Understanding the Oil Price Movement: Short versus Long Run Using the Leap Frog Model

Yosef Bonaparte
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引用次数: 2

Abstract

This paper studies the oil price movement accounting for time horizon. Historical data demonstrates that the price of oil jumps from one state (condition) to another, remains stable stays for some time, and then jumps again to a new state, a phenomenon that is similar to 'leap frog'. Motivated by this phenomena, we present a model named 'leap frog' to estimate the probability, price, and duration for each price state to predict future oil prices. We find that analyzing the oil price for different time horizons (weekly, monthly, and quarterly) conveys different inferences: the shorter the time horizon, the greater the number of states that the price (frog) may jump (leap) to and the shorter duration in each state. Motivated by these findings, we also study the co-movement between the real economic activity and oil price and find it varies by time horizons, which has implications for measuring economic significance for shocks on oil prices. Finally, we exploit the leap frog model to employ an out of sample approach for trading strategy and yield an 0.035% average monthly excess return over the oil price growth. Collectively, oil price movement should be analyzed based on the time horizon of interest.
用跳跃蛙模型理解油价走势:短期与长期
本文研究了考虑时间范围的石油价格变动。历史数据表明,石油价格从一种状态(条件)跳到另一种状态(条件),保持稳定一段时间,然后再次跳到新的状态,这种现象类似于“跳蛙”。受这种现象的启发,我们提出了一个名为“跳跃蛙”的模型来估计每种价格状态的概率、价格和持续时间,以预测未来的油价。我们发现,分析不同时间范围(每周、每月和季度)的油价会得出不同的结论:时间范围越短,价格(青蛙)可能跳跃到的状态越多,每个状态的持续时间也越短。在这些发现的推动下,我们还研究了实体经济活动与油价之间的共同运动,并发现它随时间范围而变化,这对衡量油价冲击的经济意义具有影响。最后,我们利用跳跃蛙模型采用样本外方法进行交易策略,并在油价上涨的基础上获得0.035%的平均月超额收益。总的来说,油价走势应该根据利益的时间范围进行分析。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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