Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia
Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia
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DOI：
10.1016/j.energy.2019.116003
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发表时间：
2019-11-15
期刊：
影响因子：
9
通讯作者：
Nicoleta-Claudia, Moldovan
中科院分区：
文献类型：
--
作者：
Su, Chi-Wei;Khan, Khalid;Nicoleta-Claudia, Moldovan
本研究通过小波分析评估地缘政治风险（GPR），石油价格（OPs）和金融流动性之间的因果关系，旨在研究这些关系是否支持沙特阿拉伯的货币均衡模型。我们的研究结果表明，当GPR高时，OP和金融流动性在时域上相关。我们发现短期和中期的相关性之间的OP，金融流动性和GPR在频域。此外，在没有GPR的情况下，我们注意到OP和金融流动性在时域和频域中的中期相关性。我们的研究结果支持假设的货币均衡模型，这反过来，是一个事实，即OP依赖于GPR和金融流动性依赖于OP的指示。这样的结论表明，该国将受益于采取资源收入多元化政策，以减少其对OP波动的影响。此外，将不必要的政府支出转移到投资项目也将是一种有益的行动转变。(C)2019爱思唯尔有限公司版权所有。
The present study assesses the causality of geopolitical risk (GPR), oil prices (OPs) and financial liquidity by means of wavelet analysis, which aims to investigate whether such relationships support the monetary equilibrium model in Saudi Arabia. Our findings indicate that OP and financial liquidity are related in the time domain when GPR is high. We detect both short- and medium-term correlations among OPs, financial liquidity and GPR in the frequency domain. Additionally, in the absence of GPR, we notice a midterm correlation between OPs and financial liquidity in the time and frequency domains. Our results support the assumed monetary equilibrium model, which, in turn, is an indication of the fact that OPs are dependent on GPR and that financial liquidity relies on the OP. Such conclusions suggest that the country would benefit from adopting a resource income diversification policy to reduce its impact on OP fluctuations. Additionally, the diversion of unnecessary government expenditures to the investment programs would also represent a beneficial shift in action. (C) 2019 Elsevier Ltd. All rights reserved.