【论文速递】2021-IRFA-Do China‘s macro-financial factors determine the Shanghai crude oil futures market?

【论文原文】：Do China's macro-financial factors determine the Shanghai crude oil futures market?

【作者信息】：Boqiang Lin, Tong Su. (2021). Do China's macro-financial factors determine the Shanghai crude oil futures market?][J].International Review of Financial Analysis

获取地址：Redirectinghttps://doi.org/10.1016/j.irfa.2021.101953

博主关键词： 中国原油期货市场风险与金融化

摘要：

Existing studies have investigated the Chinese Shanghai crude oil futures (INE) from price efficiency, cross-futures transmission, etc., but neglected the potential links with China. This paper is committed to filling this gap by conducting an initial discussion from the perspective of macro-financial factors. Applying the dynamic model averaging (DMA) approach, we examine the time-varying importance of the six potential factors that drive the INE prices. The results based on the overall conditions of all determinants and based on individual predictors both support the crucial roles of some Chinese macro-financial factors. The pricing effects of these factors almost display upward features within 6 months since the INE establishment. Thereafter, it maintains an overall stable trend, though some abnormal turmoil is found after the COVID-19 outbreak. According to the multi-scale analysis, the importance of China's macro-financial factors mainly reveals the INE market at the low-frequency components. To confirm the robustness of the estimation and the uniqueness of such effects on the INE, we utilize an alternative forecast accuracy criterion to confirm stability, accommodate the DMA estimation on the WTI and Brent oil futures prices as comparisons, and discuss the frequency domain through another decomposition procedure. These all mirror our findings.