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The tail risk of crude oil Price_Based on EPU and geopolitical risk perspective

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  • Jia, Wenbo
  • Lyu, Yiqing
  • Zhu, Zixiang

Abstract

This study investigates the conditional prediction of crude oil price growth rates as a function of geopolitical risk (GPR) and economic policy uncertainty (EPU), characterizing the extreme tail risk characteristics. Utilizing monthly data on crude oil futures price growth rates from 1997 Jan to 2022 Dec, we employ Quantile Regression and Growth at Risk models to capture the heterogeneous and asymmetric effects of GPR and EPU across different quantiles of the oil price distribution. The sample period covers major geopolitical events, economic recessions, and the emergence of new energy sources, providing a comprehensive view of the factors influencing crude oil market dynamics.

Suggested Citation

  • Jia, Wenbo & Lyu, Yiqing & Zhu, Zixiang, 2024. "The tail risk of crude oil Price_Based on EPU and geopolitical risk perspective," Resources Policy, Elsevier, vol. 92(C).
    • Handle: RePEc:eee:jrpoli:v:92:y:2024:i:c:s0301420724003799
    DOI: 10.1016/j.resourpol.2024.105012
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    Keywords

    Crude oil price; Uncertainty; Geopolitical risk; Growth at risk;
    All these keywords.

    JEL classification:

    • F23 - International Economics - - International Factor Movements and International Business - - - Multinational Firms; International Business

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