The Effects of Geopolitical Risks on Oil Price Volatility
This study investigates the short-term and long-term effects of geopolitical risks on the volatility of oil price. Data used in this study are the daily geopolitical risk index, oil price and USD index during the period from January 4th, 2010 to December 31st, 2022. Using the autoregressive distrib...
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| Format: | Article |
| Language: | English |
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EconJournals
2024-01-01
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| Series: | International Journal of Energy Economics and Policy |
| Subjects: | |
| Online Access: | https://econjournals.com/index.php/ijeep/article/view/15229 |
| _version_ | 1797353217668939776 |
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| author | Loc Dong Truong Nhien Tuyet Doan Anh Thi Kim Nguyen |
| author_facet | Loc Dong Truong Nhien Tuyet Doan Anh Thi Kim Nguyen |
| author_sort | Loc Dong Truong |
| collection | DOAJ |
| description |
This study investigates the short-term and long-term effects of geopolitical risks on the volatility of oil price. Data used in this study are the daily geopolitical risk index, oil price and USD index during the period from January 4th, 2010 to December 31st, 2022. Using the autoregressive distributed lag (ARDL) bounds testing approach, the empirical results confirm that the geopolitical risks has positive effects on the volatility of oil price in both the long-term and short-term, meaning that an decrease in the geopolitical risk Index is associated with an increase in the volatility of oil price. In addition, the results derived from the ARDL model indicate that USD index has a positive effect on the volatility of oil price in the short-term, but it has no impact on the volatility of oil price in the long-term. Finally, the results of the error correction model confirm that only 2.81 percent of the disequilibria from the previous trading day is converged and corrected back to the long-run equilibrium in the current trading day.
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| first_indexed | 2024-03-08T13:27:57Z |
| format | Article |
| id | doaj.art-da0339e7815f4f87ad3a9020dbd60e1b |
| institution | Directory Open Access Journal |
| issn | 2146-4553 |
| language | English |
| last_indexed | 2024-03-08T13:27:57Z |
| publishDate | 2024-01-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Energy Economics and Policy |
| spelling | doaj.art-da0339e7815f4f87ad3a9020dbd60e1b2024-01-17T14:42:39ZengEconJournalsInternational Journal of Energy Economics and Policy2146-45532024-01-0114110.32479/ijeep.15229The Effects of Geopolitical Risks on Oil Price VolatilityLoc Dong Truong0Nhien Tuyet Doan1Anh Thi Kim Nguyen2School of Economics, Can Tho University, Can Tho City, VietnamSchool of Economics, Can Tho University, Can Tho City, VietnamFaculty of Economics and Business Administration, An Giang University, Vietnam National University Ho Chi Minh City, Vietnam This study investigates the short-term and long-term effects of geopolitical risks on the volatility of oil price. Data used in this study are the daily geopolitical risk index, oil price and USD index during the period from January 4th, 2010 to December 31st, 2022. Using the autoregressive distributed lag (ARDL) bounds testing approach, the empirical results confirm that the geopolitical risks has positive effects on the volatility of oil price in both the long-term and short-term, meaning that an decrease in the geopolitical risk Index is associated with an increase in the volatility of oil price. In addition, the results derived from the ARDL model indicate that USD index has a positive effect on the volatility of oil price in the short-term, but it has no impact on the volatility of oil price in the long-term. Finally, the results of the error correction model confirm that only 2.81 percent of the disequilibria from the previous trading day is converged and corrected back to the long-run equilibrium in the current trading day. https://econjournals.com/index.php/ijeep/article/view/15229Geopolitical risks, oil price volatility, ARDL |
| spellingShingle | Loc Dong Truong Nhien Tuyet Doan Anh Thi Kim Nguyen The Effects of Geopolitical Risks on Oil Price Volatility International Journal of Energy Economics and Policy Geopolitical risks, oil price volatility, ARDL |
| title | The Effects of Geopolitical Risks on Oil Price Volatility |
| title_full | The Effects of Geopolitical Risks on Oil Price Volatility |
| title_fullStr | The Effects of Geopolitical Risks on Oil Price Volatility |
| title_full_unstemmed | The Effects of Geopolitical Risks on Oil Price Volatility |
| title_short | The Effects of Geopolitical Risks on Oil Price Volatility |
| title_sort | effects of geopolitical risks on oil price volatility |
| topic | Geopolitical risks, oil price volatility, ARDL |
| url | https://econjournals.com/index.php/ijeep/article/view/15229 |
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