Study On The Influencing Factors Of International Crude Oil Futures Price

By combing the existing literature,the factors that can affect the international crude oil futures price,such as the dollar exchange rate,OPEC crude oil inventory,Brent crude oil spot price in the North Sea,S&P 500 oil index,Dow Jones Industrial Index and gold futures price,are classified,and three major categories of factors affecting the international crude oil futures price are summarized.They are supply and demand factors,exchange rate factors and financial factors.Through the analysis of the influence mechanism of these three major factors on the international crude oil futures price,it is concluded that over time,supply and demand,exchange rate and financial factors have played a certain role in the volatility of the international crude oil futures price.In order to solve the problems of incomplete analysis and multicollinearity among variables in previous studies,further analyze the influence weights of various factors on international crude oil futures prices,and provide theoretical basis for policy implications,this paper builds a factor analysis model to reduce the dimension of variables based on the daily data of wind database from 2005 to 2019.The multicollinearity between variables is eliminated,and the effects of fitting factors on international crude oil futures prices are analyzed by vector autoregressive model.Finally,through the variance decomposition results and factor scores,the influence weights of factors including US dollar exchange rate,OPEC crude oil inventory,Dow Jones Industrial Index,S&P 500 index and gold futures prices on international crude oil futures prices are calculated.The Granger causality test shows that the fitting factor and the international crude oil futures price are granger causality of each other.The co-integration test shows that there is a long-term co-integration relationship between the two variables.Impulse response test shows that the international crude oil futures price is always positive under its own influence,but decreases with time.The influence of the fitting factor on the international crude oil futures price is negative,but the influence degree decreases with the increase of the lag period.In the short term,the change of the influence degree experienced a trend of first rising and then falling,and then rising and falling again.The three inflection points occurred in the lag period 1,lag period 2 and lag period 3 respectively,and the fluctuation was obvious,and the fluctuation degree decreased period by period.Variance decomposition shows that although the impact of fitting factors on the international crude oil futures price is smaller than that of the international crude oil futures price due to its own fluctuations,the fitting factors still have a significant impact on the international crude oil futures price.In the long run,the impact of fitting factors on the international crude oil futures price has experienced a trend of first decreasing and then increasing.However,the overall level has remained above 10% for a long time.The weight calculation results show that the S&P 500 index and Dow Jones Industrial Index have the highest impact on the international crude oil futures price except for the impact of the international crude oil futures price itself,and the impact of these two factors shows a downward trend in the short and medium term,which is consistent with the fluctuations of the fitting factors.The influence of S&P 500 Index and Dow Jones Industrial Index on international crude oil futures prices is stable at more than 3% in the long run,which proves that the impact of financial factors on crude oil futures prices is more obvious than the other two aspects.Similarly,although the impact of US dollar exchange rate on international crude oil futures prices is slightly smaller than the two variables representing financial factors,it still cannot be ignored.In order to stabilize the domestic energy market and increase China’s voice in the international oil futures price,this paper puts forward two suggestions on promoting the reform of the international monetary system and constructing the strategic system of China’s crude oil futures from the two aspects of exchange rate and financial factors.