Do global risk perceptions influence world oil prices?


SARI R., SOYTAŞ U., HACIHASANOĞLU E.

ENERGY ECONOMICS, cilt.33, ss.515-524, 2011 (SSCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 33 Konu: 3
  • Basım Tarihi: 2011
  • Doi Numarası: 10.1016/j.eneco.2010.12.006
  • Dergi Adı: ENERGY ECONOMICS
  • Sayfa Sayısı: ss.515-524

Özet

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. (c) 2010 Elsevier B.V. All rights reserved.