The tail risk of crude oil Price_Based on EPU and geopolitical risk perspective

Wenbo Jia, Yiqing Lyu and Zixiang Zhu

Resources Policy, 2024, vol. 92, issue C

Abstract: This study investigates the conditional prediction of crude oil price growth rates as a function of geopolitical risk (GPR) and economic policy uncertainty (EPU), characterizing the extreme tail risk characteristics. Utilizing monthly data on crude oil futures price growth rates from 1997 Jan to 2022 Dec, we employ Quantile Regression and Growth at Risk models to capture the heterogeneous and asymmetric effects of GPR and EPU across different quantiles of the oil price distribution. The sample period covers major geopolitical events, economic recessions, and the emergence of new energy sources, providing a comprehensive view of the factors influencing crude oil market dynamics.

Keywords: Crude oil price; Uncertainty; Geopolitical risk; Growth at risk (search for similar items in EconPapers)
JEL-codes: F23 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:92:y:2024:i:c:s0301420724003799

DOI: 10.1016/j.resourpol.2024.105012

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