Ấn phẩm:
Impact of geopolitical risk and economic policy uncertainty on oil price
Tóm tắt
Geopolitical events and economic uncertainty, such as war, civil turmoil, massive terrorist acts, can cause significant fluctuations and swings in oil prices, which contributed to increased volatility of the international oil prices. We use the GARCH and MGARCH model to assess the impact of geopolitical risk and economic policy uncertainty on volatility of oil prices, and the spillover effects between oil prices, with the Geopolitical Risk and Economic Policy Uncertainty as exogenous shock. We exploit an unique time series data set of Geopolitical Risk index recording monthly intervals of oil prices from January 2002 to December 2022. Our findings have two-folds. First, both geopolitical risk and economic policy uncertainty affect oil price’s volatility. Second, there exists stronger short-persistent spillover effect between different returns of different oil prices in monthly scope.
Mô tả
Tác giả
Le Hang My Hanh PhD.
Nguyen Quynh Huong PhD
Le Minh Tam
Pham Le Ngoc Nhu
Nguyen Quynh Huong PhD
Le Minh Tam
Pham Le Ngoc Nhu
Tác giả khác
Người hướng dẫn
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Nhà xuất bản
Học viện Tài chính
Năm xuất bản
2025
ISSN tạp chí
Nhan đề tập
Từ khóa chủ đề
Geopolitics , Geopolitical risk , Economic policy uncertainty , Oil prices
Địa chỉ truy cập
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