LAPSE:2023.26094
Published Article
LAPSE:2023.26094
Dynamic Characteristics of Crude Oil Price Fluctuation—From the Perspective of Crude Oil Price Influence Mechanism
March 31, 2023
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.
Keywords
crude oil price fluctuation, evolution characteristics, price influence mechanism
Suggested Citation
Peng J, Li Z, Drakeford BM. Dynamic Characteristics of Crude Oil Price Fluctuation—From the Perspective of Crude Oil Price Influence Mechanism. (2023). LAPSE:2023.26094
Author Affiliations
Peng J: School of Economics, Hunan Agricultural University, Changsha 410128, China [ORCID]
Li Z: Guangzhou International Institute of Finance and Guangzhou University, Guangzhou 510006, China [ORCID]
Drakeford BM: Economics and Finance Subject Group, Portsmouth Business School, University of Portsmouth, Portsmouth PO1 3AH, UK [ORCID]
Journal Name
Energies
Volume
13
Issue
17
Article Number
E4465
Year
2020
Publication Date
2020-08-29
ISSN
1996-1073
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PII: en13174465, Publication Type: Journal Article
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