Do global risk perceptions influence world oil prices?

被引：56
作者：
Sari, Ramazan [1 ]
Soytas, Ugur [1 ]
Hacihasanoglu, Erk [1 ,2 ]
机构：
[1] Middle E Tech Univ, Dept Business Adm, TR-06531 Ankara, Turkey
[2] Cent Bank Republ Turkey, TR-06100 Ankara, Turkey
来源：
ENERGY ECONOMICS | 2011年 / 33卷 / 03期
关键词：
Metal prices; Oil prices; ARDL; Generalized variance decompositions; Generalized impulse responses; Risk perception; COINTEGRATION; VOLATILITY; DEMAND; TESTS;
D O I：
10.1016/j.eneco.2010.12.006
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates the information transmission mechanism between world oil, gold, silver, dollar/euro exchange rate markets, and volatility index (VIX) accommodating for global risk perceptions. We find that there is a unique long run equilibrium relationship, where gold, silver, exchange rate, and risk perceptions appear as long run forcing variables of world oil prices. We uncover that global risk perceptions have a significantly suppressing effect on oil prices in the long run. We also discover that global risk perceptions play a less important role in explaining the forecast error variance of oil prices in the short run, than prices in the alternative investment markets. Our results also suggest that a shock in risk perceptions of global investors have a negative but short lived initial impact on oil prices. (c) 2010 Elsevier B.V. All rights reserved.
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页码：515 / 524
页数：10
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