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The impact of US monetary policy uncertainties on oil and gas return volatility in the futures and spot markets
Journal of Petroleum Science and Engineering Pub Date : 2020-03-27 , DOI: 10.1016/j.petrol.2020.107232
Seyedeh Fatemeh Razmi , Mehdi Behname , Bahareh Ramezanian Bajgiran , Seyed Mohammad Javad Razmi

This study investigates the effects of US monetary policy uncertainties on long-run oil and gas return volatility in the futures and spot markets using a GARCH-MIDAS (generalized autoregressive conditional heteroskedasticity mixed data sampling) model. The analysis comprises three periods: the pre-and post-crisis subsamples (based on the 2007–2009 financial crisis) and the whole sample (2003m1-2018m11). Two kinds of uncertainties are considered: news-based uncertainty and uncertainties regarding monetary variables, such as the long-term interest rate, the effective exchange rate, and the money supply, in the US. The results indicate persistence in the oil and gas market fluctuations in all periods, regardless of the choice of the model specification. The results are similar in the oil and gas markets in terms of the sign coefficients of the news-based and monetary variables. The sign of the coefficients in the gas markets are consistent with expectations but not for oil markets in the post-crisis period. US long-term uncertainty affects both the gas and oil markets.



中文翻译:

美国货币政策不确定性对期货和现货市场油气收益率波动的影响

这项研究使用GARCH-MIDAS(广义自回归条件异方差混合数据采样)模型调查了美国货币政策不确定性对期货和现货市场上长期油气收益波动的影响。分析包括三个阶段:危机之前和之后的子样本(基于2007-2009年的金融危机)和整个样本(2003m1-2018m11)。考虑了两种不确定性:基于新闻的不确定性和有关货币变量的不确定性,例如美国的长期利率,有效汇率和货币供应量。结果表明,不管选择哪种模型规格,石油和天然气市场在所有时期都将持续波动。就基于新闻和货币变量的符号系数而言,结果在石油和天然气市场上是相似的。天然气市场中系数的符号与预期一致,但在危机后时期与石油市场不同。美国的长期不确定性影响着天然气和石油市场。

更新日期:2020-03-27
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