Study On The Influencing Factors Of International Crude Oil Price Fluctuation Based On GARCH-MIDAS Model

With the development of economy and the deepening of globalization,the oil market is becoming much internationalization and financialization.As an important source of energy for economic development,oil price has been paid more and more attention.At the same time,as a developing country,China's dependence on foreign oil is increasing.Under this background,it is of great practical significance to study the influence factors of oil price and the influence factors of oil price fluctuation.This paper describes the oil status,the international crude oil market structure of the industry and the international oil price system.Then the paper discusses the influencing factors to the international oil price volatility from the view of theory,including supply and demand,inventory,the dollar exchange rate,speculative factors and alternative energy.At the same time,this paper also explores the factors of geopolitics,emergencies and weather impact on oil price fluctuation which could not measurable.On this basis,this paper constructs the generalized autoregressive conditional heteroskedasticity model(GARCH-MIDAS),and discusses how various factors affect the fluctuation of the price of raw oil from the level and fluctuation level respectively.Through empirical study,it is found that(1)in the long term,supply and demand factors are the basic factors affecting the oil price fluctuation;inventory and the dollar exchange rate affecting oil price fluctuation at roughly the same level;speculative factors impact on oil price fluctuation significantly,but the effect is far less than the supply,demand,inventory and the dollar exchange rate;in addition,as substitute of oil,only nature gas' s price could have an effect on the oil price fluctuations,but this effect is relatively small.(2)In the analysis of the level and the volatility of oil price fluctuation,we found that in the level aspect,the direction of the various factors on the volatility of oil prices is different;the demand for crude oil,natural gas and speculation plays a boosting role in the crude oil price volatility.And the dollar exchange rate,crude oil supply and oil inventory would stabilize the oil prices fluctuations in the level aspect.But the coal price level does not significantly affect.In the volatility aspect,the price of alternative energy's price will not have a significant impact on the volatility of oil prices,and other factors will promote the volatility of crude oil price fluctuations.(3)Using the classical GARCH-MIDAS model for empirical at the same time,this paper also tries to add other low frequency and high frequency exogenous variables,and constructs multi-factor mixing models,observing the various factors together influence on oil price fluctuation.The results show that the influences to oil fluctuation in multi-factor models are the same as that in single-factor models.And it more proof that the supply and demand factors,the dollar exchange rate and inventory are the important influences of oil price fluctuation.In addition,the paper observes the GARCH-MIDAS model in the estimation of model parameters the effect of multiple factors,and founds that adding exogenous variables can improve the GARCH-MIDAS model description and estimation ability.At the same time,the introduction of high frequency exogenous variables helps to characterize the long-term components to better identify the volatility of crude oil prices.Based on the actual situation of our country,this paper puts forward the following policy recommendations,including: taking the road of saving economy and improving the energy security of our country;strengthening international exchanges and cooperation,expanding overseas oil business market;improving the strategic petroleum reserve to promote energy security;establishing the foreign oil exchange reserves;improving the oil trading market in our country,establishing the oil futures market;actively developing new energy,reduce dependence on oil.