Do global risk perceptions influence world oil prices?

Sarı, Ramazan
Soytaş, Uğur
Hacıhasanoğlu, Erk
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.

Citation Formats
R. Sarı, U. Soytaş, and E. Hacıhasanoğlu, “Do global risk perceptions influence world oil prices?,” ENERGY ECONOMICS, vol. 33, no. 3, pp. 515–524, 2011, Accessed: 00, 2020. [Online]. Available: