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The relationship between geopolitical risk and crude oil prices: evidence from nonlinear and frequency domain causality tests
Jiang, Yong1; Ren, Yi-Shuai2,3,4,5,9; Yang, Xiao-Guang6; Ma, Chao-Qun3,4,7; Weber, Olaf8
2022-12-16
Source PublicationSPANISH JOURNAL OF FINANCE AND ACCOUNTING-REVISTA ESPANOLA DE FINANCIACION Y CONTABILIDAD
ISSN0210-2412
Pages23
AbstractThis paper aims to investigate the possible explanatory effect of geopolitical risks on the oil price changes from February 1986 to December 2019 by employing the nonlinear bivariate Granger causality test and frequency domain Granger causality test based on the geopolitical risk index. The results suggest that there exists a nonlinear causality from geopolitical risks to crude oil prices. Moreover, geopolitical risks have a short-term impact on oil prices, less than 12 months. Actual geopolitical events have a smaller and less lasting impact on oil prices than pure geopolitical risks.
KeywordGeopolitical risk oil prices nonlinear analysis Granger causality frequency domain
DOI10.1080/02102412.2022.2154534
Indexed BySCI
Language英语
Funding ProjectNational Natural Science Foundation of China[72101120] ; National Natural Science Foundation of China[72104075] ; National Natural Science Foundation of China[71850012] ; National Natural Science Foundation of China[72192800] ; National Natural Science Foundation of China[72274056] ; National Social Science Fund of China[19AZD014] ; Department of Science and Technology of Hunan province[2018GK1020] ; Natural Science Foundation of Hunan Province[2022JJ40106] ; Youth project of Jiangsu Social Science Foundation[21EYC001] ; Hunan social science achievement review committee[XSP21YBC087] ; third phase of Applied Economics of Nanjing Audit University for advantageous disciplines in Colleges and universities in Jiangsu Province project[[2018]87] ; Hunan University Youth Talent Program
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000899057400001
PublisherROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/60510
Collection中国科学院数学与系统科学研究院
Corresponding AuthorRen, Yi-Shuai
Affiliation1.Nanjing Audit Univ, Sch Finance, Nanjing, Peoples R China
2.Hunan Univ, Sch Publ Adm, Changsha, Peoples R China
3.Hunan Univ, Res Inst Digital Soc & Blockchain, Changsha, Peoples R China
4.Hunan Univ, Ctr Resource & Environm Management, Changsha, Peoples R China
5.Univ Auckland, Energy Ctr, Auckland, New Zealand
6.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
7.Hunan Univ, Business Sch, Changsha, Peoples R China
8.Univ Waterloo, Sch Environm Enterprise & Dev, Waterloo, ON, Canada
9.Hunan Univ, Sch Publ Adm, Changsha 410082, Peoples R China
Recommended Citation
GB/T 7714
Jiang, Yong,Ren, Yi-Shuai,Yang, Xiao-Guang,et al. The relationship between geopolitical risk and crude oil prices: evidence from nonlinear and frequency domain causality tests[J]. SPANISH JOURNAL OF FINANCE AND ACCOUNTING-REVISTA ESPANOLA DE FINANCIACION Y CONTABILIDAD,2022:23.
APA Jiang, Yong,Ren, Yi-Shuai,Yang, Xiao-Guang,Ma, Chao-Qun,&Weber, Olaf.(2022).The relationship between geopolitical risk and crude oil prices: evidence from nonlinear and frequency domain causality tests.SPANISH JOURNAL OF FINANCE AND ACCOUNTING-REVISTA ESPANOLA DE FINANCIACION Y CONTABILIDAD,23.
MLA Jiang, Yong,et al."The relationship between geopolitical risk and crude oil prices: evidence from nonlinear and frequency domain causality tests".SPANISH JOURNAL OF FINANCE AND ACCOUNTING-REVISTA ESPANOLA DE FINANCIACION Y CONTABILIDAD (2022):23.
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