Journal article
Oil prices and geopolitical risk: Fresh insights based on Granger-causality in quantiles analysis
International journal of finance and economics
29 Mar 2023
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This study examines the causality relationship between oil price movements and geopolitical risks for a group of 18 geopolitically sensitive countries, using monthly data by implementing all quantiles distributions. Contrary to earlier studies, which have applied the Granger-causality through the conditional mean regression, this research estimates the association between the variables through Granger causality within quantiles. Evidence of a two-way causality is found linking the changes in geopolitical risk and fluctuations in oil prices in the case of Thailand, Argentina, Israel, China, Mexico India, Korea, Indonesia, South Africa, Turkey, Philippines, Venezuela, Ukraine, and others. In addition, it is confirmed that oil prices Granger cause geopolitical risks for the countries like Brazil, Malaysia, and Colombia. Furthermore, a one-way causality direction is found from changes in geopolitical risk to shifts in oil prices in Russia and Saudi Arabia, which are observed as super oil rich states. This study findings highlight the importance of government policies and business strategies that aim at containing the effects of geopolitical risk and the resulting oil price movements.
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Details
- Title
- Oil prices and geopolitical risk: Fresh insights based on Granger-causality in quantiles analysis
- Creators
- Muhammad Shahbaz - Beijing Institute of TechnologyArshian Sharif - Sunway UniversityAlaa M. M. Soliman - Leeds Beckett UniversityZhilun Jiao - Nankai UniversityShawkat Hammoudeh - Drexel University
- Publication Details
- International journal of finance and economics
- Publisher
- Wiley
- Number of pages
- 17
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000960620800001
- Scopus ID
- 2-s2.0-85152047296
- Other Identifier
- 991020431209004721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance