Cost‐of‐Carry Dynamics in China's Crude Oil Futures: The Role of Macro‐Financial Term Structures

ABSTRACT The deepening financialisation of commodities has intensified the complex macro‐linkages within emerging energy markets. This paper investigates the dynamic connectedness among China's crude oil futures (INE), interest rates and exchange rates from a term‐structure perspective (level, slope and curvature). Employing the Nelson–Siegel model and a time‐varying parameter vector auto‐regression (TVP‐VAR) framework based on daily data from March 2018 to June 2025, we analyse the spillover effects of term structure factors to trace their interconnections across short‐term, medium‐term and long‐term horizons. Empirical results reveal that the exchange rate acts as a primary risk transmitter, whereas the interest rate functions as a shock absorber. Notably, system connectivity intensifies during crises, with interest rates reversing roles to become a net transmitter during the Russia–Ukraine conflict. Additionally, the INE market remains a passive price taker, heavily constrained by macro‐financial shocks. Crucially, geopolitical risk and energy price uncertainty exert significant non‐linear moderating effects on this cross‐market network. These findings provide implications for managing cross‐market risks in emerging derivatives markets.