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Exploring the core factors and its dynamic effects on oil price: An application on path analysis and BVAR-TVP model
Chai, Jian1,2,3; Guo, Ju-E2; Meng, Lei2; Wang, Shou-Yang3
2011-12-01
Source PublicationENERGY POLICY
ISSN0301-4215
Volume39Issue:12Pages:8022-8036
AbstractAs the uncertainty of oil price increases, impacts of the influential factors on oil price vary over time. It is of great importance to explore the core factors and its time-varying influence on oil price. In view of this, based on the PATH-ANALYSIS model, this paper obtains the core factors, builds an oil price system VAR model, which uses demand, supply, price, and inventory as endogenous variables, and China's net imports as well as dollar index as exogenous variables. Then we set up a BVAR-TVP (Time varying parameter) model to analyze dynamic impacts of core factors on oil price. The results show that: (1) oil prices became more sensitive to oil supply changes, and the influence delays became shorter; (2) the impact of oil inventories on oil prices with a time lag of two quarters but has a downward trend; (3) the impact of oil consumption on oil prices with a time lag of two quarters, and this effect is increasingly greater; (4) the US dollar index is always the important factor of oil price and its control power increases gradually, and the financial crisis (occurred in 2008) further strengthens the influence of US dollar. (C) 2011 Elsevier Ltd. All rights reserved.
KeywordOil price China's net import Dollar index
DOI10.1016/j.enpol.2011.09.057
Language英语
Funding ProjectNational Natural Science Foundation of China (NSFC)[71103115] ; Shaanxi Normal University[10SZYB21]
WOS Research AreaEnergy & Fuels ; Environmental Sciences & Ecology
WOS SubjectEnergy & Fuels ; Environmental Sciences ; Environmental Studies
WOS IDWOS:000298363400053
PublisherELSEVIER SCI LTD
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/12899
Collection系统科学研究所
Corresponding AuthorChai, Jian
Affiliation1.Shaanxi Normal Univ, Int Business Sch, Xian 710062, Shaanxi, Peoples R China
2.Xi An Jiao Tong Univ, Sch Management, Xian 710049, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 10080, Peoples R China
Recommended Citation
GB/T 7714
Chai, Jian,Guo, Ju-E,Meng, Lei,et al. Exploring the core factors and its dynamic effects on oil price: An application on path analysis and BVAR-TVP model[J]. ENERGY POLICY,2011,39(12):8022-8036.
APA Chai, Jian,Guo, Ju-E,Meng, Lei,&Wang, Shou-Yang.(2011).Exploring the core factors and its dynamic effects on oil price: An application on path analysis and BVAR-TVP model.ENERGY POLICY,39(12),8022-8036.
MLA Chai, Jian,et al."Exploring the core factors and its dynamic effects on oil price: An application on path analysis and BVAR-TVP model".ENERGY POLICY 39.12(2011):8022-8036.
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