The relationship between geopolitical risk and crude oil prices: evidence from nonlinear and frequency domain causality tests

• Yong Jiang ^[1] ; Yi-Shuai Ren ^[2] ; Xiao-Guang Yang ^[3] ; Chao-Qun Ma ^[5] ; Olaf Weber ^[4]
  1. [1] Nanjing Audit University

     Nanjing Audit University

     China

     
  2. [2] Hunan University

     Hunan University

     China

     
  3. [3] Chinese Academy of Sciences

     Chinese Academy of Sciences

     China

     
  4. [4] University of Waterloo

     University of Waterloo

     Canadá

     
  5. [5] Research Institute of Digital Society and Blockchain, Hunan University, Changsha, China

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• Localización: Revista española de financiación y contabilidad, ISSN 0210-2412, Vol. 53, Nº 2, 2024, págs. 123-145
• Idioma: inglés
• DOI: 10.1080/02102412.2022.2154534
• Texto completo no disponible (Saber más ...)
• Resumen

  • This 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

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