TY - GEN
T1 - Does US-China Trade War Affect the Brent Crude Oil Price? An ARIMAX Forecasting Approach
AU - Rahmayanti, Ilma Amira
AU - Andreas, Christopher
AU - Ulyah, Siti Maghfirotul
N1 - Publisher Copyright:
© 2021 American Institute of Physics Inc.. All rights reserved.
PY - 2021/2/26
Y1 - 2021/2/26
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=85102494748&partnerID=8YFLogxK
U2 - 10.1063/5.0042359
DO - 10.1063/5.0042359
M3 - Conference contribution
AN - SCOPUS:85102494748
T3 - AIP Conference Proceedings
BT - International Conference on Mathematics, Computational Sciences and Statistics 2020
A2 - Alfiniyah, Cicik
A2 - Fatmawati, null
A2 - Windarto, null
PB - American Institute of Physics Inc.
T2 - International Conference on Mathematics, Computational Sciences and Statistics 2020, ICoMCoS 2020
Y2 - 29 September 2020
ER -