Empirical Study On The Impact Of China’s Macro Economy On The Long-term Fluctuation Of The International Crude Oil Market

As a strategic resource,the importance of crude oil in national economy is beyond doubt.Entering the 21 st century,the fluctuation of international crude oil price becomes more and more intense,and the drastic fluctuation of oil price will cause the global economic turbulence.High oil price will stimulate the rise of resource commodity prices and promote global inflation.Low oil price will also cause huge losses to investors,oil producers,oil companies and so on.With the rapid development of global economy and finance,the international oil market has become more international and financialized,and the fluctuation of oil price is affected by more and more factors.However,the supply and demand are always the most basic factors affecting the fluctuation of oil price.At the same time,China is an emerging market country,the prosperity and development of the economy is dependent on the growing energy consumption,resulting in increasing external oil dependency.China overtook Japan to become the world’s second largest oil consumer in 2003,and has overtaken America as the world’s largest oil importer after the September 2013.In this context,it is of great practical significance to study the impact of China’s macroeconomic variables on international crude oil price fluctuations.However,there is a lack of research literature.Tradition volatility model associated macroeconomics by using only the low frequency data,lost of high frequency volatility information effectively.It is easy to lose high-frequency information when building a model with data of the same frequency,and it may even cause the problem of model missetting.However,the GARCH-MIDAS model can well solve this problem.It allows low-frequency influencing factors to explain high-frequency variables,and makes full use of the effective information brought by mixing variables,so as to make the research results more accurate.The research content of this paper is mainly divided into the following sections:The first chapter is the introduction,mainly about the research background,empirical data methods and innovation of this paper.The second chapter is the literature review,sorting out the literature according to the influence factors of crude oil market and research methods of volatility.The third chapter introduces the research methods used in this paper in detail.The fourth chapter is an empirical analysis to study the influence of China’s macroeconomic variables on international crude oil price fluctuations.The fifth chapter is the conclusions and suggestions of this article,and based on the empirical results,it provides policy Suggestions.The empirical results in this paper show that the fluctuation of international oil price can be divided into short-term fluctuation and long-term fluctuation.Long-term fluctuation can effectively describe the long-term characteristics of the crude oil market.Long-term fluctuation is relatively flat and presents certain cyclical characteristics.The monthly realized volatility,interest rate,consumer price index,money supply growth rate,industrial growth rate,and import and export growth rate have a decreasing impact on the long-term fluctuation of the crude oil market.The interest rate and consumer price index have positive influence,while the industrial growth rate,import and export growth rate and money supply growth rate have negative influence on the long-term fluctuation of the crude oil market.Compared with the traditional GARCH(1,1)model,the GARCH-MIDAS model has some degree of improvement in prediction accuracy.Although China’s macroeconomic variables can explain the long-term fluctuation to a certain extent,there is still room for improvement in the interpretation ability.The long-term volatility components measured based on the GARCH-MIDAS models mainly represent the trend level of stable volatility in the crude oil market.