Exploring the core factors and its dynamic effects on oil price: An application on path analysis and BVAR-TVP model

doi:10.1016/j.enpol.2011.09.057

CSpace > 系统科学研究所

	Exploring the core factors and its dynamic effects on oil price: An application on path analysis and BVAR-TVP model
	Chai, Jian 1,2,3; Guo, Ju-E 2; Meng, Lei 2; Wang, Shou-Yang3
	2011-12-01
发表期刊	ENERGY POLICY
ISSN	0301-4215
卷号	39 期号:12 页码:8022-8036
摘要	As 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.
关键词	Oil price China's net import Dollar index
DOI	10.1016/j.enpol.2011.09.057
语种	英语
资助项目	National Natural Science Foundation of China (NSFC)[71103115] ; Shaanxi Normal University[10SZYB21]
WOS研究方向	Energy & Fuels ; Environmental Sciences & Ecology
WOS类目	Energy & Fuels ; Environmental Sciences ; Environmental Studies
WOS记录号	WOS:000298363400053
出版者	ELSEVIER SCI LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/12899
专题	系统科学研究所
通讯作者	Chai, Jian
作者单位	1.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
推荐引用方式 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.