Exploring the Driving Forces of the Correlations Between China's Crude Oil Futures and Global and Regional Benchmarks
研究首次采用混频方法分析中国原油期货与全球及区域基准价格的相关性，发现其与区域基准高度相关，受原油进口、人民币国际化、政策不确定性和地缘政治风险等因素驱动，对投资者风险管理和资产配置有参考价值。
ABSTRACT The launch of the Shanghai International Energy Exchange crude oil futures (INECOFs) is a milestone in China's path to a dominant position in the global energy market. As INECOFs attract more and more investors, understanding the long‐term correlations between INECOFs and global and regional benchmarks, as well as the driving forces of these correlations, is of paramount interest to investors wishing to conduct risk management and portfolio diversification. This article makes the first attempt to explore the determinants of such correlations using the mixed‐frequency approach. Our results show that INECOFs are highly correlated with the regional benchmarks and less correlated with the global benchmarks. China's crude oil imports, RMB internationalization, the RMB index, economic and trade policy uncertainty, and geopolitical risks significantly impact the dynamics of the correlations in question. China's gross industrial product and price levels cannot drive the movements of all the studied correlations.