Publication Date:
2021-03-17
Description:
This paper investigates whether the macroeconomic uncertainty factors can explain and forecast China’s INE crude oil futures market volatility. We use the GARCH-MIDAS model to investigate the explaining and predicting power of the macroeconomic uncertainties. We considered various geopolitical risk (GPR) indices, economic policy uncertainty (EPU) indices, and infectious disease pandemic (IDEMV) indices in our model. The empirical results suggest that the geopolitical risk, the geopolitical act risk, the global economic policy uncertainty, the economic policy uncertainty from the United Kingdom, and the economic policy uncertainty from Japan comprehensively integrate the information contained in the rest factors, and have superior predictive powers for INE crude oil future volatility. These findings highlight the importance of the impact of macroeconomic uncertainty factors has on the crude oil futures market, and indicate that the macroeconomic uncertainties need to be considered when explaining and forecasting crude oil futures market volatility.
Electronic ISSN:
2296-665X
Topics:
Energy, Environment Protection, Nuclear Power Engineering
