The Impact of Uncertainties on Crude Oil Prices: Based on a Quantile-on-Quantile Method

Ding, Yan; Liu, Yue; Failler, Pierre

doi:10.3390/en15103510

Cited by 25 publications

(6 citation statements)

References 70 publications

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“…This suggests that when geopolitical risk grows, consumers of crude oil who are extremely sensitive to such risk seek renewable energy as an alternative to traditional energy sources. Ding et al (2022) evaluated the crude oil price's sensitivity to economic policy uncertainty, geopolitical risk and climate policy uncertainty. The study shows that oil prices become riskier and uncertain when energy sector anomalies intensify.…”

Section: Literature Reviewmentioning

confidence: 99%

“…As crude oil customers are sensitive to geopolitical risk, they see clean energy as an alternative to traditional energy. Similarly, Ding et al (2022) examine the sensitivity of crude oil prices to economic policy uncertainty, geopolitical risk, and climate policy uncertainty. The study shows that energy sector volatility has increased, making crude oil prices more volatile.…”

Section: Introductionmentioning

confidence: 99%

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Global uncertainties, geopolitical risks and price exuberance: Evidence from international energy market

Mamman,

Iliyasu,

Ahmed

et al. 2024

OPEC Energy Review

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The interaction of global uncertainty and geopolitical risks with energy price fluctuations has remained a critical global issue. This interaction can impact several regions' macroeconomic performance and welfare by making fundamental energy price forecasting more difficult, which may lead to exuberant behaviour. To help producers, consumers, and regulators make informed decisions in the face of volatile and uncertain energy markets, it is critical to highlight how these uncertainties influence price exuberance. In this light, this study examines the impact of global uncertainty and geopolitical risks on international energy price exuberance using monthly data from January 1990 to October 2022. The study employs supremum augmented Dickey–Fuller (SADF) and generalised augmented Dickey–Fuller (GSADF) tests to identify energy price exuberance. Firstly, consistent with exuberant behaviour, the tests identify seven episodes of explosive behaviour in the international energy prices within the sample. Secondly, this study applies the Logit model to estimate the impact of global uncertainty and geopolitical risks on price exuberance. The estimates suggest that the heightening of global uncertainty may deflate the price exuberance. This study also observes that adverse geopolitical risks (threats and acts) in the world and Ukraine amplify the likelihood of price exuberance in the market. However, adverse geopolitical risk (GPR) in Russia negatively impacted the formation of price exuberance. This finding implies that policymakers can use global uncertainty and geopolitical risks as early warning indicators of probable price exuberance in the international energy market. The findings also indicate the need for a buffer system and safe passage for the flow of energy supply in a geopolitical conflict or a major global event. The study further shows the need for a coordinated effort in innovation, research, and development to enhance energy efficiency and minimise reliance on fossil fuels, which these uncertainties may not significantly influence.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Global uncertainties, geopolitical risks and price exuberance: Evidence from international energy market

Mamman,

Iliyasu,

Ahmed

et al. 2024

OPEC Energy Review

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Section: Review Of Literature and Theoretical Frameworkmentioning

confidence: 99%

“…Using partial and multiple wavelet coherence analysis, Choi (2022) found interdependency between GPR and the unpredictability of North-East Asian stock indices. Ding et al (2022) employ the QQR approach based on the wavelet transform to study the heterogeneous effects of EPU, GPR and climate policy uncertainty at different time scales on crude oil prices. Geopolitical concerns and uncertainty in global economic policy have a major long-term impact on variations in the price of oil, according to Wang et al (2022), who employ a bivariate quantile causality nonparametric test and wavelet coherence analysis.…”

Section: Review Of Literaturementioning

confidence: 99%

Revisiting the impact of geopolitical risk on Sukuk, stocks, oil and gold markets during the crises period: fresh evidence from wavelet-based approach

Raza Rabbani,

Hassan,

Jamil

et al. 2023

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Purpose In this study, the authors analyze the impact of geopolitics risk on Sukuk, Islamic and composite stocks, oil and gold markets and portfolio diversification implications during the COVID-19 pandemic and Russia–Ukraine conflict period.Design/methodology/approach The study used a mix of wavelet-based approaches, including continuous wavelet transformation and discrete wavelet transformation. The analysis used data from the Geopolitical Risk index (GP{R), Dow Jones Sukuk index (SUKUK), Dow Jones Islamic index (DJII), Dow Jones composite index (DJCI), one of the top crude oil benchmarks which is based on the Europe (BRENT) (oil fields in the North Sea between the Shetland Island and Norway), and Global Gold Price Index (gold) from May 31, 2012, to June 13, 2022.Findings The results of the study indicate that during the COVID-19 and Russia–Ukraine conflict period geopolitical risk (GPR) was in the leading position, where BRENT confirmed the lagging relationship. On the other hand, during the COVID-19 pandemic period, SUKUK, DJII and DJCI are in the leading position, where GPR confirms the lagging position.Originality/value The present study is unique in three respects. First, the authors revisit the influence of GPR on global asset markets such as Islamic stocks, Islamic bonds, conventional stocks, oil and gold. Second, the authors use the wavelet power spectrum and coherence analysis to determine the level of reliance based on time and frequency features. Third, the authors conduct an empirical study that includes recent endogenous shocks generated by health crises such as the COVID-19 epidemic, as well as shocks caused by the geopolitical danger of a war between Russia and Ukraine.Highlights We analyze the impact of geopolitics risk on Sukuk, Islamic and composite stocks, oil and gold markets and portfolio diversification implications during the COVID-19 pandemic and Russia–Ukraine conflict period.The results of the wavelet-based approach show that Dow Jones composite and Islamic indexes have observed the highest mean return during the study period.GPR and BRENT are estimated to have the highest amount of risk throughout the observation period.Dow Jones Sukuk, Islamic and composite stock show similar trend of volatility during the COVID-19 pandemic period and comparatively gold observes lower variance during the COVID-19 pandemic and Russia–Ukraine conflict.

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“…A review of past literature indicated a number of research that explicitly focused on the impact of geopolitical events on palm oil. For example, scholars [ 7 ] claimed that uncertainty and crude oil prices have always had a complex relationship. Three types of uncertainty, i.e., economic policy uncertainty, geopolitical risk uncertainty and climate policy uncertainty, have exacerbated abnormal fluctuations in the energy market, making crude oil prices volatile more and more frequently, especially from the perspective of the financial attribute of crude oil.…”

Section: Introductionmentioning

confidence: 99%

Impact of the Russia-Ukraine conflict on the quality and quantity of Malaysia’s palm oil production: A time series analysis

Mat Enh,

Mustafa,

Ahmed

et al. 2024

PLoS ONE

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This study investigates the effects of the Russia-Ukraine conflict on the quality and quantity of Malaysia’s palm oil production through a time series analysis. The study uses three primary factors to evaluate palm oil production: the Monthly Oil Extraction Rate (OER), the Monthly Fresh Fruit Bunch (FFB) Yield, and the Monthly Oil Exports. The results indicate that the Russia-Ukraine conflict significantly impacted the quality and quantity of palm oil production in Malaysia. Marginal declines in both the quality and quantity of palm oil produced at the onset of the conflict indicate a slight but significant decline in palm oil production during the next four-year period.

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The Impact of Uncertainties on Crude Oil Prices: Based on a Quantile-on-Quantile Method

Cited by 25 publications

References 70 publications

Global uncertainties, geopolitical risks and price exuberance: Evidence from international energy market

Global uncertainties, geopolitical risks and price exuberance: Evidence from international energy market

Revisiting the impact of geopolitical risk on Sukuk, stocks, oil and gold markets during the crises period: fresh evidence from wavelet-based approach

Impact of the Russia-Ukraine conflict on the quality and quantity of Malaysia’s palm oil production: A time series analysis

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