Does US-China Trade War Affect the Brent Crude Oil Price? An ARIMAX Forecasting Approach

Ilma Amira Rahmayanti, Christopher Andreas, Siti Maghfirotul Ulyah

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

5 Citations (Scopus)

Abstract

Trade tension or trade war between the U.S. and China has had a significant impact on many sectors in the world. The business sector is one of them. Trade tension began on March 22nd 2018, after U.S. President imposed a $50 billion import duty on Chinese goods entering the United States. In return, the Chinese central government also imposed import duty on more than 128 U.S. products. The import duty policy led to some decreases in productions and sales in China. As a result, the level of consumption and the demand for crude oil in China have declined. The fall in crude oil demand from the largest oil consumer, coupled with excess oil supply are estimated to produce volatility at the Brent crude oil price. Therefore, this study aims to model the monthly average of Brent crude oil price with the influence of trade war. The method used in this study is the Autoregressive Integrated Moving Average with Exogenous Variable (ARIMAX), where the exogenous variable is a dummy variable from the trade war between the U.S. and China. The results show that trade war has a significant effect on the monthly average of Brent crude oil price and the best model is ARIMAX(1,1,0), with a MAPE value of 13.6733 percent.

Original languageEnglish
Title of host publicationInternational Conference on Mathematics, Computational Sciences and Statistics 2020
EditorsCicik Alfiniyah, Fatmawati, Windarto
PublisherAmerican Institute of Physics Inc.
ISBN (Electronic)9780735440739
DOIs
Publication statusPublished - 26 Feb 2021
EventInternational Conference on Mathematics, Computational Sciences and Statistics 2020, ICoMCoS 2020 - Surabaya, Indonesia
Duration: 29 Sept 2020 → …

Publication series

NameAIP Conference Proceedings
Volume2329
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

ConferenceInternational Conference on Mathematics, Computational Sciences and Statistics 2020, ICoMCoS 2020
Country/TerritoryIndonesia
CitySurabaya
Period29/09/20 → …

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