Abstract
AbstractThis 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.
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
