How geopolitical risk drives exchange rate and oil prices? A wavelet-based analysis

Duan, Wenqi; Khurshid, Adnan; Rauf, Abdur; Khan, Khalid; Călin, Adrian Cantemir

doi:10.1080/15567249.2021.1965262

Cited by 35 publications

(9 citation statements)

References 63 publications

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“…The third channel they identified is the impact on energy conversion by geopolitical risks, which would affect the crude oil price to a large extent. Consistent with other commodities, Duan et al (2021) have also suggested through wavelet-based analysis that the effect of geopolitical risk on the oil price solely occurred in the short and medium run, while geopolitical events would not affect the oil price in the long run.…”

Section: Literature Reviewsupporting

confidence: 52%

“…For oil, Kyrazis (2021); Mitsa et al (2022); Gursoy (2021); Su et al (2019); Duan et al (2021) have all discovered the positive relationship between the level of geopolitical risk and the oil price based upon qualitative evidence from different econometric methods. Selmi et al (2020) stated that a strong positive relationship between geopolitical risk and the oil price is anticipated, especially when major oil exporters or importers are at war.…”

Section: Literature Reviewmentioning

confidence: 99%

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Relationship Between Geopolitical Risk In Major Oil Producing Countries and Oil Price

Yuen

2022

IJEEP

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This study has applied Granger causality tests and dynamic ordinary least squares (DOLS) models to examine the relationship between geopolitical risk in major oil-producing countries and the crude oil price before and after the 2008 financial crisis. The granger causality tests show that the geopolitical risk of Saudi Arabia, Russia, the United States and China granger cause changes in crude oil prices. The DOLS models show that the series in the model are cointegrated. The coefficients for the geopolitical index of Canada, Russia and China are significant before the 2008 financial crisis sample period. However, the DOLS model shows that the coefficients for all geopolitical indexes are insignificant after the 2008 financial crisis sample period. The general public and investors generally precept major oil exporters like Russia and Saudi Arabia as the major players in the oil market. However, after the 2008 financial crisis, the discrepancy in the economic needs of the major oil-producing countries has reduced their ability to co-operate crude oil prices. This study also discovered that China plays a significant role in the oil market.

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Section: Literature Reviewsupporting

confidence: 52%

Section: Literature Reviewmentioning

confidence: 99%

Relationship Between Geopolitical Risk In Major Oil Producing Countries and Oil Price

Yuen

2022

IJEEP

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“…As oil is a politically sensitive commodity and with several geopolitical events taking place over the years, such events have caused a substantial impact on the prices of oil with the latter being strongly affected by all of the political tensions (Su et al, 2019). In a study instigated by Duan et al (2021), they implemented a Wavelet analysis to study the causal relationship between geopolitical events and oil prices on the Venezuelan economy. They used monthly data spanning from 2008 to 2019 as a means to highlight the effect of the global financial crisis which initiated in 2008 on oil prices.…”

Section: Geopoliticsmentioning

confidence: 99%

Forecasting Oil Prices: A Comparative Analysis between Neural Network and Regression Models

Hokayem¹,

Gemayel²,

Mezher³

et al. 2022

R. Econ. and Finan.

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After the war between Russia and Ukraine and its implications on various economies, energy security became a trending subject at the international level in 2022. Crude oil is an essential resource that plays a strategic role and its fluctuation has a major impact not only on the firms' profitability but also the stability of several countries. This research examines the possibility of forecasting oil prices where artificial neural network methods in addition to the multiple linear regressions were used in order to attempt to come out with a decent model that can help in forecasting oil prices. A comparison between these two models took place in order to choose the best one. The uniqueness of this research relied on the fact that 26 different variables were used all together, some of them were used for the first time in order to build the forecasting model. The period for constructing and testing both models extended from August 2006 to the beginning of 2019. The neural network model that was built showed to be more promising than the model that used multiple linear regression.

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“…The study further stress that devaluation of the Naira is found to be effective in cushioning the effect of crude oil price decline on the stock market. Duan et al (2021) investigates how geopolitical risk drives exchange rate and oil prices using a wavelet-based analysis in Venezuela. The study found that bidirectional causality between oil prices and exchange rate.…”

Section: Theoretical Literaturementioning

confidence: 99%

Exchange Rate Volatility and Oil Prices in South Africa

Hlongwane¹,

Daw

Shogole³

et al. 2022

IJEEP

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The study examines the oil prices and exchange rate volatilities in South Africa. The study employs monthly time series data spanning for the period from 1960 M1 to 2021M11 using data collected from the SARB. The study employs a TGARCH model to analyse the volatilities between oil prices and exchange rate. The study found that oil prices have a negative statistically significant impact on the exchange rates in South Africa. The study therefore recommends that the monetary authorities must monitor oil prices as they have an ability to cause exchange rate volatilities.

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How geopolitical risk drives exchange rate and oil prices? A wavelet-based analysis

Cited by 35 publications

References 63 publications

Relationship Between Geopolitical Risk In Major Oil Producing Countries and Oil Price

Relationship Between Geopolitical Risk In Major Oil Producing Countries and Oil Price

Forecasting Oil Prices: A Comparative Analysis between Neural Network and Regression Models

Exchange Rate Volatility and Oil Prices in South Africa

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