Impact of geopolitical risks on oil price fluctuations: Based on GARCH-MIDAS model

Jie Wu, Ruizeng Zhao, Jiasen Sun and Xuewei Zhou

Resources Policy, 2023, vol. 85, issue PB

Abstract: Coping with uncertain risks has emerged as a crucial topic of discussion in the global energy market. This study uses single-factor and two-factor GARCH-MIDAS-GPR models to examine the influence of GPR on oil prices (OP) and its internal mechanisms. In addition, this study examines the influence of GPR on fluctuations in OP in typical oil-importing and oil-exporting countries. Additionally, it analyzes the heterogeneity across various time domains. The study yielded the following conclusions. First, GPR positively influences OP fluctuations and oil demand while exerting a significant negative impact on oil supply. Second, the GPR of oil-exporting countries has a noticeable influence on OP fluctuations than that of oil-importing ones. Third, GPR exhibits varying impacts on oil demand and supply across different time domains. Fourth, heterogeneity exists in the impact of geopolitical threats and geopolitical actions on OP fluctuation, oil demand, and supply. Finally, this study proposes specific recommendations to address the issues identified.

Keywords: Geopolitical risk; Oil price; Oil supply; Oil demand; GARCH-MIDAS model (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420723006931
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723006931

DOI: 10.1016/j.resourpol.2023.103982

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().