 Oil prices and geopolitical risks: What implications are offered via multi-domain investigations?Boying Li, Chun-Ping Chang, Yin Chu and Bo Sui Energy & Environment, 2020, vol. 31, issue 3, 492-516 Abstract: This paper firstly investigates the frequency- and time-varying co-movement and causal relationship between crude oil prices (proxied by the West Texas Intermediate, Brent, Dubai and Nigerian Forcados spot oil prices) and geopolitical risks based on the wavelet analysis over the period of 1985–2016. Overall, our results demonstrate significant dynamic co-movement and causality in the varying time–frequency domains. We find high degree of co-movement between geopolitical risks and oil prices at high frequencies (in the short run) for the entire sample period; however, such a correlation does not exist at low frequencies (in the long run) for most of the sample period. We also find distinct patterns of causal relationships between geopolitical risks and oil prices across different benchmark markets. Results are robust when we control for global economic outlook. Our findings provide valuable implications for policy makers and oil market investors based on the dynamic relationship between geopolitical risks and oil prices. Keywords: Geopolitical risks; oil prices; wavelet coherence; phase difference; time–frequency domains (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:sae:engenv:v:31:y:2020:i:3:p:492-516 Access Statistics for this article More articles in Energy & Environment |
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