The Co-Movements Between Crude Oil Price and Internet Concerns:Causality Analysis in the Frequency Domain  

作　　者：Jingjing LI Ling TANG Ling LI 

机构地区：[1]School of Economics and Management,Beihang University,Beijing 100191,China [2]International School of Economics and Management,Capital University of Economics and Business,Beijing 100070,China

出　　处：《Journal of Systems Science and Information》2020年第3期224-239,共16页系统科学与信息学报（英文）

基　　金：Supported by National Fund of Philosophy and Social Science of China(18ZDA106)

摘　　要：With the boom of web technology,Internet concerns(IC)have become emerging drivers of crude oil price.This paper makes the first attempt to measure the frequency-varying co-movements between crude oil price and IC in five domains(i.e.,fundamentals,supply-demand,crisis,war and weather)by using the frequency causality test method.Based on the monthly Brent spot price and search volumes(SVs)captured by Google Trends from January 2004 to September 2019,new and complementary insights regarding the co-movements between crude oil price and IC are obtained.1)The co-movements between crude oil price and the IC of supply-demand,war,and weather support a neutral hypothesis at all frequencies due to the characteristics(low value or volatility)of these IC data.2)There is a unidirectional causal relationship between crude oil price and the IC of fundamentals,running from the latter to the former at low frequencies(long-term).3)There is a feedback relationship between crude oil price and the IC of crisis,with the IC of crisis driving crude oil price at medium and low frequencies(mid-and long-term)and crude oil price causing the IC of crisis to change permanently.The conclusions of this paper provide important implications for both oil market economists and investors.

关 键 词：WEATHER CRUDE driving 

分 类 号：F224[经济管理—国民经济] F416.22