The impact of macro economy on the oil price volatility from the perspective of mixing frequency
The impact of macro economy on the oil price volatility from the perspective of mixing frequency
复制标题
混频视角下宏观经济对油价波动的影响
DOI：
10.1002/ijfe.2383
复制
发表时间：
2020-12-21
影响因子：
2.9
通讯作者：
Shao, Liuguo
中科院分区：
文献类型：
--
作者：
Gong, Xu;Wang, Mingchao;Shao, Liuguo
本文利用GARCH-MIDAS模型研究了1990-2018年宏观经济因素对原油市场价格波动的影响，包括宏观经济变量的水平和波动性。结果表明，在宏观经济变量水平上，经济增长、通货膨胀和进出口总额对石油价格波动有显著的负向影响。然而，汇率对石油波动性有显著的正向影响。在大多数情况下，短期利率对油价波动没有显著影响。此外，油价波动对所有五种宏观经济波动的反应都很显著。更有趣的是，经济增长和进出口总额的波动减少了2004年前的石油价格波动，但增加了2004年后的石油价格波动。
In this paper, GARCH-MIDAS model is used to study the influence of macro economy, including the levels and volatilities of macroeconomic variables, on the price fluctuations of crude oil market during the period from 1990 to 2018. The results indicate that, for the levels of macroeconomic variables, economic growth, inflation and total export-import volume have significant negative impacts on oil fluctuations. However, exchange rate has a significant positive impact on oil volatility. And short-run interest rate does not have a significant effect on oil price volatility in most cases. In addition, the responses of oil price volatility to all five macroeconomic fluctuations are significant. More interestingly, the volatilities of economic growth and total import and export reduce oil price fluctuations during the pre-2004 period, but they increase oil price fluctuations during the post-2004 period.