 Geopolitical risks and oil market fear: Country-specific spillover effectsJihong Xiao, Jingyu Zhang and Yan Zheng Research in International Business and Finance, 2025, vol. 77, issue PB Abstract: The oil implied volatility index (OVX) is a popular measure of oil market fear. This paper uses OVX and the time-varying parameter vector autoregressive dynamic spillover index (TVP-VAR-DY) model to investigate the spillover effects between geopolitical risks (GPRs) and oil market fear. Particularly, we select GPRs across 23 developed and emerging countries instead of aggregate or categorized GPRs. Our empirical results show that the spillovers between GPRs and OVX are asymmetric, with greater spillovers from GPRs to OVX. Additionally, the spillovers from GPRs to OVX have time-varying features and present differences across countries. Finally, the US GPR consistently holds a central position in the net spillover network of GPRs and OVX across periods, with the GPRs of the UK, France, Russia, and China playing prominent roles. However, the influence of US GPR and cross-country GPR connections have both weakened after 2020. Keywords: Oil market; Market fear; Implied volatility index; Country-specific geopolitical risks; TVP-VAR-DY model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:77:y:2025:i:pb:s0275531925002417 DOI: 10.1016/j.ribaf.2025.102985 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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