Academic Journal of Business & Management, 2023, 5(23); doi: 10.25236/AJBM.2023.052301.
Zixin Zhou1, Min Min1, Jingfu Wei2
1School of Business, University of Shanghai for Science and Technology, Shanghai, China
2School of Business, University of Shanghai for Science and Technology, Shanghai, China
The paper attempts to assess the dynamic effect of global oil price shocks on China gasoline and diesel markets. Using responses of these two markets to international oil price fluctuations, we establish structural vector autoregressive (SVAR) models respectively, estimating the impulse response functions (IRF) and variance decomposition results. Base on monthly data on global oil prices, Chinese gasoline and diesel prices, consumption and production from January 2014 to March 2022, we found that: (ⅰ) Both two markets responded relatively fast to global oil price shocks, peaking statistically within two to three months, with the gasoline market being more sensitive to oil price fluctuations. (ⅱ) The impact of oil price fluctuations on the markets can last for two to three years, and the impact on the gasoline market last significantly longer than that on the diesel market while the pass-through effect of international oil prices on China’s diesel market is stronger, reflected in the variance decomposition results. The above results show that diesel market is more able to withstand the impact of oil price fluctuations than the gasoline market, and it is also more stable from the previous period. Based on the existing policy and market environment, we believe that this situation will not change in the short term.
Oil price pass-through, Fuel markets, Heterogeneity, Structural vector auto-regression model, JEL classification: C32; D40; Q41
Zixin Zhou, Min Min, Jingfu Wei. Dynamic Pass-through Effect of Global Oil Price on China's Gasoline and Diesel Market: Empirical Analysis Based on the Structural Vector Autoregressive Models. Academic Journal of Business & Management (2023) Vol. 5, Issue 23: 1-8. https://doi.org/10.25236/AJBM.2023.052301.
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