Dynamic Characteristics of Crude Oil Price Fluctuation-From the Perspective of Crude Oil Price Influence Mechanism

被引：22
|
作者：
Peng, Jiaying [1 ]
Li, Zhenghui [2 ,3 ]
Drakeford, Benjamin M. [4 ]
机构：
[1] Hunan Agr Univ, Sch Econ, Changsha 410128, Peoples R China
[2] Guangzhou Int Inst Finance, Guangzhou 510006, Peoples R China
[3] Guangzhou Univ, Guangzhou 510006, Peoples R China
[4] Univ Portsmouth, Portsmouth Business Sch, Econ & Finance Subject Grp, Portsmouth PO1 3AH, Hants, England
来源：
ENERGIES | 2020年 / 13卷 / 17期
关键词：
crude oil price fluctuation; evolution characteristics; price influence mechanism; INFORMATION-TRANSMISSION; VOLATILITY SPILLOVERS; PASS-THROUGH; STOCK-PRICES; REAL PRICE; GOLD PRICE; MARKETS; OPEC; FINANCIALIZATION; UNCERTAINTY;
D O I：
10.3390/en13174465
中图分类号：
TE [石油、天然气工业]; TK [能源与动力工程];
学科分类号：
0807 ; 0820 ;
摘要：
The uncertainty in the evolution of crude oil price fluctuation has a significant impact on economic stability. Based on the decomposition of crude oil price fluctuation by the state-space model, this paper studies the fluctuation trend of crude oil prices and its causes. The nonlinearity autoregressive distribute lag approach (NARDL) model is used to capture the influence mechanism characteristics of crude oil prices at different positions and different fluctuation trends. An event study model with dummy variables is constructed to compare the effects of different types of events on crude oil price fluctuations. The empirical results indicate that the fluctuation of crude oil prices tends to strengthen on the whole, and there is a remarkable correlation between this trend and the influencing mechanism of crude oil price, namely, the fluctuation source structure. The influence mechanism of crude oil price fluctuation is asymmetric when the crude oil price is at different positions and under different trends. There is a strong correlation between event shocks and event types in the evolution of crude oil price fluctuation.
引用
收藏
页数：19
相关论文
共 50 条
  • [21] Is There a Critical Value of the Crude Oil Price?
    Hsing, Yu
    ATLANTIC ECONOMIC JOURNAL, 2008, 36 (03) : 369 - 370
  • [22] CRUDE-OIL PRICE TRENDS
    MAY, WR
    TURBOMACHINERY INTERNATIONAL, 1994, 35 (02) : 26 - 26
  • [23] Crude oil price forecasting with ANFIS
    Zimberg, B.
    INTERNATIONAL CONFERENCE ON INDUSTRIAL LOGISTICS (ICIL 2008): LOGISTICS IN A FLAT WORLD: STRATEGY, MANAGEMENT AND OPERATIONS, 2008, : 274 - 281
  • [24] Fluctuation behavior analysis of international crude oil and gasoline price based on complex network perspective
    Wang, Minggang
    Chen, Ying
    Tian, Lixin
    Jiang, Shumin
    Tian, Zihao
    Du, Ruijin
    APPLIED ENERGY, 2016, 175 : 109 - 127
  • [25] Crude oil price analysis and forecasting: A perspective of "new triangle"
    Lu, Quanying
    Li, Yuze
    Chai, Jian
    Wang, Shouyang
    ENERGY ECONOMICS, 2020, 87
  • [26] Moody oil: What is driving the crude oil price?
    Lechthaler, Filippo
    Leinert, Lisa
    EMPIRICAL ECONOMICS, 2019, 57 (05) : 1547 - 1578
  • [27] Detecting method for crude oil price fluctuation mechanism under different periodic time series
    Gao, Xiangyun
    Fang, Wei
    An, Feng
    Wang, Yue
    APPLIED ENERGY, 2017, 192 : 201 - 212
  • [28] Moody oil: What is driving the crude oil price?
    Filippo Lechthaler
    Lisa Leinert
    Empirical Economics, 2019, 57 : 1547 - 1578
  • [29] Is refined oil price regulation a "shock absorber" for crude oil price shocks?
    Zhang, Qi
    Hu, Yi
    Jiao, Jianbin
    Wang, Shouyang
    ENERGY POLICY, 2023, 173
  • [30] The Mechanism of Google Trends Affecting Crude Oil Price Forecasting
    Lin Y.
    Han D.
    Du J.
    Jia G.
    SN Computer Science, 3 (4)
12345