Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling

doi:10.1080/14697688.2016.1211795

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	Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling
	Yang, Wei 1; Han, Ai2 ; Hong, Yongmiao 3; Wang, Shouyang2
	2016-12-01
发表期刊	QUANTITATIVE FINANCE
ISSN	1469-7688
卷号	16 期号:12 页码:1917-1928
摘要	This paper proposes two types of dummy variables for an interval regression model to assess the impact of economic shocks/crises on an interval time series (ITS), e.g. daily intervals of energy prices. We present different economic interpretations of the two types of dummy variables for an interval regression model. Particularly, we discuss how they measure the direction and magnitudes of the change of an ITS caused by an economic crisis, and develop the corresponding hypothesis tests. A main advantage of the proposed ITS modelling approach over traditional point-based methods is that it can assess the change in both the trend and volatility of an asset price process simultaneously. This is due to the informational gain of an ITS sample over a point-valued sample, e.g. closing prices, since an interval observation contains both the trend and variation information of a price process in a given period. Using the proposed interval framework, we focus on the impact of the subprime mortgage crisis in the commodity market as a case study based on the ITS of monthly crude oil future price data. Empirical results suggest a strong evidence that the subprime crisis has lowered the level/trend and increased the volatility of crude oil prices. We also show that the trend of crude oil future prices moves towards an equilibrium state driven by the variation of the price process in last period, and the speculation index, as a proxy of crude oil market liquidity, is significant in explaining the dynamics of crude oil prices. Both findings provide quantitative evidence for theoretical results in the previous literature.
关键词	Interval dummy variable Interval time series Crisis Crude oil prices Speculation index Range volatility
DOI	10.1080/14697688.2016.1211795
语种	英语
资助项目	MOE (Ministry of Education in China) Youth Project of Humanities and Social Sciences Fund[14YJC630163] ; National Natural Science Foundation of China[71501115] ; National Natural Science Foundation of China[71201161] ; National Center for Mathematics and Interdisciplinary Sciences, Chinese Academy of Sciences
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Business, Finance ; Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS记录号	WOS:000388099000012
出版者	ROUTLEDGE JOURNALS, TAYLOR & FRANCIS 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/24162
专题	系统科学研究所
通讯作者	Han, Ai
作者单位	1.Shanxi Univ, Inst Management & Decis, Taiyuan 030006, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Cornell Univ, Dept Econ, Ithaca, NY 14853 USA 4.Cornell Univ, Dept Stat Sci, Ithaca, NY USA
推荐引用方式 GB/T 7714	Yang, Wei,Han, Ai,Hong, Yongmiao,et al. Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling[J]. QUANTITATIVE FINANCE,2016,16(12):1917-1928.
APA	Yang, Wei,Han, Ai,Hong, Yongmiao,&Wang, Shouyang.(2016).Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling.QUANTITATIVE FINANCE,16(12),1917-1928.
MLA	Yang, Wei,et al."Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling".QUANTITATIVE FINANCE 16.12(2016):1917-1928.