论文标题：The Co-Movements Between Crude Oil Price and Internet Concerns:Causality Analysis in the Frequency Domain

　　发表时间：2020.05接收

　　论文所有作者：Jingjing Li, Ling Tang, Ling Li

　　期刊名及所属分类：Journal of Systems Science and Information(国际其他)

　　英文摘要：Abstract With the boom of web technology, Internet concerns (IC) have become emerging drivers of crude oil price. This paper makes the first attempt to measure the frequency-varying co-movements between crude oil price and IC in five domains (i.e., fundamentals, supply-demand, crisis, war and weather) by using the frequency causality test method. Based on the monthly Brent spot price and search volumes (SVs) captured by Google Trends from January 2004 to September 2019, new and complementary insights regarding the co-movements between crude oil price and IC are obtained. 1) The co-movements between crude oil price and the IC of supply-demand, war, and weather support a neutral hypothesis at all frequencies due to the characteristics (low value or volatility) of these IC data. 2) There is a unidirectional causal relationship between crude oil price and the IC of fundamentals, running from the latter to the former at low frequencies (long-term). 3) There is a feedback relationship between crude oil price and the IC of crisis, with the IC of crisis driving crude oil price at medium and low frequencies (mid- and long-term) and crude oil price causing the IC of crisis to change permanently. The conclusions of this paper provide important implications for both oil market economists and investors.

　　中文摘要：随着网络技术的蓬勃发展，互联网关注已成为影响原油价格的新兴驱动力。本文第一次尝试测量频变co-movements原油价格和IC在五域(即,基本面、供需、危机、战争和天气)通过使用频率因果关系测试方法基于月布伦特原油现货价格和搜索量(sv)被谷歌趋势从2004年1月至2019年9月,新的和互补的见解关于co-movements原油价格和集成电路。1)由于这些IC数据的特征(低值或波动)，原油价格与供需、战争和天气的IC之间的共同运动支持在所有频率上的中性假设。2)原油价格与原油基本面指数之间存在单向的因果关系，在低频段(长期)由基本面指数向基本面指数过渡。3)原油价格与危机积分之间存在反馈关系，危机积分驱动中低频(中长期)原油价格，导致危机积分永久变化。本文的结论为石油市场经济学家和投资者提供了重要的启示。