欧佩克+政策是否有助于预测石油价格:一个基于新闻的新奇预测器
Jingjing Li1, Zhanjiang Hong2, Lean Yu3
1School of Economics, Capital University of Economics and Business, Beijing, 100070, China.
Heliyon
|August 8, 2024
概括
石油输出国组织 (OPEC+) 政策的新新闻指数有效预测原油价格. 这种工具可以提高预测的准确性,尤其是在流行病和地缘政治冲突等波动时期.
科学领域:
- 能源经济学 能源经济学
- 计量经济学 计量经济学
- 数据科学数据科学数据科学
背景情况:
- 石油输出国组织 (OPEC+) 显著影响全球原油市场.
- 由于测量的复杂性,现有的油价预测模型往往忽视了OPEC+政策的影响.
研究的目的:
- 开发一个新的,基于新闻的OPEC+政策指数,以改善石油价格分析和预测.
- 评估该指数对西德克萨斯中期 (WTI) 原油期货价格的预测能力.
主要方法:
- 与OPEC+生产决策相关的新闻头条的爬取和文本挖掘,以创建一个每周的政策指数.
- 检查该指数与WTI原油价格之间的线性和非线性关系.
- 使用八种计量经济学和机器学习模型评估预测性能.
主要成果:
- 每周的OPEC+政策指数准确地反映了OPEC+生产变化和部长级会议.
- 在OPEC+政策指数和原油价格之间存在强烈的线性和非线性关联.
- 纳入OPEC+政策指数的模型明显优于没有该指数的模型,特别是在三个星期的预测和危机期间.
结论:
- 开发的OPEC+政策指数为石油价格预测提供了一个强大的工具.
- 该指数显示了原油和天然气价格的预测能力,突出了其在能源市场中的实用性.
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