Crude oil price analysis and forecasting: A perspective of “new triangle”

In this paper, the new structural characteristics and core influencing factors of the crude oil prices are summarized based on previous representative research results. Firstly, a newly dynamic Bayesian structural time series model (DBSTS) is developed to investigate the oil prices. In particular, G...

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Published inEnergy economics Vol. 87; p. 104721
Main Authors Lu, Quanying, Li, Yuze, Chai, Jian, Wang, Shouyang
Format Journal Article
LanguageEnglish
Published Kidlington Elsevier B.V 01.03.2020
Elsevier Science Ltd
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Abstract In this paper, the new structural characteristics and core influencing factors of the crude oil prices are summarized based on previous representative research results. Firstly, a newly dynamic Bayesian structural time series model (DBSTS) is developed to investigate the oil prices. In particular, Google trend is introduced as an indicator to reflect the impact of search data on the oil price. Secondly, the spike and slab method is employed to select core influence factors. Finally, the Bayesian model average (BMA) is utilized to predict the oil price. Experimental results confirm that the supply and demand of global crude oil and the financial market are still the main factors affecting the oil price. Furthermore, Google trend can reflect the changes in the crude oil price to a certain extent. Moreover, the impact of shale oil production on the oil price is gradually increasing, yet remains relatively small. In addition, the DBSTS model can identify turning points in historical data (such as the 2008 financial crisis). Finally, the findings suggest the DBSTS model has good predictive capabilities in short-term prediction, making it suitable for analyzing the crude oil prices. •A novel dynamic Bayesian structural time series model is developed.•415 explanatory variables are included, especially, Google trend search data.•Spike-slab regression is used to extract core factors and analyze new structural characteristics.•The impact of shale oil production on oil price is small relatively.•Turning points of historical oil price are identified and analyzed.
AbstractList In this paper, the new structural characteristics and core influencing factors of the crude oil prices are summarized based on previous representative research results. Firstly, a newly dynamic Bayesian structural time series model (DBSTS) is developed to investigate the oil prices. In particular, Google trend is introduced as an indicator to reflect the impact of search data on the oil price. Secondly, the spike and slab method is employed to select core influence factors. Finally, the Bayesian model average (BMA) is utilized to predict the oil price. Experimental results confirm that the supply and demand of global crude oil and the financial market are still the main factors affecting the oil price. Furthermore, Google trend can reflect the changes in the crude oil price to a certain extent. Moreover, the impact of shale oil production on the oil price is gradually increasing, yet remains relatively small. In addition, the DBSTS model can identify turning points in historical data (such as the 2008 financial crisis). Finally, the findings suggest the DBSTS model has good predictive capabilities in short-term prediction, making it suitable for analyzing the crude oil prices. •A novel dynamic Bayesian structural time series model is developed.•415 explanatory variables are included, especially, Google trend search data.•Spike-slab regression is used to extract core factors and analyze new structural characteristics.•The impact of shale oil production on oil price is small relatively.•Turning points of historical oil price are identified and analyzed.
In this paper, the new structural characteristics and core influencing factors of the crude oil prices are summarized based on previous representative research results. Firstly, a newly dynamic Bayesian structural time series model (DBSTS) is developed to investigate the oil prices. In particular, Google trend is introduced as an indicator to reflect the impact of search data on the oil price. Secondly, the spike and slab method is employed to select core influence factors. Finally, the Bayesian model average (BMA) is utilized to predict the oil price. Experimental results confirm that the supply and demand of global crude oil and the financial market are still the main factors affecting the oil price. Furthermore, Google trend can reflect the changes in the crude oil price to a certain extent. Moreover, the impact of shale oil production on the oil price is gradually increasing, yet remains relatively small. In addition, the DBSTS model can identify turning points in historical data (such as the 2008 financial crisis). Finally, the findings suggest the DBSTS model has good predictive capabilities in short-term prediction, making it suitable for analyzing the crude oil prices.
ArticleNumber 104721
Author Lu, Quanying
Li, Yuze
Wang, Shouyang
Chai, Jian
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  givenname: Yuze
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  givenname: Shouyang
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  organization: School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190, China
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Crude oil
Dynamic Bayesian structural time series model
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Spike and slab prior
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Snippet In this paper, the new structural characteristics and core influencing factors of the crude oil prices are summarized based on previous representative research...
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SubjectTerms Bayesian analysis
Bayesian model average
Crude oil
Crude oil prices
Data
Data search
Dynamic Bayesian structural time series model
Economic crisis
Energy economics
Financial market
Google trend
Kalman filtering
Oil
Petroleum
Predictions
Shale
Shale oil
Spike and slab prior
Supply & demand
Time series
Turning points
Title Crude oil price analysis and forecasting: A perspective of “new triangle”
URI https://dx.doi.org/10.1016/j.eneco.2020.104721
https://www.proquest.com/docview/2444681701
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