The Shale Revolution, Geopolitical Risk, and Oil Price Volatility
The Shale Revolution, Geopolitical Risk, and Oil Price Volatility
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DOI：
10.2139/ssrn.3241692
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发表时间：
2018-08
期刊：
影响因子：
--
通讯作者：
Wenxue Wang;Fuyu Yang
中科院分区：
文献类型：
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作者：
Wenxue Wang;Fuyu Yang
美国页岩革命利用新技术开采原油，为全球石油市场的供给侧带来了新的动力。我们询问页岩革命是否削弱了地缘政治风险在油价波动中的作用。我们将简化形式的结构断裂阈值向量自回归 (SBT-VAR) 模型扩展到结构 SBT-VAR 模型，并通过允许条件异方差来识别结构创新。与传统的简化形式VAR和TVAR模型相比，数据支持具有恒定阈值和2014年4月突破的SBT-VAR。然后，我们分析了两种不同冲击情景的条件（协）方差脉冲响应，一种只有地缘政治风险冲击，另一种同时存在页岩油生产冲击和地缘政治风险冲击。波动性反应是由于地缘政治风险、页岩油产量和石油价格之间已确定的同期关系造成的，并且以当时的波动性为条件。随着单位页岩油产量冲击的增加，我们发现油价对地缘政治风险冲击的波动性反应较高，但与地缘政治风险因素的相关性较小。
The U.S. shale revolution, using new technologies to extract crude oil, has led to new dynamics in the supply side of the global oil market. We ask whether the shale revolution has dampened the role of geopolitical risk in oil price volatility. We extend a reduced form Structural Break Threshold Vector Autoregressive (SBT-VAR) model to a structural SBT-VAR model and identify the structural innovations by allowing for conditional heteroskedasticity. Compared with the conventional reduced form VAR and TVAR models, a SBT-VAR with a constant threshold and a break in April 2014 are supported by the data. We then analyse the conditional (co)variance impulse response with respect to two distinct shock scenarios, one with only a geopolitical risk shock, the other with a simultaneous shale production shock and a geopolitical risk shock. The volatility responses are due to the identified contemporaneous relationships amongst geopolitical risk, shale production and oil prices, and are conditional on volatilities at the points in time. With the extra unit shale production shock, we find that the volatility response of oil prices to a geopolitical risk shock is higher, but the response is less correlated with the geopolitical risk factor.