实体经济中的石油价格

IF 2.3 3区 经济学 Q2 ECONOMICS
Haicheng Shu, Peter Spencer
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引用次数: 0

摘要

本文提出了美国经济和石油现货及期货市场的宏观金融模型。通过使用卡尔曼滤波对代表通货膨胀渐近线、实际石油价格和期货曲线斜率的潜在变量进行建模,大大提高了模型的性能。我们发现,这些都是由观察到的期货价格的创新所主导的,反映了市场预期的重要性。使用卡尔曼滤波来捕捉通胀冲击有助于解决臭名昭著的价格难题,即利率上升的趋势预测了这种发展,显然会导致通胀。期货价格还取决于风险溢价,我们发现风险溢价是由代表实际油价的潜在变量而不是通货膨胀和利率等宏观变量主导的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Oil prices in the real economy

This paper presents a macro-finance model of the US economy and the spot and futures markets for oil. The performance of the model is greatly enhanced by using the Kalman filter to model latent variables representing the inflation asymptote, the real price of oil and the slope of the futures curve. We find that these are dominated by innovations in observed futures prices, reflecting the importance of market expectations. Using the Kalman filter to capture inflationary shocks helps solve the notorious price puzzle, the tendency for increases in interest rates to anticipate such developments and apparently cause inflation. Futures prices also depend upon risk premiums, which we find are dominated by the latent variable representing the real oil price rather than macro variables like inflation and interest rates.

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来源期刊
CiteScore
3.70
自引率
4.80%
发文量
63
期刊介绍: The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.
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