Do global risk perceptions influence world oil prices?

Date

2011-05-01

Author

Sarı, Ramazan
Soytaş, Uğur

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

93
views

0
downloads

This paper investigates the information transmission mechanism between world oil, gold, silver, dollar/euro exchange rate markets, and volatility index (VIX) accommodating for global risk perceptions. We find that there is a unique long run equilibrium relationship, where gold, silver, exchange rate, and risk perceptions appear as long run forcing variables of world oil prices. We uncover that global risk perceptions have a significantly suppressing effect on oil prices in the long run. We also discover that global risk perceptions play a less important role in explaining the forecast error variance of oil prices in the short run, than prices in the alternative investment markets. Our results also suggest that a shock in risk perceptions of global investors have a negative but short lived initial impact on oil prices.

Subject Keywords

Metal prices, Oil prices, ARDL, Generalized variance decompositions, Generalized impulse responses, Risk perception

URI

https://hdl.handle.net/11511/43061

Journal

ENERGY ECONOMICS

DOI

https://doi.org/10.1016/j.eneco.2010.12.006

Collections

Department of Business Administration, Article

Suggestions

OpenMETU
Core

Dynamics of oil price, precious metal prices, and exchange rate Sarı, Ramazan; Soytaş, Uğur (2010-03-01) This study examines the co-movements and information transmission among the spot prices of four precious metals (gold. silver, platinum, and palladium), oil price, and the US dollar/euro exchange rate. We find evidence of a weak long-run equilibrium relationship but strong feedbacks in the short run. The spot precious metal markets respond significantly (but temporarily) to a shock in any of the prices of the other metal prices and the exchange rate. Furthermore, we discover some evidence of market overreac...
Do Global Risk Perceptions Play a Role in Emerging Market Equity Return Volatilities? Hacihasanoglu, Erk; Simga-Mugan, F. N. Can; Soytaş, Uğur (2012-07-01) This paper investigates whether global risk perceptions lead emerging market return volatilities. In so doing, we analyzed the period of interest in three parts to determine the effects of the changes in global risk perceptions on the volatility of emerging markets. We uncovered volatility spillover from risk perceptions to the MXEF returns before the crisis. Our results show that all the effects on emerging market volatilities are severed in 2008, during which MXEF follows a downward trend. However, we obs...
Volatility Spillover from Oil to Food and Agricultural Raw Material Markets Kaltalıoğlu, Müge; Soytaş, Uğur (2011-05-01) The upward movement in oil and food prices in the 2000s has attracted interest in the information transmission mechanism between the two markets. This paper investigates the volatility spillover between oil, food consumption item, and agricultural raw material price indexes for the period January 1980 to April 2008.The results of the Cheung-Ng procedure show that variation in oil prices does not Granger cause the variance in food and agricultural raw material prices. Since there is no volatility spillover f...
The relationship between stock returns crude oil prices interest rates and output evidence from a developing economy Sarı, Ramazan; Soytaş, Uğur (2006-07-01) In this paper we investigate the impact of oil price shocks on the macroeconomy of a developing country, Turkey. In the literature, a number of studies examine the affects of the innovations in oil prices in developed countries. Their results suggest that the oil price changes are important factors in explaining the variation in GDP, inflation, employment, and real stock returns. Only recently, the same effect has been investigated for developing countries. To the extent of our knowledge, no study has exam...
Do Stock Index Futures Affect Economic Growth? Evidence from 32 Countries Şendeniz Yüncü, İlkay; Aydoğan, Kürşat (2018-01-26) This article investigates the relationship between stock index futures markets development and economic growth using time-series methods for 32 developed and developing countries. Evidence of cointegration between stock index futures and real economy in 29 countries suggests the presence of co-movements among the variables, indicating long-run stationarity in those countries. Our findings show that there is Granger-causality from stock index futures markets development to economic growth for middle-income c...

Citation Formats

R. Sarı and U. Soytaş, “Do global risk perceptions influence world oil prices?,” ENERGY ECONOMICS, pp. 515–524, 2011, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/43061.