Geopolitical uncertainty and crude oil volatility: Evidence from oil-importing and oil-exporting countries

Zhiyuan Pan, Xiao Huang, Li Liu and Juan Huang

Finance Research Letters, 2023, vol. 52, issue C

Abstract: By disentangling the effects of the oil-importing and oil-exporting countries, this paper sheds new light on the relationship between crude oil volatility and country specific geopolitical risks using the popular generalized autoregressive conditional heteroskedasticity with mixed data sampling model(GARCH-MIDAS, hereafter) of Engle et al. (2013). We show that crude oil future volatility is more strongly related to the geopolitical risks of oil-importing countries than to that of oil-exporting countries, especially China. The models exploiting this finding lead to significantly better out-of-sample forecast performance and thus have more economic benefit.

Keywords: Geopolitical uncertainty; Crude oil volatility; Oil-importing countries; Oil-exporting countries (search for similar items in EconPapers)
JEL-codes: E44 G12 G14 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007413

DOI: 10.1016/j.frl.2022.103565

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