消费者情绪,通货膨胀预期和国际能源价格之间的不对称动态联系:来自时间频波和非线性分析的证据
Lianlian Fu1, Dongyu Yuan1, Jiamin Teng1
1School of Computer and Information Engineering, Jiangxi Agricultural University, Nanchang, China.
PloS one
|September 3, 2024
概括
消费者情绪和通货膨胀预期显著影响能源价格,特别是在危机期间. 这些因素显示了对石油的短期影响和对天然气的短期和长期影响.
科学领域:
- 行为经济学是一种行为经济学.
- 能源经济学 能源经济学
- 金融市场分析 金融市场分析
背景情况:
- 消费者情绪和通胀预期是影响经济变量的主要行为驱动因素.
- 国际能源价格,特别是布伦特原油和天然气价格,是关键的全球经济指标.
- 了解情绪,预期和能源市场之间的动态相互作用对于经济稳定至关重要.
研究的目的:
- 研究消费者情绪 (CONS),通货膨胀预期 (INEX) 和国际能源价格之间的时间频率关系.
- 分析CONS和INEX对布伦特原油和亨利哈布天然气价格的不对称影响.
- 检查金融危机和全球卫生紧急情况期间这些关系是如何受到影响的.
主要方法:
- 利用三波波式方法分析变量之间的时间频率联系.
- 使用非线性自回归分布式滞后 (NARDL) 模型来评估不对称效应.
- 分析了跨越2003年1月至2023年3月的月度数据,以确定其稳定性.
主要成果:
- 证实了消费者情绪,通货膨胀预期和能源价格之间的实质性联系,具有明显的短期和中长期影响.
- 在金融危机和COVID-19大流行期间观察到较高的相关性.
- 检测到CONS和INEX对油价的显著短期不对称影响 (负冲击占主导地位),以及对天然气价格的短期和长期不对称影响 (反向冲击占主导地位).
结论:
- 消费者情绪和通货膨胀预期是能源价格动态的重要驱动因素,表现出直接和不对称的影响.
- 这些行为因素对能源市场的影响在经济不确定性加剧期间加剧.
- 调查结果为能源市场相互作用的行为理论做出了贡献,并为决策者和市场参与者提供了见解.
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