Co-movement Relations Between The Shanghai Fuel Oil Futures Prices And Spot Price Based On Smooth Transition Regression Model

Based on the consumption of energy, the economy develops with high speed. However, the oil, which is an important energy component, has nothing to parallel in strategic position, the complexity of influencing factors and the extent of price fluctuation. Along with the economic globalization and the trends of integration, the marketization of global oil markets goes deeper. Now, oil finance development has been the core of our country market reform, we need a oil futures market that has good price discovery function and relatively mature to reflect their relationship between our supply and demand in international oil market, and to insure accord with the national interests of the "Chinese price". On August 25,2004, the launch of the Shanghai fuel oil futures was a landmark in the process of oil market finance's development. Drawing lessons from the development experience of foreign mature market, this paper studies the linkage of the inner relationship between the price of fuel oil spot and the price of fuel oil futures in our country, which will help to improve the price discovery function of fuel oil futures market and form a reasonable oil pricing mechanism. It play an important role in keeping the sustainable development of oil industry and the national economy and ensuring the national oil security.Along with the development tendency of "oil financialisation", based on the basis of the normative analysis and qualitative analysis of the development trend of Shanghai fuel oil futures market in the current situation, this paper use the smooth transition regression model to research the spot and futures prices fuel oil price between the linkage of the inner relationship, which reveals their complex and subtle changing regularity profoundly and provides some references about improving our country's fuel oil futures market price discovery function. The empirical results show that it is the influence of nonlinear characteristics between the fuel oil futures price and the spot price passing LSTR2 model to express. When the yields of 5 periods lag of the fuel oil future price is no more than 3.91%, fuel oil futures price and spot price will keep a stable linear relationship; but when the yields of 5 periods lag of the fuel oil future price is less than 4.44% or greater than 3.91%, in other words, fuel oil futures price rise or drop in larger, there is a relationship between the fuel oil futures price and the spot price to appears gradually, reflecting the influence of the asymmetry with the yields of the futures price lower or higher. From the drawing of the conversion function and conversion variable, we can find that there is a obvious nonlinear relationship between Shanghai fuel oil spot and futures prices at the result of the effect of American subprime mortgage crisis in 2008. At last, this paper raises some policy recommendations focusing on how to improve the price discovery function of our country's oil futures market and construct the rational oil financial system so that it can play its allocation function of the oil market resources and strengthen the right of discourse of international oil financial market and ensure the smooth running of the national economy.