Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling
Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling
复制标题
DOI：
10.1080/14697688.2016.1211795
复制
发表时间：
2016-09
影响因子：
1.3
通讯作者：
Wei Yang;Ai Han;Yongmiao Hong;Shouyang Wang
中科院分区：
文献类型：
--
作者：
Wei Yang;Ai Han;Yongmiao Hong;Shouyang Wang
本文提出了两种类型的虚拟变量的区间回归模型，以评估经济冲击/危机的影响，一个区间时间序列（ITS），例如每天的能源价格的间隔。本文对区间回归模型中的两类哑变量给出了不同的经济解释。特别是，我们讨论了他们如何衡量的方向和幅度的变化所造成的经济危机的ITS，并开发相应的假设检验。与传统的基于点的方法相比，拟议的ITS建模方法的一个主要优点是，它可以同时评估资产价格过程的趋势和波动性的变化。这是由于ITS样本相对于点值样本（例如收盘价）的信息增益，因为区间观测包含给定时期内价格过程的趋势和变化信息。使用所提出的区间框架，我们专注于次级抵押贷款危机对商品市场的影响作为一个案例研究的基础上，每月的原油期货价格数据的ITS。实证结果表明，有力的证据表明，次贷危机降低了水平/趋势，增加了原油价格的波动性。研究还表明，原油期货价格在前期价格过程变化的驱动下趋向于均衡状态，投机指数作为原油市场流动性的代理指标，对解释原油价格动态具有重要意义。这两个发现提供了定量的证据，在以前的文献中的理论结果。
This paper proposes two types of dummy variables for an interval regression model to assess the impact of economic shocks/crises on an interval time series (ITS), e.g. daily intervals of energy prices. We present different economic interpretations of the two types of dummy variables for an interval regression model. Particularly, we discuss how they measure the direction and magnitudes of the change of an ITS caused by an economic crisis, and develop the corresponding hypothesis tests. A main advantage of the proposed ITS modelling approach over traditional point-based methods is that it can assess the change in both the trend and volatility of an asset price process simultaneously. This is due to the informational gain of an ITS sample over a point-valued sample, e.g. closing prices, since an interval observation contains both the trend and variation information of a price process in a given period. Using the proposed interval framework, we focus on the impact of the subprime mortgage crisis in the commodity market as a case study based on the ITS of monthly crude oil future price data. Empirical results suggest a strong evidence that the subprime crisis has lowered the level/trend and increased the volatility of crude oil prices. We also show that the trend of crude oil future prices moves towards an equilibrium state driven by the variation of the price process in last period, and the speculation index, as a proxy of crude oil market liquidity, is significant in explaining the dynamics of crude oil prices. Both findings provide quantitative evidence for theoretical results in the previous literature.