Geopolitical risk, economic policy uncertainty and global oil price volatility : an empirical study based on quantile causality nonparametric test and wavelet coherence
Yijun Wang, Meiyun Wei, Usman Bashir, Chao Zhou
This paper uses bivariate quantile causality nonparametric test and wavelet coherence to analyze the impacts of geopolitical risks and global economic policy uncertainty on global oil market price fluctuations. Quantitative results show that the international geopolitical risk and uncertainty in global economic policy will lead to changes in the international market oil prices. At the same time, not only in the short term, this impact is still significant in the long term. Especially after 2016, the impacts of the double "uncertainty" high-risk events should be monitored closely.
Year of publication: |
2022
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Authors: | Yijun, Wang ; Wei, Meiyun ; Bashir, Usman ; Zhou, Chao |
Published in: |
Energy strategy reviews. - Amsterdam [u.a.] : Elsevier, ZDB-ID 2652346-2. - Vol. 41.2022, Art.-No. 100851, p. 1-9
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Subject: | Geopolitical risk | Economic policy uncertainty | Oil markets | Quantile causality test | Wavelet coherence | Risiko | Risk | Welt | World | Ölpreis | Oil price | Volatilität | Volatility | Kausalanalyse | Causality analysis | Geopolitik | Geopolitics | Wirtschaftspolitik | Economic policy | Ölmarkt | Oil market | Zustandsraummodell | State space model | Nichtparametrisches Verfahren | Nonparametric statistics |
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