不确定性、地缘政治与原油价格尾部风险  

Uncertainty,Geopolitical and Tail Risk in Crude Oil Price

作　　者：邓翔[1] 贾文博 杨瑞清 Deng Xiang;Jia Wenbo;Yang Ruiqing

机构地区：[1]四川大学经济学院 [2]波士顿大学数学与统计学系

出　　处：《财经科学》2024年第2期46-60,共15页Finance & Economics

基　　金：国家自然科学基金政策研究重点支持项目“‘一带一路’与中国西部发展”(71673194)资助。

摘　　要：本文基于1997年1月—2022年12月Brent原油期货价格增速月度数据,采用在险增长模型,研究了原油价格增速作为国际地缘政治、经济政策不确定性函数的条件预测分布,刻画了其极端头部和尾部风险特征。样本涵盖了重大地缘政治动荡期、经济衰退期以及新型能源对原油市场的冲击时期,石油市场表现出非常异质的行为。研究结果表明:(1)原油价格增长的预测密度函数具有显著的非对称性,分布整体左偏,2009—2014年后金融危机以及2021年后疫情时期存在阶段性右偏,但风险在统计上显著与极端左尾相关,未来原油价格增速风险主要集中于下行风险。(2)经济政策不确定性对原油价格影响集中在3~6个月的中短期内,长期内影响微弱。(3)地缘政治风险对原油价格冲击持续时间较长,短、中、长期内均会放大原油价格增长的上行风险。(4)经济政策不确定性和地缘政治风险可以刻画原油价格增速的尾部风险特征,可为政策制定者和市场参与者提供风险识别指标。Based on monthly data on the growth rate of Brent crude oil futures prices from January 1997 to December 2022,this paper uses an in risk growth model to study the conditional prediction distribution of crude oil price growth rate as a function of international geopolitical and economic policy uncertainty,and characterizes its extreme head and tail risk characteristics.The sample period covers periods of major geopolitical turmoil,economic recession,and the impact of new energy on the crude oil market.The oil market exhibits very heterogeneous behavior,and the research results show that:1.The predicted density function of crude oil price growth has significant asymmetry,with the distribution overall leaning to the left.The financial crisis after 2009-2014 and the epidemic period after 2021 have a phased right deviation,but the risk is statistically significantly correlated with the extreme left tail,The risk of future crude oil price growth mainly focuses on downside risks.2.The impact of economic policy uncertainty on crude oil prices is concentrated in the short to medium term of 3-6 months,and the long-term impact is weak.3.Geopolitical risks have a longer duration of impact on crude oil prices,and will amplify the upward risk of crude oil price growth in the short,medium,and long term.4.Economic policy uncertainty and geopolitical risks can characterize the tail risk characteristics of crude oil price growth,providing risk identification indicators for policy makers and market participants.As the world's largest crude oil importer,monitoring and controlling crude oil price risks is crucial for China 's sustained economic development.This article provides a framework for a deep understanding of crude oil price risks and reveals the key factors affecting crude oil prices.At the same time,relevant suggestions have been provided to promote the development and innovation of China 's energy market.

关 键 词：原油价格 不确定性 地缘政治风险 尾部风险 

分 类 号：F831.6[经济管理—金融学]