中美紧张关系与化石燃料能源价格波动关系

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2024-12-27 DOI:10.1016/j.frl.2024.106707

Sitong Li, Huangen Chen, Gengxuan Chen

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引用次数: 0

摘要

中美关系的紧张以及近年来实施的贸易制裁和稀土管制等战略影响了两国化石燃料的进出口份额。因此，本文在GARCH-MIDAS模型结构下，评估中美紧张指数（UCT）对化石燃料价格波动的影响。使用滚动窗口方法进行参数估计和生成预测，结果表明，两国之间紧张局势的增加增加了能源价格波动，双不对称GARCH-MIDAS-UCT模型击败了其他竞争模型。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The US-China tension and fossil fuel energy price volatility relationship

Tensions in the US-China relationship and strategies such as trade sanctions and rare earth controls implemented in recent years affect the import and export shares of fossil fuels in both countries. Therefore, this paper evaluates the influence of the US-China Tension Index (UCT) on the price volatility of fossil fuels under the GARCH-MIDAS model structure. Using a rolling window approach for parameter estimation and generating forecasts, the results show that an increase in tension between the two countries raises the energy price volatility and the double asymmetric GARCH-MIDAS-UCT model beats the rest of the competition.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance