Munich Personal RePEc Archive

Geopolitical Tensions, OPEC News, and Oil Price: A Granger Causality Analysis

Medel, Carlos A. (2015): Geopolitical Tensions, OPEC News, and Oil Price: A Granger Causality Analysis.

[img]
Preview
PDF
MPRA_paper_65667.pdf

Download (691kB) | Preview

Abstract

To what extent geopolitical tensions in major oil-producer countries and unexpected news related to the Organisation of the Petroleum Exporting Countries (OPEC) affect oil price? What are the effects of non-market externalities in oil price? Are oil price forecasters aware or affected by such externalities when making their predictions? In this article, I analyse the influence of these events on oil price by means of Granger causality, using a unique measure of geopolitical events accounting for supply disruptions for the 2001-12 period. I found evidence favouring OPEC countries'-related news as an oil price driver jointly with supply disruptions influencing short-term forecasts, and reducing the consensus when unanticipated news are available. When considering separately OPEC news or other supply disruptions, the evidence is rather episodic.

Logo of the University Library LMU Munich
MPRA is a RePEc service hosted by
the University Library LMU Munich in Germany.