کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5065398 | 1372314 | 2011 | 10 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Do global risk perceptions influence world oil prices? Do global risk perceptions influence world oil prices?](/preview/png/5065398.png)
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.
Journal: Energy Economics - Volume 33, Issue 3, May 2011, Pages 515-524