地缘政治紧张局势、欧佩克新闻和油价:格兰杰因果分析

Q3 Economics, Econometrics and Finance

Revista de Analisis Economico Pub Date : 2020-10-01 DOI:10.4067/S0718-88702020000200057

Carlos A. Medel

{"title":"地缘政治紧张局势、欧佩克新闻和油价:格兰杰因果分析","authors":"Carlos A. Medel","doi":"10.4067/S0718-88702020000200057","DOIUrl":null,"url":null,"abstract":"To what extent geopolitical tensions in major oil-producer countries and unexpected news related to the Organisation of the Petroleum Exporting Countries (OPEC) affect oil price? What are the effects of non-market externalities in oil price? Are oil price forecasters aware or affected by such externalities when making their predictions? In this article, I analyse the influence of these events on oil price by means of Granger causality, using a unique measure of geopolitical events accounting for supply disruptions for the 2001-12 period. I found evidence favouring OPEC countries'-related news as an oil price driver jointly with supply disruptions influencing short-term forecasts, and reducing the consensus when unanticipated news are available. When considering separately OPEC news or other supply disruptions, the evidence is rather episodic.","PeriodicalId":38640,"journal":{"name":"Revista de Analisis Economico","volume":"1 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2020-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Geopolitical tensions, opec news, and the oil price: A Granger causality analysis\",\"authors\":\"Carlos A. Medel\",\"doi\":\"10.4067/S0718-88702020000200057\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"To what extent geopolitical tensions in major oil-producer countries and unexpected news related to the Organisation of the Petroleum Exporting Countries (OPEC) affect oil price? What are the effects of non-market externalities in oil price? Are oil price forecasters aware or affected by such externalities when making their predictions? In this article, I analyse the influence of these events on oil price by means of Granger causality, using a unique measure of geopolitical events accounting for supply disruptions for the 2001-12 period. I found evidence favouring OPEC countries'-related news as an oil price driver jointly with supply disruptions influencing short-term forecasts, and reducing the consensus when unanticipated news are available. When considering separately OPEC news or other supply disruptions, the evidence is rather episodic.\",\"PeriodicalId\":38640,\"journal\":{\"name\":\"Revista de Analisis Economico\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-10-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Revista de Analisis Economico\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.4067/S0718-88702020000200057\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"Economics, Econometrics and Finance\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Revista de Analisis Economico","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.4067/S0718-88702020000200057","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}

引用次数: 2

摘要

主要石油生产国的地缘政治紧张局势和与石油输出国组织(OPEC)有关的意外消息在多大程度上影响了油价?非市场外部性对油价的影响是什么?油价预测者在做出预测时是否意识到或受到这些外部性的影响?在本文中，我通过格兰杰因果关系分析了这些事件对油价的影响，使用了一种独特的地缘政治事件衡量2001-12年期间的供应中断。我发现有证据表明，欧佩克国家的相关新闻与供应中断一起影响短期预测，并在出现意外新闻时降低共识。当单独考虑欧佩克的消息或其他供应中断时，证据相当偶然。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Geopolitical tensions, opec news, and the oil price: A Granger causality analysis

To what extent geopolitical tensions in major oil-producer countries and unexpected news related to the Organisation of the Petroleum Exporting Countries (OPEC) affect oil price? What are the effects of non-market externalities in oil price? Are oil price forecasters aware or affected by such externalities when making their predictions? In this article, I analyse the influence of these events on oil price by means of Granger causality, using a unique measure of geopolitical events accounting for supply disruptions for the 2001-12 period. I found evidence favouring OPEC countries'-related news as an oil price driver jointly with supply disruptions influencing short-term forecasts, and reducing the consensus when unanticipated news are available. When considering separately OPEC news or other supply disruptions, the evidence is rather episodic.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Revista de Analisis Economico Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

1.00

自引率

0.00%

发文量