Research On China's Crude Oil Futures Pricing Capabilit

Petroleum is a special comodity that radiates all fields of national economy through different industrial chains and has a strategic impact on national security.Due to the lack of pricing centers with international influence in the Asia-Pacific region,China has long passively borne the "Asian premium" in oil trade.In 2018,Shanghai crude oil futures was officially launched,marking China’s important step in changing the current situation of "my crude oil,his pricing".Since its listing for 4 years,the pricing performance of Shanghai crude oil futures requires to be scientifically measured.By reviewing the evolution of global oil trade’s pricing mode as well as current status of crude oil futures trading centers in the world,this paper amply demonstrates dialectical relationship between the pricing power of futures exchanges and the bargaining ability of commodities.Based on this,this paper creatively constructs the evaluation index system of futures pricing power and adopts the principal component analysis to scientifically calculate the pricing power of four major crude oil futures of WTI,Brent,Oman and Shanghai after identifying structural breakpoints.It also uses VECM-GJR-GARCH-BEKK model to analyze the spillover effects of the four major crude oil futures markets’ pricing power.Meanwhile,this paper focuses on the three dimensions of commodity attribute,financial attribute and political attribute and uses models such as autoregressive distributed lag model(ARDL)to empirically measure the impact of three types of factors on futures markets’ pricing power.More importantly,by constructing a DSGE model including three sectors of crude oil exporters(OPEC),crude oil importers(China)and small marginal crude oil exporters,it adopts Bayesian estimation to interpret the dynamic trajectory of crude oil futures prices and futures market pricing power of three major oil futures markets of WTI,Brent and Shanghai.The impact of five macro variables on Shanghai crude oil futures’ pricing power under different scenarios is detailly discussed.The main conclusions are as follows:(1)the results of calculating the pricing power show that in four world’s major crude oil futures markets,the pricing power presents the pattern of "WTI > Brent >Shanghai > Arman",which means the pricing power of Shanghai crude oil futures ranks third among the four major crude oil futures.Looking at absolute terms,the pricing power of Shanghai crude oil futures is relatively small.The pricing power is related to price volatility,but the latter is more stable.(2)VECM-GJR-GARCH-BEKK model shows a self-recovery mechanism in the pricing power of crude oil futures,and a mean spillover effect among the pricing power of global futures market.The impact of Brent and Oman crude oil futures’ pricing power on Shanghai is greater than the impact of its opposite direction,which reflects the pricing power of Shanghai crude oil futures is in a relatively weak position.The volatility spillover model shows that the pricing power of Shanghai crude oil futures will be affected by the volatility spillover of WTI,Brent and Oman crude oil futures’ pricing power.The information impact of Brent crude oil futures market is the largest and its own information impact is limited.The pricing power of Shanghai crude oil futures will certainly have a spillover impact on other futures markets,ranking third in influence.Meanwhile,the volatility spillover effect is different in the face of good news and bad news,which reflects the asymmetry of information spillover effect.(3)The ARDL model shows that the pricing power of Shanghai crude oil futures has a self-reinforcing endogenous power.Also,the futures trading volume,positions,delivery warehouses and international recognition constitute a long-term equilibrium relationship with the pricing power of Shanghai crude oil futures.The increase in US interest rate,OPEC crude oil production and US economic uncertainty will improve the pricing power of Shanghai crude oil futures,while the increase in US dollar exchange rate,financial speculation,gasoline price and geopolitical tension as well as the decrease in crude oil production expectation,will reduce Shanghai crude oil futures’ pricing power.Impulse response function shows that all factors have little impact on the pricing power of Shanghai crude oil futures in the short term.The variance decomposition further shows that financial attributes,commodity attributes and political attributes contribute 11.88%,9.62% and 2.59% respectively to the pricing power of Shanghai crude oil futures.(4)The prediction within the sample of DSGE model show that when considering "China’s demand",Brent crude oil futures has the smallest pricing deviation(-1.42%),WTI takes the second place(-1.63%),and Shanghai futures market has the highest deviation(6.41%).The overpricing of Brent and WTI will make China bear the "Asian premium".The prediction outside the sample shows that the pricing power of Shanghai crude oil futures will be steadily improved in the next year,while the pricing power of Brent and WTI will continue to decline.However,compared with WTI(0.666)and Brent(0.598),there is still a significant gap in the average value(0.232)of Shanghai crude oil futures’ pricing power.Variance decomposition shows that the historical fluctuation of Shanghai’s crude oil futures’ pricing power mainly affected by OPEC countries’ oil industry productivity(about90%)and the number of non-OPEC countries’ oil producers(about 10%).Also,the combined influence level of family preference,monetary policy and technology shock is less than 0.6%.The results of impulse response function further show that OPEC countries’ oil industry productivity and the number of non-OPEC countries’ oil producers has relatively large impact on the pricing ability of Shanghai crude oil futures,while the impact of OPEC countries’ oil industry productivity,technological progress and family preference is more lasting.The research concludes that the Shanghai crude oil futures has initially shown a certain pricing power in four years of listing.However,compared with the two major global crude oil pricing centers,WTI and Brent,there is a considerable gap in absolute level as well as the scope and depth of impact.Increasing the activation of market transactions,optimizing delivery warehouses and building a good international image are the key to improve the pricing power in the long term.On the macro path,strengthen the research and development of key production technologies and enjoy the "positive" impact brought by technological progress;In response to the impact of the supply,it is preferred to reduce the transaction cost and strengthen the linkage with Brent market;At the same time,make full use of the "opportunity period" coming from the increasing demand in China in the post industrialization period.Prepare in advance to deal with the restriction of double carbon policy on pricing power in the long term;In the monetary easing cycle,positively take action to make full advantage of the "pro-cyclical" effect of macro policy.The innovation of this paper is mainly illustrated in four aspects.Firstly,it convincingly demonstrates the dialectical relationship between futures’ pricing power and commodity’s pricing(bargaining)and expands the conceptual extension of the price discovery function of futures market.Secondly,adopting cutting-edge methodologies such as globally-determined and Bai-Perron.Considering the structural breakpoints,use principal component analysis method to constructs the evaluation index system of pricing ability of crude oil futures market for the first time,which fills literature gaps in the field of pricing power assessment.Thirdly,by using VECM-GJR-GARCH-BEKK model,this paper scientifically calculates the spillover effect of futures pricing power in major countries.The empirical technology has a certain frontier.Meanwhile,by using models such as ARDL model,this paper identifies the key driving factors of crude oil futures pricing ability,initially introduces variables such as the number of delivery warehouses,geopolitics and uncertainty.Also,expand the research scope of influencing factors of futures pricing ability.Finally,build a three sector DSGE model reflecting "China’s demand" to make the crude oil futures price endogenous.The mainstream analysis paradigm is introduced into the research of crude oil futures pricing and pricing ability,which fills the gap in the analysis of the function exertion mechanism of futures market in domestic academia.