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

文献类型：期刊论文

作者Jiang, Yong2; Ren, Yi-Shuai3,4,5,6,9; Yang, Xiao-Guang7; Ma, Chao-Qun4,5,8; Weber, Olaf1
刊名SPANISH JOURNAL OF FINANCE AND ACCOUNTING-REVISTA ESPANOLA DE FINANCIACION Y CONTABILIDAD
出版日期2022-12-16
页码23
ISSN号0210-2412
关键词Geopolitical risk oil prices nonlinear analysis Granger causality frequency domain
DOI10.1080/02102412.2022.2154534
英文摘要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.
资助项目National Natural Science Foundation of China[72101120] ; National Natural Science Foundation of China[72104075] ; National Natural Science Foundation of China[71850012] ; National Natural Science Foundation of China[72192800] ; National Natural Science Foundation of China[72274056] ; National Social Science Fund of China[19AZD014] ; Department of Science and Technology of Hunan province[2018GK1020] ; Natural Science Foundation of Hunan Province[2022JJ40106] ; Youth project of Jiangsu Social Science Foundation[21EYC001] ; Hunan social science achievement review committee[XSP21YBC087] ; third phase of Applied Economics of Nanjing Audit University for advantageous disciplines in Colleges and universities in Jiangsu Province project[[2018]87] ; Hunan University Youth Talent Program
WOS研究方向Business & Economics
语种英语
出版者ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
WOS记录号WOS:000899057400001
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/60509]  
专题中国科学院数学与系统科学研究院
通讯作者Ren, Yi-Shuai
作者单位1.Univ Waterloo, Sch Environm Enterprise & Dev, Waterloo, ON, Canada
2.Nanjing Audit Univ, Sch Finance, Nanjing, Peoples R China
3.Hunan Univ, Sch Publ Adm, Changsha, Peoples R China
4.Hunan Univ, Res Inst Digital Soc & Blockchain, Changsha, Peoples R China
5.Hunan Univ, Ctr Resource & Environm Management, Changsha, Peoples R China
6.Univ Auckland, Energy Ctr, Auckland, New Zealand
7.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
8.Hunan Univ, Business Sch, Changsha, Peoples R China
9.Hunan Univ, Sch Publ Adm, Changsha 410082, Peoples R China
推荐引用方式
GB/T 7714		 Jiang, Yong,Ren, Yi-Shuai,Yang, Xiao-Guang,et al. The relationship between geopolitical risk and crude oil prices: evidence from nonlinear and frequency domain causality tests[J]. SPANISH JOURNAL OF FINANCE AND ACCOUNTING-REVISTA ESPANOLA DE FINANCIACION Y CONTABILIDAD,2022:23.
APA Jiang, Yong,Ren, Yi-Shuai,Yang, Xiao-Guang,Ma, Chao-Qun,&Weber, Olaf.(2022).The relationship between geopolitical risk and crude oil prices: evidence from nonlinear and frequency domain causality tests.SPANISH JOURNAL OF FINANCE AND ACCOUNTING-REVISTA ESPANOLA DE FINANCIACION Y CONTABILIDAD,23.
MLA Jiang, Yong,et al."The relationship between geopolitical risk and crude oil prices: evidence from nonlinear and frequency domain causality tests".SPANISH JOURNAL OF FINANCE AND ACCOUNTING-REVISTA ESPANOLA DE FINANCIACION Y CONTABILIDAD (2022):23.

入库方式： OAI收割

来源：数学与系统科学研究院

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