Does geopolitical risk matter in crude oil and stock markets? Evidence from disaggregated data

Li, Sufang; Tu, Dalun; Yan, Zhang; Gong, Chenggang; Yuan, Di

doi:10.1016/j.eneco.2022.106191

Cited by 63 publications

(11 citation statements)

References 89 publications

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“…Thus, in this section, we select more control variables to alleviate potential endogeneity issues in the regression model. When referring to the literature, we select international crude oil prices (Li, Tu, et al 2022; Ugarteche et al 2023; Zhang et al 2023) and gold prices (Mokni et al 2020; Li et al 2021; Chiang 2022; Raza et al 2023) as control variables in the benchmark research outlined in section 6.2.1. From the results of Figure 6, the empirical results obtained after including more control variables are basically consistent with the previous empirical results, indicating that potential endogeneity issues are not significant enough to cause considerable interference in this paper's research.…”

Section: Resultsmentioning

confidence: 99%

Economic policy uncertainty and geopolitical risk: evidence from China and Southeast Asia

Wang,

Liu

et al. 2023

Asian-Pac Economic Lit

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This paper investigates the connectedness between China's economic policy uncertainty (EPU) and the geopolitical risk (GPR) of the countries in the Association of Southeast Asian Nations (ASEAN) using quantile time‐varying parameter vector autoregression. The empirical results indicate that China's EPU becomes a net risk transmitter at the median quantile, demonstrating that ASEAN countries' GPR is vulnerable to China's economic shocks. Furthermore, extreme events such as COVID‐19 amplify the connection between EPU and GPR, leading to a higher total connectedness index value. Moreover, the pairwise spillover effect analysis reflects that the risk launcher effect of China's EPU is longer and more prominent for Thailand and the Philippines than for Malaysia and Indonesia, which enriches the hypothesis. The contributions are as follows. This paper selects emerging China as the research object and first discusses its economic influence on neighbouring countries. In addition, fully analysing the heterogeneous spillover effects of EPU on the GPR of different countries makes our suggestions diversified and practical. Therefore, improving recognisable ability and institutional quality will promote ASEAN countries to mitigate their vulnerability to China's EPU shocks. Meanwhile, China's government should quickly respond to external uncertainties, prudently adjust economic policies, and avoid large swings of EPU volatility.

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Section: Resultsmentioning

confidence: 99%

Economic policy uncertainty and geopolitical risk: evidence from China and Southeast Asia

Wang,

Liu

et al. 2023

Asian-Pac Economic Lit

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“…Similarly, Nonejad (2022) found the existence of geopolitical events' volatility effect on stock returns. Li et al (2022) discovered the geopolitical events' negative influence on the prices of natural resources. Wang et al (2022) discussed the commodities' transmissions concerning returns and volatility during the Russia-Ukraine conflict.…”

Section: Review Of Literaturementioning

confidence: 99%

“…The studies by Boubaker et al (2022) and Boungou and Yati e (2022) classified geopolitical risk events into collective violence, terrorist attacks and wars and established their detrimental consequences on the prices of the goods from the perspectives of different countries. Furthermore, geopolitical risk negatively correlates with the pricing of natural resource commodities, according to Li et al (2022), while investigating the effect of GPR on these prices. opined that high returns and volatility spillovers correlate with high geopolitical risks, as found from automated text searches of the electronic archives of the top newspapers in the US, UK and Canada.…”

Section: Review Of Literaturementioning

confidence: 99%

“…Similarly, Nonejad (2022) found the existence of geopolitical events' volatility effect on stock returns. Li et al. (2022) discovered the geopolitical events' negative influence on the prices of natural resources.…”

Section: Review Of Literaturementioning

confidence: 99%

“…(2022) and Boungou and Yatié (2022) classified geopolitical risk events into collective violence, terrorist attacks and wars and established their detrimental consequences on the prices of the goods from the perspectives of different countries. Furthermore, geopolitical risk negatively correlates with the pricing of natural resource commodities, according to Li et al. (2022), while investigating the effect of GPR on these prices.…”

Section: Review Of Literaturementioning

confidence: 99%

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Food inflation and geopolitical risks: analyzing European regions amid the Russia-Ukraine war

Sohag

Islam

Žiković

et al. 2022

BFJ

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PurposeThe study's objective is to measure the response of the food prices to the aggregate and disaggregate geopolitical risk events, Russia's geopolitical risks and global energy prices in the context of two European regions, i.e. Eastern and Western Europe covering the monthly data from January 2001 to March 2022.Design/methodology/approachThe authors apply a novel and sophisticated econometric method, the cross-quantilogram (CQ) approach, to analyse the authors’ monthly data properties. This method detects the causal relationship between the variables under the bi-variate modelling approach. More importantly, the CQ procedure divulges the bearish and bullish states of the causal association between the variables under short, medium and long memories.FindingsThe authors find that aggregate measures of geopolitical risk reduce food prices in the short term in the Eastern Europe but increases food prices in the Western Europe. Besides, the decomposed measures of geopolitical risk “threats” and “acts” have heterogeneous effects on the food prices. More importantly, Russia's geopolitical risk events and global energy prices enhance the food inflation under long memory.Research limitations/implicationsThe authors provide diverse policy implications for Eastern and Western Europe based on the authors’ findings. First, the European policymakers should take concrete and joint policy measures to tackle the detrimental effects of geopolitical risks to bring stability to the food markets. Second, this region should emphasize utilizing their unused agricultural lands to grow more crops to avoid external dependence on food. Third, the European Union and its partners should begin global initiatives to help smallholder farmers because of their contribution to the resilience of disadvantaged, predominantly rural communities. Fourth, geopolitically affected European countries like Ukraine should deal with a crippled supply chain to safeguard their production infrastructure. Fifth, fuel (oil) scarcity in the European region due to the Russia-Ukraine war should be mitigated by searching for alternative sources (countries) for smooth food transportation for trade. Finally, as Europe and its Allies impose new sanctions in response to the Russia-Ukraine war, it can have immediate and long-run disastrous consequences on the European and the global total food systems. In this case, all European blocks mandate cultivating stratagems to safeguard food security and evade a long-run cataclysm with multitudinous geopolitical magnitudes for European countries and the rest of the world.Originality/valueThis is the maiden study that considers the aggregated and disaggregated measures of the geopolitical risk events, Russia's geopolitical risks and global energy prices and delves into these dynamics' effects on food prices. Notably, linking the context of the Russia-Ukraine war is a significant value addition to the existing piece of food literature.

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Can Geopolitical Risks Significantly Affect Green Finance? Evidence from Top Green Bond Issuer Countries

Janda,

Zhang

2024

Springer Proceedings in Business and Economics

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Does geopolitical risk matter in crude oil and stock markets? Evidence from disaggregated data

Cited by 63 publications

References 89 publications

Economic policy uncertainty and geopolitical risk: evidence from China and Southeast Asia

Economic policy uncertainty and geopolitical risk: evidence from China and Southeast Asia

Food inflation and geopolitical risks: analyzing European regions amid the Russia-Ukraine war

Can Geopolitical Risks Significantly Affect Green Finance? Evidence from Top Green Bond Issuer Countries

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