Skip to content
Back to outputs

Do tense geopolitical factors drive crude oil prices?

Research output: Contribution to journalArticlepeer-review

Standard

Do tense geopolitical factors drive crude oil prices? / Li, Fen; Huang , Zhehao ; Zhong, Junhao ; Albitar, Khaldoon.

In: Energies, Vol. 13, No. 16, 4277, 18.08.2020, p. 1-19.

Research output: Contribution to journalArticlepeer-review

Harvard

Li, F, Huang , Z, Zhong, J & Albitar, K 2020, 'Do tense geopolitical factors drive crude oil prices?', Energies, vol. 13, no. 16, 4277, pp. 1-19. https://doi.org/10.3390/en13164277

APA

Li, F., Huang , Z., Zhong, J., & Albitar, K. (2020). Do tense geopolitical factors drive crude oil prices? Energies, 13(16), 1-19. [4277]. https://doi.org/10.3390/en13164277

Vancouver

Li F, Huang Z, Zhong J, Albitar K. Do tense geopolitical factors drive crude oil prices? Energies. 2020 Aug 18;13(16):1-19. 4277. https://doi.org/10.3390/en13164277

Author

Li, Fen ; Huang , Zhehao ; Zhong, Junhao ; Albitar, Khaldoon. / Do tense geopolitical factors drive crude oil prices?. In: Energies. 2020 ; Vol. 13, No. 16. pp. 1-19.

Bibtex

@article{2bd5edea967e470bab80644a7fa27f6f,
title = "Do tense geopolitical factors drive crude oil prices?",
abstract = "Geopolitical factors are considered a crucial factor that makes a difference in crude oil prices. Over the last three decades, many political events occurred frequently, causing short-term fluctuations in crude oil prices. This paper aims to examine the dynamic correlation and causal link between geopolitical factors and crude oil prices based on data from June 1987 to February 2020. By using a time-varying copula approach, it is shown that the correlation between geopolitical factors and crude oil prices is strong during periods of political tensions. The GPA (geopolitical acts) index, as the real factor, drives the rise in prices of crude oil. Moreover, the dynamic correlation between geopolitical factors and crude oil prices shows strong volatility over time during periods of political tensions. We also found unidirectional causality running from geopolitical factors to crude oil prices by using the Granger causality test.",
keywords = "GPR index, time-varying copula, Granger causality test, extreme political acts, dynamic correlation",
author = "Fen Li and Zhehao Huang and Junhao Zhong and Khaldoon Albitar",
year = "2020",
month = aug,
day = "18",
doi = "10.3390/en13164277",
language = "English",
volume = "13",
pages = "1--19",
journal = "Energies",
issn = "1996-1073",
publisher = "Multidisciplinary Digital Publishing Institute",
number = "16",

}

RIS

TY - JOUR

T1 - Do tense geopolitical factors drive crude oil prices?

AU - Li, Fen

AU - Huang , Zhehao

AU - Zhong, Junhao

AU - Albitar, Khaldoon

PY - 2020/8/18

Y1 - 2020/8/18

N2 - Geopolitical factors are considered a crucial factor that makes a difference in crude oil prices. Over the last three decades, many political events occurred frequently, causing short-term fluctuations in crude oil prices. This paper aims to examine the dynamic correlation and causal link between geopolitical factors and crude oil prices based on data from June 1987 to February 2020. By using a time-varying copula approach, it is shown that the correlation between geopolitical factors and crude oil prices is strong during periods of political tensions. The GPA (geopolitical acts) index, as the real factor, drives the rise in prices of crude oil. Moreover, the dynamic correlation between geopolitical factors and crude oil prices shows strong volatility over time during periods of political tensions. We also found unidirectional causality running from geopolitical factors to crude oil prices by using the Granger causality test.

AB - Geopolitical factors are considered a crucial factor that makes a difference in crude oil prices. Over the last three decades, many political events occurred frequently, causing short-term fluctuations in crude oil prices. This paper aims to examine the dynamic correlation and causal link between geopolitical factors and crude oil prices based on data from June 1987 to February 2020. By using a time-varying copula approach, it is shown that the correlation between geopolitical factors and crude oil prices is strong during periods of political tensions. The GPA (geopolitical acts) index, as the real factor, drives the rise in prices of crude oil. Moreover, the dynamic correlation between geopolitical factors and crude oil prices shows strong volatility over time during periods of political tensions. We also found unidirectional causality running from geopolitical factors to crude oil prices by using the Granger causality test.

KW - GPR index

KW - time-varying copula

KW - Granger causality test

KW - extreme political acts

KW - dynamic correlation

U2 - 10.3390/en13164277

DO - 10.3390/en13164277

M3 - Article

VL - 13

SP - 1

EP - 19

JO - Energies

JF - Energies

SN - 1996-1073

IS - 16

M1 - 4277

ER -

ID: 22275073