Time-varying geopolitical risk and oil prices

Kris Ivanovski and Abebe Hailemariam

International Review of Economics & Finance, 2022, vol. 77, issue C, 206-221

Abstract: This paper examines the time-varying effect of oil price on geopolitical risk. Using monthly panel data of 16 countries for the period 1997:M01 – 2020:M02 and employing a varying-coefficient nonparametric panel data model, we find that oil price as well as its volatility have a time-varying effect on geopolitical risk. Our results reveal that oil price is negatively associated with geopolitical risk for much of our sample period, albeit the weakening of the effect in recent periods. In contrast, oil price volatility is positively related with geopolitical risk for most of the sample period under the study. Further, we find a significant degree of heterogeneity in the time-varying country-specific trend functions of geopolitical uncertainty. Our findings have important implications for policymakers and market participants in managing geopolitical risk.

Keywords: Oil price; Oil price volatility; Geopolitical risk; Non-parametric panel data (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056021002069
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:reveco:v:77:y:2022:i:c:p:206-221

DOI: 10.1016/j.iref.2021.10.001

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().