The Volatility Spillover of Global Oil Price Uncertainty

Q1 Economics, Econometrics and Finance

International Journal of Energy Economics and Policy Pub Date : 2024-05-08 DOI:10.32479/ijeep.15803

Kamil Pícha, Lucie Tichá, Sanat Chuponov, Jasur Ataev, Dilshod Hudayberganov, Bekhzod Kuziboev

引用次数: 0

Abstract

This manuscript, for the first time, analyses the volatility spillover of oil price uncertainty in the world using data from oil price uncertainty recently developed by Abdul and Qureshi (2023), spanning the time 1996-2019 on a monthly frequency. ARCH/GARCH (Autoregressive Conditional Heteroskedasticity and Generalized Autoregressive Conditional Heteroskedasticity) models are employed as an econometric tool. The findings suggest that ARCH model is more consistent than GARCH model in assessing the volatility of oil price uncertainty in the world. The results show that the volatility of oil price uncertainty is high in the world. The transition to renewable energy sources is proposed as a way to resist unexpected oil shocks since the production of renewables does not depend on the fluctuations of oil prices. Consequently, uncertainties in the oil price do not hinder economic activities.

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全球石油价格不确定性的波动溢出效应

本手稿首次利用阿卜杜勒和库雷希（2023 年）最近开发的石油价格不确定性数据，分析了全球石油价格不确定性的波动溢出效应，时间跨度为 1996-2019 年，频率为每月一次。采用 ARCH/GARCH（自回归条件异方差和广义自回归条件异方差）模型作为计量经济学工具。研究结果表明，在评估世界石油价格不确定性的波动性方面，ARCH 模型比 GARCH 模型更加一致。结果表明，全球石油价格不确定性的波动性很高。由于可再生能源的生产并不依赖于石油价格的波动，因此向可再生能源过渡是抵御石油意外冲击的一种方式。因此，石油价格的不确定性不会阻碍经济活动。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Journal of Energy Economics and Policy Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

3.20

自引率

0.00%

发文量

296

审稿时长

14 weeks

期刊介绍： International Journal of Energy Economics and Policy (IJEEP) is the international academic journal, and is a double-blind, peer-reviewed academic journal publishing high quality conceptual and measure development articles in the areas of energy economics, energy policy and related disciplines. The journal has a worldwide audience. The journal''s goal is to stimulate the development of energy economics, energy policy and related disciplines theory worldwide by publishing interesting articles in a highly readable format. The journal is published bimonthly (6 issues per year) and covers a wide variety of topics including (but not limited to): Energy Consumption, Electricity Consumption, Economic Growth - Energy, Energy Policy, Energy Planning, Energy Forecasting, Energy Pricing, Energy Politics, Energy Financing, Energy Efficiency, Energy Modelling, Energy Use, Energy - Environment, Energy Systems, Renewable Energy, Energy Sources, Environmental Economics, Oil & Gas .