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این مقاله علمی پژوهشی (ISI) به زبان انگلیسی از نشریه الزویر مربوط به سال ۲۰۲۲ دارای ۱۶ صفحه انگلیسی با فرمت PDF می باشد در ادامه این صفحه لینک دانلود رایگان مقاله انگلیسی و بخشی از ترجمه فارسی مقاله موجود می باشد.
کد محصول: H759
سال نشر: ۲۰۲۲
نام ناشر (پایگاه داده): الزویر
نام مجله: International Review of Economics and Finance
نوع مقاله: علمی پژوهشی (Research articles)
تعداد صفحه انگلیسی: ۱۶ صفحه PDF
عنوان کامل فارسی:
مقاله انگلیسی ۲۰۲۲ : ریسک ژئوپلیتیکی (جغرافیای سیاسی) متغیر با زمان و قیمت نفت
عنوان کامل انگلیسی:
Time-varying geopolitical risk and oil prices
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Abstract
This paper examines the time-varying effect of oil price on geopolitical risk. Using monthly panel data of 16 countries for the period 1997:M01 – ۲۰۲۰:M02 and employing a varying-coefficient nonparametric panel data model, we find that oil price as well as its volatility have a timevarying effect on geopolitical risk. Our results reveal that oil price is negatively associated with geopolitical risk for much of our sample period, albeit the weakening of the effect in recent periods. In contrast, oil price volatility is positively related with geopolitical risk for most of the sample period under the study. Further, we find a significant degree of heterogeneity in the time-varying country-specific trend functions of geopolitical uncertainty. Our findings have important implications for policymakers and market participants in managing geopolitical risk.
Keywords: Oil price, Oil price volatility, Geopolitical risk, Non-parametric panel data
۱.Introduction
Geopolitical events such as civil unrest have significantly impacted more than one-third of the developing countries in the global (Lacina & Gleditsch, 2005). Geopolitical uncertainty may also have an adverse effect on macroeconomic performance (Carney, 2016). Market participants, policymakers, and entrepreneurs consider geopolitical uncertainty as an important factor influencing investment decisions and stock market dynamics (Caldara & Iacoviello, 2018). Geopolitical events such as terrorism, civil conflicts, governmental changes, elections, and political upheavals have profound impacts on economic performances (see, e.g., Bilgin et al., 2020; Drakos & Kallandranis, 2015; Gaibulloev & Sandler, 2009). Yet, little is known about the key drivers of geopolitical risk.
A large volume of literature has examined the relationship between oil prices and various macroeconomic indicators. Specifically, existing studies have established the effect that oil price shocks have on key economic indicators, including stock returns (Antonakakis et al., 2018; Ivanovski & Hailemariam, 2021; Kang et al., 2017; Klian and Park, 2009), economic growth (Narayan et al., 2014) and monetary policy (Alekhina & Yoshino, 2019; Rahman & Serletis, 2010). Another strand of literature has examined the link between oil prices and economic policy uncertainty (Antonakakis et al., 2014; Diaz et al., 2016; Hailemariam et al., 2019; Kang et al., 2017, 2019, 2021)…
۶.Conclusions
Geopolitical risk has affected millions of people around the world. It has been well established that geopolitical risk has significant implications for macroeconomic performances through its effect on investment decisions. As a result, market participants, policymakers, and entrepreneurs have closely monitored changes in geopolitical risk (Caldara & Iacoviello, 2018). While there is abundant literature on the nexus between oil and civil conflict, little is known about the drivers of geopolitical risk at large which is a comprehensive and innovative measure of geopolitical uncertainty at an internationally comparable level.
This paper investigates the time-varying effect of oil prices on geopolitical risk in several emerging countries. To do so, we employ a time-varying nonparametric panel data model LLDV estimator. This method avoids the risk of misspecification as we do not impose any form of assumptions unlike the parametric models. Rather, the functional form that relates geopolitical risk to oil price is tailed by the data…
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