LOGO
China University of Geosciences
ACTUAL OR NUMERICAL?
A DISCUSSION ON CRUDE OIL PRICES
AND EXPORTS
Reporter：Wenqi Zhu
Educational Institution ：CUG
Singapore
June 2017
CONTENT
Introduction
Literature Review
Granger Causality Tests
Dynamic Factor Model
Results & Conclusions
Introduction
 Whether the shock of energy prices, will have an impact
on China's trade structure?
Introduction
 Some scholars believe that this is due to China's labor surplus, but we find
the same phenomenon occured in some oil trading countries and regions,
such as Europe, the United States, Canada, Mexico, etc.
CONTENT
Introduction
Literature Review
Granger Causality Tests
Dynamic Factor Model
Results & Conclusions
Literature Review
 When the price of oil has gone up, the world's total consumer demand will
decline, which will reduce the rate of economic growth, and lead to economic
recession. Fried & Schultze(1975), Dohner(1981)
 After World War II, almost every recession was related to oil prices except
1960. Hamilton(1983)
 The world oil prices rose 10%, China's GDP fell by about 0.1%, while
commodity prices rose 0.1%. Wei(2002)
Literature Review
 Hillman & Bullard(1978) used input-output method to study the
relationship between energy consumption and trade by the H-O model
theory.
 Goldberg(1984) and Owen(1982) both thought that the scale and structure
of energy consumption are important to import and export trade.
 Ricardo and André(2009) found a phenomenon that there was a positive
correlation between Chinese exports and the oil price.
 Yang & Yue(2010) analysed why Chinese energy prices and exports
changed in the same direction.
CONTENT
Introduction
Literature Review
Granger Causality Tests
Dynamic Factor Model
Results & Conclusions
Granger Causality Tests
 Correlation test
Table 1: The correlation coefficient between crude oil price and export trade
correlation
coefficient
CHN
US
JPN
EU
ME
CA
MEX
0.629
0.655
0.663
0.652
0.835
0.648
0.652
Granger Causality Tests
 Granger causality test
Table 2: linear Granger causality test F statistics
Original hypothesis 1: export volume is not the Granger cause of oil prices
Lagging
number
CHN
US
JPN
EU
ME
CA
MEX
1
0.411
0.426
0.889
0.756
1.100
0.141
0.295
5
0.947
1.012
0.928
0.986
1.134
1.621
0.643
10
0.471
0.503
0.822
0.757
0.624
0.513
0.897
Original hypothesis 2: oil prices are not the reasons for the export of Granger
Lagging
number
CHN
US
JPN
EU
ME
CA
MEX
1
1.063
0.348
0.5374
0.240
0.401
0.376
0.104
5
0.702
0.223
0.275
1.088
1.048
0.476
0.259
10
0.835
0.807
0.636
2.426
0.950
0.742
0.522
Granger Causality Tests
 Granger causality test
Table 3: nonlinear causality test 𝑻𝒏 statistics
Original hypothesis 3: export volume is not the cause of nonlinear Granger of oil prices
Lagging
number
CHN
US
JPN
EU
ME
CA
MEX
1
3.398*** 3.436***
1.306*
2.481***
3.631***
3.905***
3.247***
5
3.559*** 3.105*** 1.712**
1.980**
3.315***
3.482***
3.040***
10
3.025*** 2.947*** 1.963**
1.612*
2.982***
3.174***
2.692***
Original hypothesis 4: oil prices are not the reasons for the export of nonlinear Granger
Lagging
number
CHN
US
JPN
EU
ME
CA
MEX
1
2.322**
3.176***
0.899
2.304**
3.113***
3.311***
3.089***
5
3.246*** 3.761***
1.173
2.374***
3.803***
3.816***
3.428***
10
3.229*** 3.682***
1.559*
2.389***
3.848***
3.803***
3.689***
CONTENT
Introduction
History study of crude oil prices and exports
Granger Causality Tests
Dynamic Factor Model
Results & Conclusions
Dynamic Factor Model
 Dynamic Factor Model
Table 4: Regression results of Dynamic Factor Model
Oil-improting countries
DFM
Oil-exporting countries Oil-importing countries(all)
CHN
Developed
country
Constant
8.296E-17
（.064）
-.034
(.058)
-.052
(.129)
-.028
(.064)
Factor 1
.676***
(.065)
.671***
(.058)
.597***
(.131)
.699***
(.064)
Factor 2
-.066
(.065)
-.009
(.058)
-.079
(.131)
.067
(.064)
CONTENT
Introduction
History study of crude oil prices and exports
Granger Causality Tests
Dynamic Factor Model
Results & Conclusions
Results & Conclusions
 There is a strong correlation between crude oil prices and the exports of major economies in the
world and the Middle East is 0.8352.
 The correlation between crude oil prices and oil importing countries is related to the stage of
economic development, developed countries are more closely related to oil prices.
 The export volume of all countries is not Grainger's reason for oil prices, and oil prices are not
Grainger's reason for export volume.
 For the oil exporting countries the rising crude oil prices will lead to a decline in exports, the
falling crude oil prices will rise the exports.
 For oil importing developed countries the rising crude oil prices will lead to a decline in exports
too, but the falling oil prices will not lead to a significant rise in exports.
 In general, the fluctuation of crude oil price has a strong relationship with the export of oil
exporting countries. However, the relationship between oil importing countries is relatively
complicated.
 We guess the main reason for this phenomenon is that, for oil importing countries, fluctuations
in oil prices have little impact on the country's production costs, and the changes in costs lags
behind the crude oil prices.
LOGO
IAEE
JUNE 2017
SINGAPORE