系统管理学报2025，Vol.34Issue(2)：296-311,16.DOI:10.3969/j.issn2097-4558.2025.02.001
融合多源混频不确定性信息的油价波动驱动因素
Investigating the Drivers of Oil Price Volatility by Integrating Multi-Source,Mixed-Frequency Uncertainty Information
摘要
Abstract
This paper examines the impact of various factors on the international crude oil price volatility,considering macroeconomic variables,supply and demand fundamentals,speculative elements and other traditional oil price drivers,alongside uncertainty from economic policy,political instability,and other sources.It utilizes one-factor and two-factor GARCH-MIDAS models to analyze these impacts.The empirical results show that supply and demand factors have significant and heterogeneous impacts on oil price volatility,with traditional variables remaining the main drivers.However,the impact of uncertainty factors on long-term oil price volatility should not be ignored,with rising uncertainty in the global and economic policies of major economies leading to increased volatility in the crude oil market.Moreover,the mixed-frequency data model outperforms the standard GARCH model,demonstrating superior explanatory power for oil price volatility when both traditional variables and uncertainty indicators are considered.These findings offer valuable insights for investors and regulators in the crude oil market,enabling them to take targeted measures to address volatility of crude oil prices driven by different risk factors.关键词
原油价格波动/经济政策不确定性/地缘政治风险/GARCH-MIDAS模型Key words
crude oil price volatility/economic policy uncertainty/geopolitical risk/GARCH-MIDAS model分类
管理科学引用本文复制引用
刘畅,申怡然,孙晓蕾,张海颖..融合多源混频不确定性信息的油价波动驱动因素[J].系统管理学报,2025,34(2):296-311,16.基金项目
国家社会科学基金重大项目(23&ZD093) （23&ZD093）
国家社会科学基金重点项目(23AZD071) （23AZD071）
国家自然科学基金资助项目(72071197,71974086) （72071197,71974086）
