Analysis of the Time-varying Effect of Economic Uncertainty on International Crude Oil Prices
There has always been a complex relationship between uncertainty and crude oil prices,and the aca-demic community has not yet reached a consensus on the impact of economic uncertainty on the crude oil market.The purpose of this paper is to construct the proxy index of China's economic uncertainty ( EU) based on the mixed fre-quency dynamic factor model under dynamic structural changes,and to construct a time-varying parameter stochastic volatility vector autoregressive ( TVP-SV-VAR) model to study the time-varying impact of China's economic un-certainty on the price fluctuations of three international crude oil pricing benchmarks,West Texas Intermediate crude oil,Brent crude oil and Dubai crude oil.The results show that the impact of China's economic uncertainty on crude oil price fluctuations changes over time,and shows that the short-term effect is significantly stronger than the long-term effect,and the occurrence of each peak point is accompanied by major economic events.On this basis,this paper pro-poses policy recommendations such as enhancing the resilience of the energy supply chain and promoting the transparen-cy of the energy market to promote the stable development of the international crude oil market.
Economic UncertaintyInternational Crude OilTVP-SV-VAR Model
万方数据
维普
