and other similar events.