An Empirical Study On International Oil Price Fluctuation

Since2003, the international oil price has experienced a longest risen time since1986.The oil price soared from the initial25-30a barrel to about150a barrel whichhas been risen more than four times within five years. But the financial crisishappened in2008caused a dramatic decline in oil price, the oil price fell below40,which has decreased70percent in less than half of a year. After the financial crisispartly solved, the oil price began to increase, which broke up100a barrel in2011.However, influenced by the Europe’s debt crisis, the oil price began to run violently.As the second largest oil consuming country, the oil price has a significant impact onChina’s economic performance and national strategic security, therefore in order tomake the effective policy recommendations and programs to cope with the riskproduced by the change of oil price, the study of the characteristics of oil price, thefactors affecting the oil price and the prediction of oil price is very important.Firstly, on the basis of reviewing the researches on oil price at home and abroad,we made a qualitative analysis on the factors affecting the oil price, the analyzeshowed that oil has the dual attributes of the commodity and financial and the oilprice was not only affected by the actual demand and supply of oil but also affectedby the USD exchange rate, the price of oil futures and other financialvariables. According to the evolution of the attributes of oil and the characteristicsof the movement of the oil price, we divided the movement of the oil priceinto1980-2002and2003-2010two phases, then we set up a simultaneous equationmodel for the oil price on the first phase and used it to predict the equilibrium oilprice on the second phase, we found that the actual oil price on the second phase washigher than the equilibrium oil price, so there was a super equilibrium oil priceexisted. On this basis, we set up a VAR model and had a quantitative research onthe super-equilibrium oil price, the price of oil futures and the USD exchange rate.The result showed that they are the Granger cause of super equilibrium oil price andthey have a long term effect on oil price, the price of oil future has a long termpositive effect on oil price, the USD exchange rate has a short term positive impact onit and has a long term negative impact on it. Finally, in order to test whether therewas a volatility spillover effects exist between the price of oil futures, USD exchangerate and the super equilibrium oil price, we set up a MGARCH-BEKK model. Theresults showed that there is a unidirectional volatility spillover effect between the price of oil futures and super equilibrium oil price, also the same effect between superequilibrium oil price and the USD exchange rate. There is a bi-directional Volatilityspillover effect between the price of oil futures and the USD exchange rate.