Geopolitical risk, economic policy uncertainty and global oil price volatility -an empirical study based on quantile causality nonparametric test and wavelet coherence

被引：36
|
作者：
Wang, Yijun [1 ]
Wei, Meiyun [1 ]
Bashir, Usman [3 ]
Zhou, Chao [2 ]
机构：
[1] Xian Univ Architecture & Technol, Sch Publ Adm, Xi'an 710055, Shanxi, Peoples R China
[2] Zhangye Cent Branch Peoples Bank China, Zhangye 734000, Gansu, Peoples R China
[3] Univ Bahrain, Coll Business Adm, Dept Econ & Finance, Sakhir, Bahrain
来源：
ENERGY STRATEGY REVIEWS | 2022年 / 41卷
基金：
中国国家自然科学基金;
关键词：
Geopolitical risk; Economic policy uncertainty; Oil markets; Quantile causality test; Wavelet coherence; SHOCKS; PARAMETER; TRANSFORM; RETURNS; MARKETS; WAR;
D O I：
10.1016/j.esr.2022.100851
中图分类号：
TE [石油、天然气工业]; TK [能源与动力工程];
学科分类号：
0807 ; 0820 ;
摘要：
This paper uses bivariate quantile causality nonparametric test and wavelet coherence to analyze the impacts of geopolitical risks and global economic policy uncertainty on global oil market price fluctuations. Quantitative results show that the international geopolitical risk and uncertainty in global economic policy will lead to changes in the international market oil prices. At the same time, not only in the short term, this impact is still significant in the long term. Especially after 2016, the impacts of the double "uncertainty" high-risk events should be monitored closely.
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页数：9
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