Research On Spillover Effect Between Domestic And Foreign Crude Oil Futures Market And Exchange Rate Market

Energy demand has been growing rapidly for years,with China's dependence on foreign oil hitting a record high of 72 percent in 2018.Oil is a non-renewable energy source,which plays a vital role in the development of the country.Therefore,China's economy has a strong dependence on the oil industry.However,crude oil price fluctuates frequently.In order to alleviate the negative impact brought by crude oil price fluctuations and stabilize the crude oil market,crude oil futures come naturally and have now become an important part of the futures market.Exchange rate reflects the currency value of the country's foreign exchange market.China has made several exchange rate regimes,and the floating exchange rate regime adopted in 2005 has not been changed.With the development of the "one belt and one road" initiative and the increasingly frequent economic exchanges between China and other countries in the world,changes in the international economy are bound to have an impact on China's foreign exchange market.Conversely,the exchange rate will also have an impact on China's import and export trade,thus interfering with the operation of the overall economy.In 2018,the world's top eight ranked the second largest oil consumer China,the world's top eight big oil producers ranks seventh,although Middle East oil produced,but China is the largest crude oil importer,the consumption of the Asia-pacific region is too big,but as the Asia-pacific,the Middle East main use of intermediate sour crude but no authoritative pricing benchmark.This article mainly crude oil futures market and the currency forwards market in different countries as the research object,through the establishment of the linear regression equation,the VECM model,Granger test and impulse response and variance decomposition analysis to study China's crude oil futures market,China,Oman and U.S.crude oil futures market and the dollar/yuan rate spillover effect between the futures market.First,unit root test to draw ratio between China and Oman crude oil futures settlement currency exchange rate with the dollar/yuan rate for stationary series,linear regression equation indicates a dimension for the "Barrel dollar" value,the offshore RMB exchange rate and Oman crude oil futures contract prices explain Shanghai contract price change state,and the exchange rate is the leading cause of crude oil futures contract price fluctuations in Shanghai.Secondly,the offshore RMB exchange rate and the WTI crude oil futures contract price can also describe the change state of the Shanghai crude oil futures contract price and pass the co-integration test.The error correction model shows that there is a negative adjustment relationship between offshore RMB exchange rate and crude oil futures price.Granger causality test shows that the two are each other's granger causes.As an intuitive supplement to the VECM model,impulse response and variance decomposition analysis have basically the same conclusions for dynamic analysis in the future,confirming the transmission effect between the crude oil futures market and the exchange rate market,indicating that the exchange rate is an important factor affecting the crude oil futures market.