{"title":"全球经济政策不确定性与原油价格的非线性动态关系研究","authors":"Mengqi Gong, Zhe You, Longle Wang, Dapeng Ruan","doi":"10.1016/j.asieco.2023.101673","DOIUrl":null,"url":null,"abstract":"<div><p><span>This paper examines the relationship between global economic policy uncertainty<span> (GEPU, Global economic policy uncertainty refers to the fact that market actors cannot accurately predict whether the government will change the current economic policy, if so, when the government will make changes, and what the content of the current policy changes will be. These are difficult for economic actors to accurately predict.) and crude oil prices from a global perspective within a non-linear analytical framework. Firstly, the non-linear dynamic trends between GEPU and WTI (West Texas Intermediate) crude oil prices are examined using the VAR-filtered BDS test, followed by the test of the non-linear Granger causality, which shows significant non-linear causal relationship between GEPU and WTI oil prices. Further, this paper use threshold vector </span></span>autoregressive model (TVAR) and threshold vector error correction model (TVECM) to analysis the long-term and short-term non-linear dynamic adjustment processes between GEPU and WTI oil prices, the result shows that there is an optimal threshold between GEPU and WTI. In the low global economic policy uncertainty regime, the relationship between GEPU and WTI is mutually beneficial, while in the high global economic policy uncertainty regime, the relationship between GEPU and WTI is mutually inhibited. Meanwhile, the TVECM results show that in the first regime, GEPU adjusts towards equilibrium at a faster rate, while in the second regime, WTI adjusts towards equilibrium at a faster rate.</p></div>","PeriodicalId":47583,"journal":{"name":"Journal of Asian Economics","volume":null,"pages":null},"PeriodicalIF":2.9000,"publicationDate":"2023-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Research of the non-linear dynamic relationship between global economic policy uncertainty and crude oil prices\",\"authors\":\"Mengqi Gong, Zhe You, Longle Wang, Dapeng Ruan\",\"doi\":\"10.1016/j.asieco.2023.101673\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p><span>This paper examines the relationship between global economic policy uncertainty<span> (GEPU, Global economic policy uncertainty refers to the fact that market actors cannot accurately predict whether the government will change the current economic policy, if so, when the government will make changes, and what the content of the current policy changes will be. These are difficult for economic actors to accurately predict.) and crude oil prices from a global perspective within a non-linear analytical framework. Firstly, the non-linear dynamic trends between GEPU and WTI (West Texas Intermediate) crude oil prices are examined using the VAR-filtered BDS test, followed by the test of the non-linear Granger causality, which shows significant non-linear causal relationship between GEPU and WTI oil prices. Further, this paper use threshold vector </span></span>autoregressive model (TVAR) and threshold vector error correction model (TVECM) to analysis the long-term and short-term non-linear dynamic adjustment processes between GEPU and WTI oil prices, the result shows that there is an optimal threshold between GEPU and WTI. In the low global economic policy uncertainty regime, the relationship between GEPU and WTI is mutually beneficial, while in the high global economic policy uncertainty regime, the relationship between GEPU and WTI is mutually inhibited. Meanwhile, the TVECM results show that in the first regime, GEPU adjusts towards equilibrium at a faster rate, while in the second regime, WTI adjusts towards equilibrium at a faster rate.</p></div>\",\"PeriodicalId\":47583,\"journal\":{\"name\":\"Journal of Asian Economics\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.9000,\"publicationDate\":\"2023-11-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Asian Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1049007823000933\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Asian Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1049007823000933","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
Research of the non-linear dynamic relationship between global economic policy uncertainty and crude oil prices
This paper examines the relationship between global economic policy uncertainty (GEPU, Global economic policy uncertainty refers to the fact that market actors cannot accurately predict whether the government will change the current economic policy, if so, when the government will make changes, and what the content of the current policy changes will be. These are difficult for economic actors to accurately predict.) and crude oil prices from a global perspective within a non-linear analytical framework. Firstly, the non-linear dynamic trends between GEPU and WTI (West Texas Intermediate) crude oil prices are examined using the VAR-filtered BDS test, followed by the test of the non-linear Granger causality, which shows significant non-linear causal relationship between GEPU and WTI oil prices. Further, this paper use threshold vector autoregressive model (TVAR) and threshold vector error correction model (TVECM) to analysis the long-term and short-term non-linear dynamic adjustment processes between GEPU and WTI oil prices, the result shows that there is an optimal threshold between GEPU and WTI. In the low global economic policy uncertainty regime, the relationship between GEPU and WTI is mutually beneficial, while in the high global economic policy uncertainty regime, the relationship between GEPU and WTI is mutually inhibited. Meanwhile, the TVECM results show that in the first regime, GEPU adjusts towards equilibrium at a faster rate, while in the second regime, WTI adjusts towards equilibrium at a faster rate.
期刊介绍:
The Journal of Asian Economics provides a forum for publication of increasingly growing research in Asian economic studies and a unique forum for continental Asian economic studies with focus on (i) special studies in adaptive innovation paradigms in Asian economic regimes, (ii) studies relative to unique dimensions of Asian economic development paradigm, as they are investigated by researchers, (iii) comparative studies of development paradigms in other developing continents, Latin America and Africa, (iv) the emerging new pattern of comparative advantages between Asian countries and the United States and North America.