Gold-oil dependence dynamics and the role of geopolitical risks: Evidence from a Markov-switching time-varying copula model
Sign Up to like & getrecommendations! Published in 2020 at "Energy Economics"
DOI: 10.1016/j.eneco.2020.104748
Abstract: Abstract This paper examines the dependence structure and dynamics between gold and oil prices. Specifically, we study the hedge and safe haven ability of gold for oil prices using daily gold prices and West Texas… read more here.
Keywords: geopolitical risks; gold oil; oil; dependence ... See more keywords
Structure dependence between oil and agricultural commodities returns: The role of geopolitical risks
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DOI: 10.1016/j.energy.2020.119584
Abstract: The link between energy and agricultural markets have been studied extensively in the last two decades. Nonetheless, the literature fails to consider the effects of geopolitical risks (GPRs), geopolitical risks due to acts and GPRs… read more here.
Keywords: geopolitical risks; dependence oil; oil; agricultural commodities ... See more keywords
Forecasting geopolitical risks: Oceans as source of instability
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DOI: 10.1016/j.marpol.2016.10.009
Abstract: Abstract The publication of reports on geo-political risks in the world sponsored by intelligence agencies, university institutes and think tanks are valuable instruments in societies that are being increasingly exposed to the effects of globalisation.… read more here.
Keywords: geopolitical risks; source; forecasting geopolitical; political risks ... See more keywords
Time-Varying Impact of Geopolitical Risks on Oil Prices
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DOI: 10.1080/10242694.2018.1563854
Abstract: ABSTRACT This paper analyses the dynamic impact of geopolitical risks (GPRs) on real oil returns for the period February 1974 to August 2017, using a time-varying parameter structural vector autoregressive (TVP-SVAR) model. Besides the two… read more here.
Keywords: time varying; oil prices; impact geopolitical; oil ... See more keywords