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May 29, 2026Energy Strategy Reviews0 citationsOpen Access

Unveiling unspanned macroeconomic factors in oil futures price dynamics: Evidence from China's oil futures market

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ZJZhihao JiJLJiangfeng LiuLGL. Gao

Key Points

  • This research aims to identify unspanned macroeconomic factors affecting crude oil futures price dynamics in China and understand their interactions.
  • Empirical analysis of Shanghai crude oil futures price curves and macroeconomic indicators.
  • Investigation of lagged and dynamic interactions between these factors.
  • Examination of feedback mechanisms in response to oil price shocks.
  • Identified several unspanned macroeconomic factors not reflected in crude oil futures prices.
  • Demonstrated significant lagged interactions between macroeconomic variables and oil price dynamics.
  • Revealed asymmetric feedback effects of oil price shocks on the macroeconomy in the emerging market context.

Abstract

• Identifies unspanned macroeconomic factors (UMFs) not embedded in Shanghai crude oil futures price (COFP) curves. • Provides empirical evidence of lagged and dynamic interactions between UMFs and COFPs. • Demonstrates asymmetric feedback of oil price shocks to the macroeconomy in the emerging market. • Enhances theoretical understanding of the mechanisms linking macroeconomy and crude oil markets.

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Cite This Study

Ji et al. (2026) studied this question.

synapsesocial.com/papers/6a192ee7fab5b468c4418261https://doi.org/10.1016/j.esr.2026.102267
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