Lee Chien-Chiang, Olasehinde-Williams Godwin, Akadiri Seyi Saint
Research Center of the Central China for Economic and Social Development, Nanchang University, Nanchang, China.
School of Economics and Management, Nanchang University, Nanchang, China.
Environ Sci Pollut Res Int. 2021 Jun;28(22):28720-28731. doi: 10.1007/s11356-021-12653-y. Epub 2021 Feb 5.
Geopolitical risks have been widely linked to oil price movements in the past. Our study as an addition to this debate shows that geopolitical threats particularly play a significant role in the volatility experienced in global oil markets with attendant policy suggestions. In this study, we employed the newly developed geopolitical threats index to examine whether threats of war, terrorism, and ethnic and political violence within and between countries are powerful enough to predict volatility in global oil prices. Monthly data on global geopolitical threats index and global prices of crude were drawn upon for causality between the periods 1990:01 and 2020:04. To this effect, two volatility indices were constructed using the deviations of Brent and WTI prices from their Hodrick-Prescott filters. The ability of the geopolitical threats index to predict volatilities was examined through a battery of causality methodologies-Granger causality test in frequency domain, nonparametric test for nonlinear causality, leveraged bootstrap causality test, and Fourier Toda-Yamamoto causality test. Through various causality methodologies, we were able to ensure robustness against various problems associated with the classical linear Granger causality testing approach and ascertain that geopolitical threats are powerful and useful predictors of volatility in global oil prices.
过去，地缘政治风险一直与油价波动密切相关。我们的研究作为这场辩论的补充表明，地缘政治威胁尤其在全球石油市场经历的波动中发挥着重要作用，并附带了政策建议。在本研究中，我们使用新开发的地缘政治威胁指数来检验国家内部和国家之间的战争、恐怖主义以及种族和政治暴力威胁是否强大到足以预测全球油价的波动。我们利用1990年1月至2020年4月期间全球地缘政治威胁指数和全球原油价格的月度数据来研究因果关系。为此，我们使用布伦特原油和西德克萨斯中质原油价格与其霍德里克-普雷斯科特滤波器的偏差构建了两个波动率指数。我们通过一系列因果关系方法——频域格兰杰因果检验、非线性因果关系的非参数检验、杠杆自举因果检验和傅里叶托达-山本因果检验，来检验地缘政治威胁指数预测波动率的能力。通过各种因果关系方法，我们能够确保针对与经典线性格兰杰因果检验方法相关的各种问题具有稳健性，并确定地缘政治威胁是全球油价波动的强大且有用的预测指标。
