文献类型：期刊文献

英文题名：Economic policy uncertainty, jump dynamics, and oil price volatility

作者：Liu, Feng[1];Shao, Shuai[2];Li, Xin[3];Pan, Na[1];Qi, Yu[4]

机构：[1]Hubei Univ Econ, Inst Adv Studies Finance & Econ, Wuhan 430205, Peoples R China;[2]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[3]Zhejiang Gongshang Univ, Sch Econ, Hangzhou 310018, Peoples R China;[4]Zhongnan Univ Econ & Law, Sch publ Finance & Taxat, Wuhan 430073, Hubei, Peoples R China

年份：2023

卷号：120

外文期刊名：ENERGY ECONOMICS

收录：;EI(收录号：20231213791506);WOS:【SSCI(收录号:WOS:000961540600001)】；

基金：Parts of this research was conducted when the first author was a visiting scholar at the Chinese University of Hong Kong (Shenzhen) . We would like to thank Prof. Chunrong Ai for his valuable comments that help us to substantially improve the quality of this paper. We also acknowledge the financial support from the National Natural Science Foundation of China (Nos. 72243004, 72173136, 71922015, and 71773075) , the Major Project of National Social Science Foundation of China (No. 21ZDA084) , the National Social Science Fund of China (No. 21FJYB028) , the Humanities and Social Sciences Foundation of Ministry of Education of China (No. 21YJAZH062) , and Shanghai Soft Science Research Program (No. 20692103100) .

语种：英文

外文关键词：Oil price volatility; Economic policy uncertainty; Jump dynamics; Mixed data sampling; China; US

摘要：Although the underlying forces behind oil price volatility have attracted the attention of scholars, a clear consensus is yet to be achieved on how to quantify the contributions of economic policy uncertainty (EPU) and jump dynamics simultaneously. This paper develops a joint EGARCH-MIDAS-ARJI model to address this issue and break the obstacle of mixed data sampling. To avoid the effect of political and business cycles, all EPU indices are detrended using the Hodrick Prescott (HP) filter. The results show that oil price volatility is adversely associated with EPU. As large EPU values imply that policymakers are trying to make some beneficial efforts, this finding challenges the neoclassical opinion that policy intervention is a source of market fluctuation. We also find that the US policy intervention can reduce only less than 6% of oil price volatility, while the effects of China's economic policy are even weaker. More importantly, jump dynamics still account for a remarkable percentage in oil price volatility, especially during lower volatility periods. Possible explanations are that policy makers only respond to large persistent oil price volatility, while the targets and actions of oil-importing countries and oil-exporting countries are also converse in most cases.