Does The Price Of Crude Oil Respond To China's Macroeconomic News?

The consumption and production of oil in China had increased year by year since Chinese Reform and Opening Up.However,the growth rate of oil production was far below the growth rate of oil consumption during the same period and importing oil overseas was the only way to solve the oil shortage problem at that time.The External Dependency had increased year by year due to previous reason and it reached up to 60.4%in 2015.However,the proportion of China's oil consumption,accounting for the total globe oil consumption,had gradually increased,reaching 12.32%in 2014.The oil consumption of China kept growing,which made a great influence on the demand of international oil.The Chinese quarterly GDP growth rate was consist with the WTI crude oil future in China.The consumption and production of oil in China had increased year by year since Chinese Reform and Opening Up.However,the growth rate of oil production was far below the growth rate of oil consumption during the same period and importing oil overseas was the only way to solve the oil shortage problem at that time.The External Dependency had increased year by year due to previous reason and it reached up to 60.4%in 2015.However,the proportion of China's oil consumption,accounting for the total globe oil consumption,had gradually increased,reaching 12.32%in 2014.The oil consumption of China kept growing,which made a great influence on the demand of international oil.The Chinese quarterly GDP growth rate was consist with the WTI crude oil future in China.Based on the circumstance which lacking of the continuous historical forecasting data of China's macroeconomic indicators,the economic indicators are predicted by Kalman filtering.Defining the difference between survey expectations and the subsequently announced realizations of China's macroeconomic fundamentals and divide the surprise component of the announcement by its sample standard deviation as a parameter to build a model with oil price.Then we can realize how China's macroeconomic factors affect the international oil price.The first two parts of this paper will introduce the research background,significance and methods.Meanwhile,the relevant literature about the impact of oil prices and the economy influence on the energy will be analyzed.At last,some theoretical results will be summarized.In section 3 of this paper we will forecast the data.Defining "Standard News"as the difference between survey expectations and the subsequently announced realizations of China's macroeconomic fundamentals and divide the surprise component of the announcement by its sample standard deviation.We get the actual value data from relevant websites such as NBS website.This paper adopts kalman filtering method to predict relevant data on the basis of given data and build space state model between one of the 16 macroeconomic indicators and the other 15 indicators.The paper predicts data from 2004 to 2016 in order to take place of the social prediction before publishing real data in history.The fourth part is an empirical model.The paper chooses 16 indicators such as GDP and CPI which reflect the status of China's macroeconomic.Defining"Standard News" as the difference between survey expectations and the subsequently announced realizations of China's macroeconomic fundamentals and divide the surprise component of the announcement by its sample standard deviation.China's macroeconomic impact on international oil prices may occur in the current period or exist lag phase.Taking the "Standard News" as a parameter to build a model with oil price with different time lags.We will run Individual Regressions and Joint Regression of the oil price and the "Standard News",then we analyze the results.The fifth chapter is robustness test.This paper may lead to wrong results because of the improper use of prediction method.Thus the paper adopts Dynamic Factor Model to predict data in the same period of the same economic indicators and compares the predicted value with the recent data published by Bloomberg News.Through the comparison of the analysis results of two data sets,the paper concludes that China's macroeconomic influence oil prices after a certain lag.The "Standard News" constructed by this paper consists of the difference value between the published and predictive value of China's macroeconomic indicators which is an exogenous indicator.But the paper only examine the influence of China's macroeconomic "Standard News" on WTI spot prices instead of WTI forward prices and corresponding high frequency data and lacks of deep analysis of oil prices index Rt.Thus this paper needs further investigation.