Analyzing dynamics of crude oil price amid sudden events and intervention measures: Insights from a Prophet-QR model

IF 11 1区工程技术 Q1 ENERGY & FUELS

Applied Energy Pub Date : 2025-09-06 DOI:10.1016/j.apenergy.2025.126715

Xingxuan Zhuo , Jianjiang Ye , Han Liu , Feng Lin

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引用次数: 0

Abstract

Given that crude oil prices are influenced by the complex interplay of political, economic, and social events, leading to rapid, substantial, and unpredictable fluctuations, the associated risk has received considerable attention. How can we quantitatively characterize the impact of these sudden events and accurately measure crude oil price risk? To achieve this objective, the paper introduces the Prophet Quantile Regression (Prophet-QR) model. This model not only analyzes the impact of sudden events on crude oil prices but also evaluates the effectiveness of strategies implemented to control these fluctuations. It also forecasts the future distribution of crude oil prices and measures both the potential upside and downside risks associated with crude oil price volatility. By employing a multi-step ahead rolling forecasting approach and the proposed Prophet-QR model, this study draws several empirical conclusions. First, the Prophet-QR model demonstrates superior accuracy in prediction. Second, sudden events, such as the Iraq war and the Libyan war, have a profound impact on crude oil prices, causing the oil price at risk (OaR) to rise sharply. Third, the implementation of oil price intervention measures, such as production cuts and strategic reserve releases, is highly effective in mitigating the adverse effects of sudden events, thereby normalizing the OaR. Continuously monitoring OaR fluctuations supports informed policymaking and effectively reduces the adverse impacts of sudden events on future crude oil prices.

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突发事件中原油价格动态分析及干预措施：来自Prophet-QR模型的启示

鉴于原油价格受到政治、经济和社会事件复杂相互作用的影响，导致快速、大幅度和不可预测的波动，相关风险受到了相当大的关注。我们如何定量描述这些突发事件的影响，并准确衡量原油价格风险？为了实现这一目标，本文引入了Prophet分位数回归（Prophet- qr）模型。该模型不仅分析了突发事件对原油价格的影响，而且还评估了控制这些波动的策略的有效性。它还预测原油价格的未来分布，并衡量与原油价格波动相关的潜在上行和下行风险。通过采用多步超前滚动预测方法和提出的Prophet-QR模型，本研究得出了几个实证结论。首先，Prophet-QR模型具有较高的预测精度。其次，突发性事件，如伊拉克战争、利比亚战争等，对原油价格产生了深远的影响，导致原油风险价格（OaR）大幅上升。第三，实施石油价格干预措施，如减产和战略储备释放，在缓解突发事件的不利影响方面非常有效，从而使OaR正常化。持续监测桨叶波动有助于知情决策，并有效减少突发事件对未来原油价格的不利影响。

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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来源期刊

Applied Energy 工程技术-工程：化工

CiteScore

21.20

自引率

10.70%

发文量

1830

审稿时长

41 days

期刊介绍： Applied Energy serves as a platform for sharing innovations, research, development, and demonstrations in energy conversion, conservation, and sustainable energy systems. The journal covers topics such as optimal energy resource use, environmental pollutant mitigation, and energy process analysis. It welcomes original papers, review articles, technical notes, and letters to the editor. Authors are encouraged to submit manuscripts that bridge the gap between research, development, and implementation. The journal addresses a wide spectrum of topics, including fossil and renewable energy technologies, energy economics, and environmental impacts. Applied Energy also explores modeling and forecasting, conservation strategies, and the social and economic implications of energy policies, including climate change mitigation. It is complemented by the open-access journal Advances in Applied Energy.