亚洲地缘政治风险：WTI-Brent价差市场波动的主要驱动因素

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-02-27 DOI:10.1016/j.frl.2025.107090

Shaojiang Wu , Wei Han

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引用次数: 0

摘要

利用基于量值的格兰杰因果检验，我们探讨了亚洲国家的地缘政治风险如何影响 WTI 和布伦特原油之间的价差。尽管建立了三个基于量级的模型，但我们的研究结果突出了不同的区域效应，主要是在分布的下量级（0.10∼0.25）和上量级（0.60∼0.80）。此外，我们的研究结果表明，亚洲地缘政治风险对价差的影响与全球风险类似，表明其有可能对国际能源市场的动态产生重大影响。因此，亚洲地缘政治风险可能在塑造国际能源期货市场的未来方面发挥关键作用。

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Asian geopolitical risks: A key driver behind WTI-Brent spread market volatility

Using the quantile-based Granger causality test, we explore how geopolitical risks in Asian countries affect the price spread between WTI and Brent crude oil. Our findings highlight varied regional effects, predominantly within the lower (0.10∼0.25) and upper (0.60∼0.80) quantiles of the distribution, despite developing three quantile-based models. Furthermore, our results suggest that Asian geopolitical risks exert similar influences on the price spread as global risks, indicating their potential to significantly impact the dynamics of the international energy market. Thus, Asian geopolitical risks may play a crucial role in shaping the future of the international energy futures market.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance