Crude oil price analysis and forecasting: A perspective of "new triangle"

doi:10.1016/j.eneco.2020.104721

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	Crude oil price analysis and forecasting: A perspective of "new triangle"
	Lu, Quanying 1; Li, Yuze 2,3; Chai, Jian 4; Wang, Shouyang 1,2
	2020-03-01
发表期刊	ENERGY ECONOMICS
ISSN	0140-9883
卷号	87 页码:14
摘要	In this paper, the new structural characteristics and core influencing factors of the crude oil prices are summarized based on previous representative research results. Firstly, a newly dynamic Bayesian structural time series model (DBSTS) is developed to investigate the oil prices. In particular, Google trend is introduced as an indicator to reflect the impact of search data on the oil price. Secondly, the spike and slab method is employed to select core influence factors. Finally, the Bayesian model average (BMA) is utilized to predict the oil price. Experimental results confirm that the supply and demand of global crude oil and the financial market are still the main factors affecting the oil price. Furthermore, Google trend can reflect the changes in the crude oil price to a certain extent. Moreover, the impact of shale oil production on the oil price is gradually increasing, yet remains relatively small. In addition, the DBSTS model can identify turning points in historical data (such as the 2008 financial crisis). Finally, the findings suggest the DBSTS model has good predictive capabilities in short-term prediction, making it suitable for analyzing the crude oil prices. (C) 2020 Elsevier B.V. All rights reserved.
关键词	Crude oil Dynamic Bayesian structural time series model Google trend Kalman filtering Spike and slab prior Bayesian model average
DOI	10.1016/j.eneco.2020.104721
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[71988101] ; National Natural Science Foundation of China[71874133] ; Youth Top-notch Talent Support Program of Shaanxi Province, China
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000536091600030
出版者	ELSEVIER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/51531
专题	中国科学院数学与系统科学研究院
通讯作者	Chai, Jian; Wang, Shouyang
作者单位	1.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Sch Math Sci, Beijing 110190, Peoples R China 4.Xidian Univ, Sch Econ & Management, Xian 710126, Peoples R China
推荐引用方式 GB/T 7714	Lu, Quanying,Li, Yuze,Chai, Jian,et al. Crude oil price analysis and forecasting: A perspective of "new triangle"[J]. ENERGY ECONOMICS,2020,87:14.
APA	Lu, Quanying,Li, Yuze,Chai, Jian,&Wang, Shouyang.(2020).Crude oil price analysis and forecasting: A perspective of "new triangle".ENERGY ECONOMICS,87,14.
MLA	Lu, Quanying,et al."Crude oil price analysis and forecasting: A perspective of "new triangle"".ENERGY ECONOMICS 87(2020):14.