OIL PRICE AND GEOPOLITICS RISK: NEW CAUSALITY INSIGHTS IN FREQUENCY-DOMAIN

• Authors: Mutascu Mihai
• Languages of publication: EN

Abstracts

EN

The paper explores the causality between oil price and geopolitical risk at global level by using the short- and long-run test of causality in the frequency-domain, over the period May, 1987 – April, 2020. For robustness checks, alternative tools in time-domain and additional variables are also considered. The key result claims that the oil price is a crucial signal for geopolitical risk on short- (i.e. up to 3 months) and long-run (i.e. more than 9 months) through its threats component. Interesting, no evidence shows that the oil price can explain the geopolitical acts per se. The results remain robust under the influence of global real economic activity in industrial commodity market. Surprisingly, no causality running from geopolitical risk to oil price is found.

Keywords

EN

OIL PRICE; GEOPOLITICAL RISK; GLOBAL ECONOMIC ACTIVITY; CAUSALITY IN FREQUENCY

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2023
• Volume: 71
• Issue: 8-9
• Pages: 489 – 513

Contributors

author

Mutascu Mihai

• Faculty of Economics and Business Administration, West University of Timisoara, 16 H. Pestalozzi St., 300115 Timisoara, Romania

• https://orcid.org/0000-0003-3837-3243

Identifiers

DOI

https://doi.org/10.31577/ekoncas.2023.08-09.01