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Geopolitical Tensions, OPEC News, and Oil Price: A Granger Causality Analysis

Carlos A. Medel ()

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: To what extent geopolitical tensions in major oil-producer countries and unexpected news related to the Organisation of the Petroleum Exporting Countries (OPEC) affect oil price? What are the effects of non-market externalities in oil price? Are oil price forecasters aware or affected by such externalities when making their predictions? In this article, I analyse the influence of these events on oil price by means of Granger causality, using a unique measure of geopolitical tensions accounting for supply disruptions for the 2001-12 period. I found evidence favouring OPEC countries'-related news as an oil price driver jointly with supply disruptions as well as reducing the consensus when unanticipated news are available. When considering separately OPEC news, the evidence-- rather episodic--suggest some influence on the oil price expectations consensus plus a feedback dynamics between OPEC news and the level of oil price expectations.

New Economics Papers: this item is included in nep-ene, nep-mac and nep-pol
Date: 2017-06
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Working Paper: Geopolitical Tensions, OPEC News, and Oil Price: A Granger Causality Analysis (2015) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:805

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