Geopolitical uncertainty and crude oil volatility: Evidence from oil-importing and oil-exporting countries

被引：9
|
作者：
Pan, Zhiyuan [1 ,2 ]
Huang, Xiao [3 ]
Liu, Li [4 ]
Huang, Juan [5 ]
机构：
[1] Southwestern Univ Finance & Econ, Inst Chinese Financial Studies, Liutai Ave 555, Chengdu 611130, Peoples R China
[2] Collaborat Innovat Ctr Financial Secur, Liutai Ave 555, Chengdu 611130, Peoples R China
[3] Southwestern Univ Finance & Econ, Sch Finance, Liutai Ave 555, Chengdu 611130, Peoples R China
[4] Nanjing Audit Univ, Sch Finance, West Yushan Rd 86, Nanjing 211815, Peoples R China
[5] Southwestern Univ Finance & Econ, Sch Accounting, Liutai Ave 555, Chengdu 611130, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2023年 / 52卷
基金：
美国国家科学基金会;
关键词：
Geopolitical uncertainty; Crude oil volatility; Oil-importing countries; Oil-exporting countries; DEMAND; PRICE;
D O I：
10.1016/j.frl.2022.103565
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
By disentangling the effects of the oil-importing and oil-exporting countries, this paper sheds new light on the relationship between crude oil volatility and country specific geopolitical risks using the popular generalized autoregressive conditional heteroskedasticity with mixed data sampling model(GARCH-MIDAS, hereafter) of Engle et al. (2013). We show that crude oil future volatility is more strongly related to the geopolitical risks of oil-importing countries than to that of oil-exporting countries, especially China. The models exploiting this finding lead to significantly better out-of-sample forecast performance and thus have more economic benefit.
引用
收藏
页数：8
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