The heterogeneous linkage of economic policy uncertainty and oil return risks

IF 5.5 Q1 BUSINESS, FINANCE
Green Finance Pub Date : 2019-03-05 DOI:10.3934/GF.2019.1.46
Hao Dong, Yue Liu, Jiaqi Chang
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引用次数: 28

Abstract

The recent financial crisis and its aftermath boost the research of economic policy uncertainty and its relevant topics. In this paper, we forecast the oil return risks based on the CAViaR method and further depict the dynamic and heterogeneous features during the crisis (or non-crisis) period, as well as in different markets via DCC-GARCH models. The empirical results show the linkage of economic policy uncertainty and oil return risks, indicating an increasing trend and stronger relationship with major events. Further study shows the heterogeneous feature existing during crisis or non-crisis period, and there is heterogeneity in values and variations of their linkage in different markets. Therefore, policymakers should intervene timely in the crude oil market, release good news, and stabilize oil prices during the crisis period. During the non-crisis period, however, investors need to rationally analyze the price trend of the oil market, thereby preventing possible risks in the market.
经济政策不确定性与石油收益风险的异质性联系
最近的金融危机及其余波推动了经济政策不确定性及其相关课题的研究。本文基于CAViaR方法对石油收益风险进行了预测,并通过DCC-GARCH模型进一步描述了危机(或非危机)期间以及不同市场的动态和异质性特征。实证结果表明,经济政策不确定性与石油收益风险之间存在关联性,且关联性呈上升趋势,与重大事件的关联性更强。进一步研究表明,在危机时期和非危机时期均存在异质性特征,在不同的市场中,其价值及其联系的变化存在异质性。因此,在危机时期,政策制定者应该及时干预原油市场,发布利好消息,稳定油价。而在非危机时期,投资者需要理性分析石油市场的价格走势,防范市场可能出现的风险。
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
Green Finance
Green Finance Multiple-
CiteScore
9.60
自引率
3.50%
发文量
14
审稿时长
6 weeks
期刊介绍: Green Finance is an international, interdisciplinary Open Access journal dedicated to green finance, environmental, and sustainability research and practice. It offers a platform for publishing original contributions and technical reviews on green finance and related topics, following a rigorous peer-review process. Accepted article types include original research, reviews, editorials, letters, and conference reports.
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