地缘政治风险与原油价格的关系:来自非线性和频域因果检验的证据

Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad Pub Date : 2022-12-15 DOI:10.1080/02102412.2022.2154534

Yong Jiang, Yi-Shuai Ren, Xiao-Guang Yang, Chao-Qun Ma, Olaf Weber

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引用次数: 0

摘要

摘要本文采用基于地缘政治风险指数的非线性二元格兰杰因果检验和频域格兰杰因果检验，探讨地缘政治风险对1986年2月至2019年12月油价变动的可能解释作用。结果表明，地缘政治风险对原油价格存在非线性因果关系。此外，地缘政治风险对油价的影响是短期的，不会超过12个月。与纯粹的地缘政治风险相比，实际的地缘政治事件对油价的影响较小，持续时间也较短。

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

ABSTRACT

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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来源期刊

Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad

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