Abstract:

This paper analyzes the relationship between China′s fuel oil prices and WTI prices with the help of co-integration test，error correction model，variance decomposition and impulse response function.The analysis reveals that although with price fixing capability to a certain degree，China′s oil futures prices have been in line with international market，there is still a gap between China and the mature international market.Understanding the relationship between China′s fuel oil futures prices and international oil prices and their influences on each other is of great significance in promoting China′s pricing capability in oil market and in guaranteeing China′s economic safety.

Key words: fuel oil futures prices, co-integration test, error correction model, variance decomposition, impulse response function