基于GARCH-MIDAS模型的经济政策不确定性和投资者情绪对原油价格波动的影响研究

Research on the Impact of Economic Policy Uncertainty and Investor Sentiment on Crude Oil Price Volatility Based on the GARCH-MIDAS Model

摘要: 原油作为全球最重要的能源之一，在经济和金融市场中具有举足轻重的地位。本文利用GARCH-MIDAS模型，深入探讨了2014年1月至2024年9月期间，我国经济政策不确定性和投资者情绪对原油价格波动的影响。研究表明：原油价格波动表现出显著的自相关性，且其长期趋势呈现负向特征。从短期来看，经济政策不确定性和投资者情绪显著影响原油价格波动，且正向冲击会加剧价格波动；从长期来看，经济政策不确定性对原油价格波动具有显著抑制作用，而投资者情绪不会显著影响原油价格波动。在经济政策高不确定性的情况下，投资者情绪会更显著地影响原油价格波动。本文不仅为讨论原油价格波动提供了新视角，也为实现风险控制或金融稳定提供了参考。

Abstract: Crude oil, as one of the world’s most crucial energy sources, holds a pivotal position in both economic and financial markets. This paper employs the GARCH-MIDAS model to conduct an in-depth analysis of the impact of economic policy uncertainty and investor sentiment on crude oil price volatility in China from January 2014 to September 2024. The study reveals that crude oil price volatility exhibits significant autocorrelation, with a long-term trend characterized by a negative trajectory. In the short term, crude oil prices are significantly influenced by economic policy uncertainty and investor sentiment, with positive shocks exacerbating price volatility. Over the long term, economic policy uncertainty exerts a negative influence on prices of crude oil, whereas the influence of investor sentiment does not appear to be statistically significant. Additionally, during periods of high economic policy uncertainty, the attention of domestic investors increases and is reflected in the volatility of crude oil prices. This paper not only offers a new perspective on the discussion of crude oil price volatility but also provides insights for achieving risk control or financial stability.