Multivariable model based on cross-correlogram for analyzing the change of relationship between factors and crude oil price during financial crisis
ZHANG Wen1, WANG Jue2, BU Hui3, WANG Shou-yang2
1. Research Center on Fictitious Economy and Data Science, Chinese Academy of Sciences, Beijing 100190, China; 2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China; 3. School of Economics and Management, Beihang University, Beijing 100191, China
Abstract：A multivariable model based on cross-correlogram is proposed to study the effect of influencing factors on crude oil price. Following the selection of factors and variables, the lead-lag relationship between factors and oil price is firstly analyzed to decide and adjust the lag order of independent variables. Then multivariable regression models are set up to analyze the effect of influencing factors on crude oil price during financial crisis. It proves that not all factors change the oil price in the current period. The relationship between factors and oil price does change after financial crisis to various extent.
张文, 王珏, 部慧, 汪寿阳. 基于时差相关多变量模型的金融危机前后国际原油价格影响因素分析[J]. 系统工程理论与实践, 2012, (6): 1166-1174.
ZHANG Wen, WANG Jue, BU Hui, WANG Shou-yang. Multivariable model based on cross-correlogram for analyzing the change of relationship between factors and crude oil price during financial crisis. Systems Engineering - Theory & Practice, 2012, (6): 1166-1174.
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