Oil prices and geopolitical risk: Fresh insights based on Granger‐causality in quantiles analysis
研究了18个地缘政治敏感国家油价与地缘政治风险之间的因果关系，发现多数国家存在双向因果关系，而俄罗斯和沙特阿拉伯等石油富国仅地缘政治风险单向影响油价。
Abstract This study examines the causality relationship between oil price movements and geopolitical risks for a group of 18 geopolitically sensitive countries, using monthly data by implementing all quantiles distributions. Contrary to earlier studies, which have applied the Granger‐causality through the conditional mean regression, this research estimates the association between the variables through Granger causality within quantiles. Evidence of a two‐way causality is found linking the changes in geopolitical risk and fluctuations in oil prices in the case of Thailand, Argentina, Israel, China, Mexico India, Korea, Indonesia, South Africa, Turkey, Philippines, Venezuela, Ukraine, and others. In addition, it is confirmed that oil prices Granger cause geopolitical risks for the countries like Brazil, Malaysia, and Colombia. Furthermore, a one‐way causality direction is found from changes in geopolitical risk to shifts in oil prices in Russia and Saudi Arabia, which are observed as super oil rich states. This study findings highlight the importance of government policies and business strategies that aim at containing the effects of geopolitical risk and the resulting oil price movements.