Volatility spillover effects among geopolitical risks and international and Chinese crude oil markets——A study utilizing time-varying networks

Ziyang Wang and Zhiliang Dong

Resources Policy, 2024, vol. 96, issue C

Abstract: In recent years, geopolitical events have frequently been expected to be significant drivers of changes in crude oil prices. Based on previous studies, we establish a model using the rolling window VAR-DY spillover model and complex network theory to measure the dynamic net spillover across financial markets. We select the geopolitical risk index developed by Caldara and Iacoviell and international crude oil spot prices and Chinese crude oil spot prices as sample data to discuss the results. We find that fluctuations in international crude oil prices not only strongly influence Chinese crude oil prices but also affect geopolitical risk to a certain extent. Second, the key modes facilitating the transmission of net volatility in the dynamic network are relatively stable and have a high probability of maintaining their internal structures. By analyzing the time-varying spillover effect among variables and network topology characteristics, we provide information for predicting changes in the net spillover of volatility among geopolitical risk and crude oil prices and guidance for decision makers.

Keywords: Geopolitical risk; Crude oil price; Rolling window VAR; Complex network; Structural evolution (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:96:y:2024:i:c:s0301420724005920

DOI: 10.1016/j.resourpol.2024.105225

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