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Precio del Petróleo: Tensiones Geopolíticas y Eventos de Oferta

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  • Eduardo López
  • Ercio Muñoz

Abstract

The impact on oil prices of geopolitical tensions and oil supply-side events is examined. Using a GARCH model on daily oil price data, we find that, when these events actually occur -10% frequency- the geopolitical events explain around 3/4 of daily oil returns forecasted by the model, and oil supply-side events explain 2/3. When there is no occurrence of these events, financial factors (i.e. dollar fluctuations and market risk perception changes) explain around 4/5 of the daily return of oil price forecasted in average. Variance of oil return is highly persistent and these events explain no more than 10% of the daily conditional variance on the day the events actually occur.

Suggested Citation

  • Eduardo López & Ercio Muñoz, 2012. "Precio del Petróleo: Tensiones Geopolíticas y Eventos de Oferta," Working Papers Central Bank of Chile 680, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:680
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    File URL: https://www.bcentral.cl/documents/33528/133326/DTBC_680.pdf
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    Cited by:

    1. Medel, Carlos, 2015. "Producers, Politicians, Warriors, and Forecasters: Who's Who in the Oil Market?," MPRA Paper 65298, University Library of Munich, Germany.
    2. Antonio Fernandois & Carlos A. Medel, 2020. "Geopolitical tensions, OPEC news, and the oil price: A granger causality analysis," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 35(2), pages 57-90, October.

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