Precio del Petróleo: Tensiones Geopolíticas y Eventos de Oferta

Eduardo López and Ercio Muñoz Saavedra

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: The impact on oil prices of geopolitical tensions and oil supply-side events is examined. Using a GARCH model on daily oil price data, we find that, when these events actually occur -10% frequency- the geopolitical events explain around 3/4 of daily oil returns forecasted by the model, and oil supply-side events explain 2/3. When there is no occurrence of these events, financial factors (i.e. dollar fluctuations and market risk perception changes) explain around 4/5 of the daily return of oil price forecasted in average. Variance of oil return is highly persistent and these events explain no more than 10% of the daily conditional variance on the day the events actually occur.

Date: 2012-11
New Economics Papers: this item is included in nep-ene
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.bcentral.cl/documents/33528/133326/DTBC_680.pdf (application/pdf)

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:chb:bcchwp:680

Access Statistics for this paper

More papers in Working Papers Central Bank of Chile from Central Bank of Chile Contact information at EDIRC.
Bibliographic data for series maintained by Alvaro Castillo ().