新冠病毒疫情背景下经济政策不确定性与原油期货价格的冲击波动影响研究

Research on the impact of economic policy uncertainty on crude oil futures price volatility in the context of COVID-19

全球经济政治格局变幻莫测,经济政策不确定性指数(EPU)不断骤升,导致国际原油期货价格频繁剧烈波动。本文基于贝叶斯向量自回归模型(BVAR)考察上海国际能源交易中心原油期货(INE)上市初期、新冠病毒疫情暴发前及暴发后三个时点下经济政策不确定性指数与上海原油期货、布伦特原油期货、WTI原油期货价格的冲击波动影响及其演化过程。研究表明:不同时点经济政策不确定性指数与原油期货价格的冲击响应具有显著时变性、差异性及非对称性,新冠病毒疫情暴发后上海原油期货价格走出独立行情。本文所得结论对于平抑经济政策不确定性指数冲击,保障中国经济发展和原油供应安全等具有一定的启示。

In the post-crisis era,soaring Economic Policy Uncertainty(EPU) has led to frequent and sharp fluctuations in international crude oil futures prices.Based on Bayesian Vector Autoregressive Model(BVAR),this paper investigates the impact of crude oil futures prices and EPU shock fluctuation.Specifically,for such three subsample periods as the initial stage of INE listing,before and after COVID-19 and studies the dynamic evolution of crude oil futures prices and EPU shock fluctuation.The study finds that the response of crude oil futures prices and EPU shock fluctuation is significantly time-varying,different,and asymmetric.Compared with Brent and WTI prices,INE prices had its own independent performance.The conclusion of this paper has certain enlightenment for calming the impact of uncertainty index of economic policy,ensuring China’s economic development and the security of crude oil supply.