The Relations of Oil Price Change with Fear Gauges in Global Political and Economic Environment
Abstract
:1. Introduction
2. Research Methods
2.1. Structural Change Model
2.2. ARDL-ECM Cointegration Model
3. Empirical Result and Analysis
3.1. Data Source
3.2. Analysis of Structural Changes
3.2.1. Number and Date of the Structural Change
3.2.2. ARDL-ECM Cointegration Analysis
3.3. Correlation Analysis
4. Conclusions and Suggestions
Author Contributions
Funding
Acknowledgments
Conflicts of Interest
Appendix A
References
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Variables | Mean | Standard Deviation | Maximum | Minimum | Skewness | Kurtosis | J-B Value |
---|---|---|---|---|---|---|---|
OP | 81.854 | 27.589 | 143.950 | 26.010 | −0.063 | 1.652 | 201.30 *** |
OVX | 37.002 | 13.856 | 100.420 | 14.500 | 1.389 | 5.791 | 1706.70 *** |
VIX | 20.204 | 9.747 | 80.860 | 9.140 | 2.313 | 10.10 | 7903.86 *** |
Specifications | Zt = [1] | q = 0 | p = 1 | M = 8 | h = 10 | |
---|---|---|---|---|---|---|
Number of Structural Change | ||||||
SupFT(i) test | SupFT(l + 1|l) test | BIC | LWZ | |||
0 | 6.64 | 6.64 | ||||
1 | SupFT(1) | 2955.91 ** | 5.89 | 5.91 | ||
2 | SupFT(2) | 3578.87 ** | SupFT(2|1) | 1965.69 ** | 5.34 | 5.36 |
3 | SupFT(3) | 3871.36 ** | SupFT(3|2) | 1141.15 ** | 4.97 | 5.01 |
4 | SupFT(4) | 3614.75 ** | SupFT(4|3) | 568.04 ** | 4.79 | 4.845 |
5 | SupFT(5) | 3027.38 ** | SupFT(5|4) | 98.41 ** | 4.76 | 4.82 |
6 | SupFT(6) | 2614.21 ** | SupFT(6|7) | 59.60 ** | 4.73 | 4.81 |
7 | SupFT(7) | 2254.76 ** | SupFT(7|6) | 0.67 | 4.73 | 4.82 |
8 | SupFT(8) | 1971.24 ** | SupFT(8|7) | 0.00 | 4.74 | 4.84 |
Estimation of Six Change Points | ||||||
96.158 *** | 57.082 *** | 79.279 *** | 111.78 *** | 105.41 *** | 54.77 *** | 47.64 *** |
(30.01) | (26.85) | (82.61) | (128.09) | (107.86) | (36.14) | (48.46) |
Structural Change Points and Dates | ||||||
8 October 2008 | 23 October 2009 | 11 January 2011 | 19 March 2013 | 13 November 2014 | 16 December 2015 | |
10 May 2007~7 October 2008 | 8 October 2008~22 October 2009 | 23 October 2009~10 January 2011 | 11 January 2011~18 March 2013 | 19 March 2013~12 November 2014 | 13 November 2014~15 December 2015 | 16 December 2015~13 November 2017 |
Adjusted R2 | 0.854 | |||||
F-statistic | 2585.633 (0.00) |
Panel A: Entire Sampling Period (10 May 2007~13 November 2017) | |||
OP and OVX | OP and VIX | ||
ARDL-ECM | ARDL-ECM | ||
10 May 2007~13 November 2017 | - | Model 3 | |
Period | Panel B: Periods of Structural Change | ||
1 | 10 May 2007~7 October 2008 | - | - |
2 | 8 October 2008~22 October 2009 | Model 2, 3 | Model 2, 3 |
3 | 23 October 2009~10 January 2011 | - | Model 3 |
4 | 11 January 2011~18 March 2013 | Model 2 | Model 2 |
5 | 19 March 2013~12 November 2014 | - | - |
6 | 13 November 2014~15 December 2015 | - | Model 1 |
7 | 16 December 2015~13 November 2017 | - | Model 2, 3 |
Entire Sampling Period | OP and OVX | OP and VIX | |
---|---|---|---|
10 May 2007~13 November 2017 | −0.477 * | −0.116 | |
Period | Sub-period | ||
1 | 10 May 2007~7 October 2008 | 0.79 ** | 0.16 |
2 | 8 October 2008~22 October 2009 | −0.75 ** | −0.53 * |
3 | 23 October 2009~10 January 2011 | −0.72 ** | −0.63 * |
4 | 11 January 2011~18 March 2013 | −0.18 | −0.171 |
5 | 19 March 2013~12 November 2014 | −0.56 * | −0.29 |
6 | 13 November 2014~15 December 2015 | −0.47 * | −0.51 * |
7 | 16 December 2015~13 November 2017 | −0.91 ** | −0.75 ** |
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Lin, J.-B.; Tsai, W. The Relations of Oil Price Change with Fear Gauges in Global Political and Economic Environment. Energies 2019, 12, 2982. https://doi.org/10.3390/en12152982
Lin J-B, Tsai W. The Relations of Oil Price Change with Fear Gauges in Global Political and Economic Environment. Energies. 2019; 12(15):2982. https://doi.org/10.3390/en12152982
Chicago/Turabian StyleLin, Jeng-Bau, and Wei Tsai. 2019. "The Relations of Oil Price Change with Fear Gauges in Global Political and Economic Environment" Energies 12, no. 15: 2982. https://doi.org/10.3390/en12152982