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Geopolitical Risk and Energy Market

Author

Listed:
  • Hudecova Kristina
  • Rajcaniova Miroslava

    (Institute of Economic Policy and Finance, Slovak University of Agriculture in Nitra, Nitra, Slovakia)

Abstract

The fundamental aim of this paper is to test the symmetric and asymmetric effects of geopolitical risk on the five selected prices of energy commodities, consisting of coal, crude oil, gasoline, heating oil, and natural gas, during the period 2 January 2020–29 July 2022 by application of linear and nonlinear ARDL models. Moreover, we also study the impact of anticipated financial volatility on energy commodities. Our results suggest that, over the long term, there is no linear relationship between geopolitical risk, financial volatility, and energy prices. On the other hand, we find statistically significant asymmetrical effects of geopolitical risk and financial volatility on crude oil, gasoline, and heating oil prices in the long and short run. We also identify that coal and natural gas prices do not respond to changes in geopolitical risk during the analysed period.

Suggested Citation

  • Hudecova Kristina & Rajcaniova Miroslava, 2023. "Geopolitical Risk and Energy Market," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 29(2), pages 171-187, May.
    • Handle: RePEc:bpj:pepspp:v:29:y:2023:i:2:p:171-187:n:6
    DOI: 10.1515/peps-2022-0033
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    More about this item

    Keywords

    energy commodity; geopolitical risk; financial volatility;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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