Geopolitical Risk, Economic Uncertainty, and Market Volatility Index Impact on Energy Price
Year: 2025
Type: conference-paper
Abstract: Using the OLS model with different quantiles of GPR, we aim to examine the impact of GPR, EPU, and VIX on monthly international crude oil prices, including WTI, BRENT, and DUBAI prices, while differentiating the impact on different levels of risks. Afterwards, we use the GARCH and MGARCH models to assess the impact of these metrics on the volatility of oil prices, and the spillover effects between oil prices with these three metrics as exogenous shocks. Our result indicates (i) global oil price is negatively affected by GPRT at a moderate level of risks in longer time intervals; (ii) GPR, EPU, and VIX affect oil price’s volatility, and (iii) there exists a stronger long-persistent spillover effect between BRENT and DUBAI, with these metrics as exogenous shocks, while WTI is not affected.
Authors: Minh Tam Le, Hang My Hanh Le, Huong Quynh Nguyen, Le Ngoc Nhu Pham
Institution: Foreign Trade University
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: gold
OpenAlex ID: W4411466674