| The rise of new energy,the continuous conflict between Russia and Ukraine,and the frequent occurrence of extreme climate have brought continuous impact to the international oil trade,making the international oil financial market in an unpredictable system.The global oil and gas market in 2018 is particularly complex and volatile.Trump's withdrawal from the Iran nuclear agreement,Qatar's withdrawal from OPEC,and Ukraine's withdrawal from the commonwealth of independent states,among others,have led to great changes in oil geopolitics,oil and gas import and export countries' relations,and even led to great changes in international oil prices.The frequent occurrence of major events in the international oil financial market makes the future trend of international crude oil price complicated and confusing.Against this backdrop,one can't help but wonder: What is the future trend of international oil price? What factors influence the international oil price? What are the effects of different factors? Based on this,this paper analyzes the monthly spot price data of Brent crude oil from May 1987 to November 2018 by using the adaptive noise complete empirical mode decomposition algorithm,BP multi-breakpoint detection algorithm,event analysis method and econometric model.The purpose of the analysis is to explore the internal structure of the oil price fluctuation path,including investigating the root cause of the structural change in oil price and its relationship with major events.And this paper build a high-precision oil price prediction model to predict the future trend of international crude oil prices.The conclusions of this paper are as follows:(1)The international crude oil price can be expressed as the sum of the influence degrees of economic fundamentals,major events and short-term unbalanced factors.The existing literature only shows the above conclusions subjectively,without providing empirical evidence.This paper use the adaptive empirical mode decomposition algorithm,the mean reconstruction method and criterion of run would the international crude oil prices sequence is decomposed into residual,paragraphs,low frequency and high frequency of three parts,then use BP breakpoint detection algorithm,event analysis method to analyze three isolated data,confirmed the three data represent the economic fundamentals,the rationality of the major events and short-term disequilibrium factors,and the three variance contribution rates are 85.755%,30.426% and 0.909% respectively,the economic fundamentals is the most important factors affecting the international crude oil price.(2)The Asian financial crisis in 1997,the abnormal climate in the United States and Europe in 2004,the G20 meeting in 2009 and the progress of the Iran nuclear negotiations in 2014 were major events leading to structural changes in oil prices.They are all staged events with effects ranging from $9.25 / BBL to $13.88 / BBL to $10.89 / BBL to $46.63 / BBL.Existing literatures only conduct structural tests on oil price data to analyze the impact of emergencies on oil price,but neglect that the formation of oil price is the result of multi-factor game,and the structural change of oil price is not necessarily caused by emergencies,for example,the structural change of economic situation will also lead to the structural change of oil price.In this paper,the structural change test is carried out on the low-frequency term data representing major events to analyze the influence degree and influence mode of events.(3)According to the data characteristics of residual term,low frequency term and high frequency term,a new combined prediction model CEEMDAN-ARIMA was constructed.Moreover,by comparing with ARIMA,TAR and other mainstream models,it was found that the model constructed in this paper had the best prediction accuracy,and this model predicted that Brent oil price in 2019 would reach $75 / BBL on average. |
PDF Full Text Request