地缘政治风险是国际原油价格波动的影响因子吗?:基于GARCH-MIDAS模型的分析  

Is Geopolitical Risk an Influence Factor of International Crude Oil Price Volatility:An Analysis Based on GARCH-MI-DAS Model

作　　者：李政 石晴 卜林 Li Zheng;Shi Qing;Bu Lin

机构地区：[1]天津财经大学金融学院

出　　处：《世界经济研究》2021年第11期18-32,M0002,共16页World Economy Studies

基　　金：国家社会科学基金青年项目“基于经济金融关联网络的中国系统性风险监控预警研究”(项目编号:21CJY046)。

摘　　要：基于最新构建的地缘政治风险总指数、地缘政治威胁和地缘政治行动子指数,文章采用单因子和双因子的混频波动率GARCH-MIDAS模型,从样本内拟合和样本外预测两方面考察了地缘政治风险对国际原油价格波动的影响以及在不同种类原油中的差异特征,并进一步识别了引发油价波动的具体风险因素。研究结果表明:(1)地缘政治风险对国际原油价格波动存在显著的正向影响;(2)地缘政治风险对不同种类原油价格波动的影响程度具有明显的异质性,对布仑特原油的影响更为强烈;(3)地缘政治风险中地缘政治行动而非地缘政治威胁是引发国际原油价格波动的具体风险因素。上述结论有助于原油市场中不同主体采取针对性措施应对地缘政治风险引发的原油价格波动。Based on the latest constructed geopolitical risk(GPR)index and two subindexes,the geopolitical threats(GPT)index and the geopolitical acts(GPA)index,this paper examines the impact of geopolitical risk on international crude oil price volatility as well as the differences in different types of crude oil,and further identifies specific risk factors that trigger oil price volatility.By using the single-factor and double-factor of mixed frequency GARCH-MIDAS model from two aspects of in-sample fitting and outof-sample forecasting,the study found that,firstly,geopolitical risk has a significant positive impact on international crude oil price volatility.Scondly,the impact of geopolitical risk on price volatility of different types of crude oil is obviously heterogeneous,and the impact on Brent crude oil is more intense.Lastly,in geopolitical risk,geopolitical acts rather than geopolitical threats are specific risk factors that trigger international crude oil price volatility.The above conclusions are helpful for different entities in the crude oil market to take targeted measures to cope with the crude oil price volatility caused by geopolitical risk.

关 键 词：地缘政治风险 国际原油价格波动 GARCH-MIDAS模型 

分 类 号：D50[政治法律—政治学] F416.22[政治法律—国际政治] F764.1[经济管理—产业经济]