Disentangling market drivers and macro uncertainty risks in crude oil futures pricing: A multi-scale quantile regression and causal forest approach

Yaqi Mao, Xiaobing Yu, Jia Liu, Feng Wang, Aixin Zhang and Junhua Zhu

Energy, 2025, vol. 332, issue C

Abstract: In the accelerating global energy transition, crude oil futures price formation has become increasingly complex. This study employs multi-scale decomposition, multi-scale quantile regression, and causal forest models to investigate the volatility mechanism of China's INE crude oil futures from multiple dimensions, including supply and demand, monetary factors, and macro uncertainty. Using a "decomposition-reconstruction" approach, we extract multi-frequency dynamic patterns of crude oil futures prices. Multi-scale quantile regression reveals complex relationships between prices and influencing factors across different time scales, while the causal forest model quantifies the causal effects of economic policy uncertainty, climate policy uncertainty, and geopolitical risks on price volatility. We find that Brent crude oil futures prices have the strongest linkage with China's market in the medium to long term, while the Nanhua Industrial Index significantly impacts short-term fluctuations. Climate policy uncertainty significantly affects the market across all time scales, while economic policy uncertainty has limited impact. Geopolitical risks indirectly influence price volatility via supply-demand relationships. This study provides new perspectives and practical insights for investors, policymakers, and regulators to better manage and respond to the risks of crude oil price volatility in an increasingly complex global market.

Keywords: Crude oil futures; Macro uncertainty; Multi-scale fluctuations; Causal forest (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0360544225029044
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:332:y:2025:i:c:s0360544225029044

DOI: 10.1016/j.energy.2025.137262

Access Statistics for this article

Energy is currently edited by Henrik Lund and Mark J. Kaiser

More articles in Energy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().