Uncertainty,Geopolitical and Tail Risk in Crude Oil Price
Based on monthly data on the growth rate of Brent crude oil futures prices from January 1997 to December 2022,this pa-per uses an in risk growth model to study the conditional prediction distribution of crude oil price growth rate as a function of interna-tional geopolitical and economic policy uncertainty,and characterizes its extreme head and tail risk characteristics.The sample peri-od covers periods of major geopolitical turmoil,economic recession,and the impact of new energy on the crude oil market.The oil market exhibits very heterogeneous behavior,and the research results show that:1.The predicted density function of crude oil price growth has significant asymmetry,with the distribution overall leaning to the left.The financial crisis after 2009-2014 and the epi-demic period after 2021 have a phased right deviation,but the risk is statistically significantly correlated with the extreme left tail,The risk of future crude oil price growth mainly focuses on downside risks.2.The impact of economic policy uncertainty on crude oil prices is concentrated in the short to medium term of 3-6 months,and the long-term impact is weak.3.Geopolitical risks have a lon-ger duration of impact on crude oil prices,and will amplify the upward risk of crude oil price growth in the short,medium,and long term.4.Economic policy uncertainty and geopolitical risks can characterize the tail risk characteristics of crude oil price growth,pro-viding risk identification indicators for policy makers and market participants.As the world's largest crude oil importer,monitoring and controlling crude oil price risks is crucial for China's sustained economic development.This article provides a framework for a deep understanding of crude oil price risks and reveals the key factors affecting crude oil prices.At the same time,relevant sugges-tions have been provided to promote the development and innovation of China's energy market.
万方数据
维普
