Dynamic Characteristics of Crude Oil Price Fluctuation—From the Perspective of Crude Oil Price Influence Mechanism

Jiaying Peng, Zhenghui Li and Benjamin M. Drakeford
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Jiaying Peng: School of Economics, Hunan Agricultural University, Changsha 410128, China
Zhenghui Li: Guangzhou International Institute of Finance and Guangzhou University, Guangzhou 510006, China
Benjamin M. Drakeford: Economics and Finance Subject Group, Portsmouth Business School, University of Portsmouth, Portsmouth PO1 3AH, UK

Energies, 2020, vol. 13, issue 17, 1-19

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.

Keywords: crude oil price fluctuation; evolution characteristics; price influence mechanism (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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