New insights into domestic price drivers of crude oil futures markets: Evidence from quantile ARDL approach

This paper investigates the asymmetric cointegration between possible domestic determinants of crude oil futures prices during the COVID-19 pandemic period. We perform comparative analysis of West Texas Intermediate (WTI) and newly-launched Shanghai crude oil futures (SC) via the Quantile Autoregressive Distributed Lag (QARDL) model. The empirical results show the long- and short-run impacts of stock markets, interest rate, coronavirus panic and corn futures on WTI futures prices, while economic policy uncertainty is a driver for the long-run WTI price dynamics. However, the influence of stock market, interest rate and COVID-19 panic on SC is significant in the short term. There also exists short- and long-run positive responses of China’s crude oil futures to corn prices. Overall, the impacts of domestic price drivers are heterogeneous across market circumstances (bullish, bearish and normal) and countries. These empirical evidences provide practical implications for investors and policymakers.