Research on the Relationship between Crude Oil Futures Price and Spot Price
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DOI: 10.23977/ETSS2020001
Corresponding Author
Yuxin Tian
ABSTRACT
As one of the most prominent energy resources in the world, the futures market of crude oil is playing an important role in the stability of the macro-economy. This paper aims at figuring out the relationships between the crude oil futures price and spot price. The spot and futures prices of WTI crude oil are collected from Jan 2010 to April 2020 on a daily basis, which are used to conduct time series analysis including ADF unit root test, VAR model, Johansen cointegration test, Granger causality test as well as impulse responses analysis. Consequently, both the cointegration equation which represents long-term equilibrium and the error correction model can be derived. Lastly, several suggestions on risk management of crude oil futures market are proposed.
KEYWORDS
Crude Oil Futures, WTI, VAR, VEC Model