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Analysis of oil price fluctuation under the influence of crude oil stocks and US dollar index — Based on time series network model

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  • Zhou, Jie
  • Sun, Mei
  • Han, Dun
  • Gao, Cuixia

Abstract

This paper uses the high-frequency oil price after ensemble empirical mode decomposition, combines crude oil stocks and the US dollar index to construct co-movement threshold networks according to different periods divided by multiple structural breakpoint method. The results show that in the period of sharp fluctuations in oil prices, the inverse relationship between the US dollar index and high-frequency oil prices is more obvious, and the co-movement network of the three is closer to the “small world network”. After oil prices returned to stable fluctuations, coupled with the weakening role of the United States in leading the global economy, the reverse relationship between the US dollar index and high-frequency oil prices has gradually weakened, and the reverse relationship between stocks and high-frequency oil prices has become increasingly prominent. The research not only reveals the main co-movement characteristics of the three, but also provides a new idea for future research on oil price fluctuations and its influencing factors.

Suggested Citation

  • Zhou, Jie & Sun, Mei & Han, Dun & Gao, Cuixia, 2021. "Analysis of oil price fluctuation under the influence of crude oil stocks and US dollar index — Based on time series network model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
    • Handle: RePEc:eee:phsmap:v:582:y:2021:i:c:s037843712100491x
    DOI: 10.1016/j.physa.2021.126218
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