Abstract
The uncertainty in the evolution of crude oil price fluctuation has a significant impact on economic stability. Based on the decomposition of crude oil price fluctuation by the state-space model, this paper studies the fluctuation trend of crude oil prices and its causes. The nonlinearity autoregressive distribute lag approach (NARDL) model is used to capture the influence mechanism characteristics of crude oil prices at different positions and different fluctuation trends. An event study model with dummy variables is constructed to compare the effects of different types of events on crude oil price fluctuations. The empirical results indicate that the fluctuation of crude oil prices tends to strengthen on the whole, and there is a remarkable correlation between this trend and the influencing mechanism of crude oil price, namely, the fluctuation source structure. The influence mechanism of crude oil price fluctuation is asymmetric when the crude oil price is at different positions and under different trends. There is a strong correlation between event shocks and event types in the evolution of crude oil price fluctuation.
Highlights
Crude oil is the most traded commodity in the world, and the most important energy resource in economic activities
The fluctuation of crude oil prices is no longer caused by the simple change of supply and demand structure, but it is the result of the influence of various factors, which can be roughly summarized as the commodity attribute of crude oil and the financial attribute of crude oil, which have become the core source of modern crude oil price fluctuation
Through the decomposition of West Texas Intermediate (WTI) crude oil price fluctuation, this paper extracts the oil price fluctuation structure caused by supply fluctuation sources and financial fluctuation sources, compares and analyzes the influence effect of different fluctuation sources from dynamic characteristics, asymmetries, and event impacts, and explains the dynamic evolution characteristics of oil price fluctuation from the perspective of the crude oil price influence mechanism
Summary
Crude oil is the most traded commodity in the world, and the most important energy resource in economic activities. The long-term trend of oil prices is determined by supply and demand, which is accompanied by frequent oil-related events [1,2,3,4] and increasing speculation in crude oil financialized products [5,6]. The long-term trend of oil prices is determined by oil supply and demand, while the short-term fluctuation of crude oil is influenced by economic and financial factors such as business cycle and financial market speculation, which increase the instability of oil markets [13,14]. Crude oil is traded in the commodity market as an energy fuel, and the long-term trend in crude oil prices is determined by supply and demand. Shocks onstructure crude oilofprice is strongly correlated with the event type
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