Abstract
This paper studies the correlation between Chinese crude oil futures and international benchmarks using DCC-MIDAS models. We find that the correlation between the Chinese and international crude oil markets heightened during the COVID-19 outbreak and peaked in June 2020. As the intensity of the pandemic in China weakened, the oil market correlation weakened as well. However, as international oil prices increased from October 2021 afterwards, the oil market correlation heightened.
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