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The forecasting power of EPU for crude oil return volatility
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| Veröffentlicht in: | Energy reports 5(2019) vom: Nov., Seite 866-873 |
|---|---|
| Personen und Körperschaften: | , , , |
| Titel: | The forecasting power of EPU for crude oil return volatility/ Rufei Ma, Changfeng Zhou, Huan Cai, Chengtao Deng |
| Format: | E-Book-Kapitel |
| Sprache: | Englisch |
| veröffentlicht: |
2019
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| Gesamtaufnahme: |
: Energy reports, 5(2019) vom: Nov., Seite 866-873
, volume:5 |
| Schlagwörter: | |
| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
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| 520 | |a Economic policy uncertainty (EPU) has important implications for crude oil market. To explore the implications, this paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power in crude oil market. To this end, we employ the GARCH-MIDAS model which can incorporate lower frequency EPU index variable with higher frequency crude oil return variable effectively. We find that EPU has a positive and significant impact on the crude oil return volatility, but the effect is short-lived and the decay period is about one year. Particularly, our results show that the US EPU index has the best forecasting power for crude oil return volatility over the long-term, whereas China EPU index has the best forecasting performance in the past one year. Our findings have important implications on risk management for investors in crude oil market. | ||
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| contents | Economic policy uncertainty (EPU) has important implications for crude oil market. To explore the implications, this paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power in crude oil market. To this end, we employ the GARCH-MIDAS model which can incorporate lower frequency EPU index variable with higher frequency crude oil return variable effectively. We find that EPU has a positive and significant impact on the crude oil return volatility, but the effect is short-lived and the decay period is about one year. Particularly, our results show that the US EPU index has the best forecasting power for crude oil return volatility over the long-term, whereas China EPU index has the best forecasting performance in the past one year. Our findings have important implications on risk management for investors in crude oil market. |
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| spelling | Ma, Rufei VerfasserIn (DE-588)1193740088 (DE-627)1672814448 aut, The forecasting power of EPU for crude oil return volatility Rufei Ma, Changfeng Zhou, Huan Cai, Chengtao Deng, 2019, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Economic policy uncertainty (EPU) has important implications for crude oil market. To explore the implications, this paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power in crude oil market. To this end, we employ the GARCH-MIDAS model which can incorporate lower frequency EPU index variable with higher frequency crude oil return variable effectively. We find that EPU has a positive and significant impact on the crude oil return volatility, but the effect is short-lived and the decay period is about one year. Particularly, our results show that the US EPU index has the best forecasting power for crude oil return volatility over the long-term, whereas China EPU index has the best forecasting performance in the past one year. Our findings have important implications on risk management for investors in crude oil market., Aufsatz in Zeitschrift DE-206, Zhou, Changfeng VerfasserIn (DE-588)1193740126 (DE-627)1672814553 aut, Cai, Huan VerfasserIn (DE-588)1193740177 (DE-627)1672814804 aut, Deng, Chengtao VerfasserIn (DE-588)1193740215 (DE-627)1672814898 aut, Enthalten in Energy reports Amsterdam [u.a.] : Elsevier, 2015 5(2019) vom: Nov., Seite 866-873 Online-Ressource (DE-627)820689033 (DE-600)2814795-9 (DE-576)427950821 2352-4847 nnns, volume:5 year:2019 month:11 pages:866-873, https://doi.org/10.1016/j.egyr.2019.07.002 Resolving-System kostenfrei Volltext, https://www.sciencedirect.com/science/article/pii/S2352484718304190/pdfft?md5=3770998d5abd8f0d37188148ecfd6114&pid=1-s2.0-S2352484718304190-main.pdf Verlag kostenfrei Volltext, http://hdl.handle.net/10419/243634 Resolving-System kostenfrei, https://creativecommons.org/licenses/by/4.0/ Verlag Terms of use, https://doi.org/10.1016/j.egyr.2019.07.002 LFER, https://www.sciencedirect.com/science/article/pii/S2352484718304190/pdfft?md5=3770998d5abd8f0d37188148ecfd6114&pid=1-s2.0-S2352484718304190-main.pdf LFER, LFER 2020-02-17T00:00:00Z |
| spellingShingle | Ma, Rufei, Zhou, Changfeng, Cai, Huan, Deng, Chengtao, The forecasting power of EPU for crude oil return volatility, Economic policy uncertainty (EPU) has important implications for crude oil market. To explore the implications, this paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power in crude oil market. To this end, we employ the GARCH-MIDAS model which can incorporate lower frequency EPU index variable with higher frequency crude oil return variable effectively. We find that EPU has a positive and significant impact on the crude oil return volatility, but the effect is short-lived and the decay period is about one year. Particularly, our results show that the US EPU index has the best forecasting power for crude oil return volatility over the long-term, whereas China EPU index has the best forecasting performance in the past one year. Our findings have important implications on risk management for investors in crude oil market., Aufsatz in Zeitschrift |
| title | The forecasting power of EPU for crude oil return volatility |
| title_auth | The forecasting power of EPU for crude oil return volatility |
| title_full | The forecasting power of EPU for crude oil return volatility Rufei Ma, Changfeng Zhou, Huan Cai, Chengtao Deng |
| title_fullStr | The forecasting power of EPU for crude oil return volatility Rufei Ma, Changfeng Zhou, Huan Cai, Chengtao Deng |
| title_full_unstemmed | The forecasting power of EPU for crude oil return volatility Rufei Ma, Changfeng Zhou, Huan Cai, Chengtao Deng |
| title_in_hierarchy | The forecasting power of EPU for crude oil return volatility / Rufei Ma, Changfeng Zhou, Huan Cai, Chengtao Deng, |
| title_short | The forecasting power of EPU for crude oil return volatility |
| title_sort | forecasting power of epu for crude oil return volatility |
| topic | Aufsatz in Zeitschrift |
| topic_facet | Aufsatz in Zeitschrift |
| url | https://doi.org/10.1016/j.egyr.2019.07.002, https://www.sciencedirect.com/science/article/pii/S2352484718304190/pdfft?md5=3770998d5abd8f0d37188148ecfd6114&pid=1-s2.0-S2352484718304190-main.pdf, http://hdl.handle.net/10419/243634, https://creativecommons.org/licenses/by/4.0/ |