Geopolitical risk and energy price crash risk

IF 13.6 2区经济学 Q1 ECONOMICS Energy Economics Pub Date : 2024-10-23 DOI:10.1016/j.eneco.2024.107975

Nicholas Apergis , Hany Fahmy

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Abstract

This paper explores the link between geopolitical risks and energy prices crash risk. Studying energy price crashes is important given the sharp fall in oil prices in 2008 and 2014. The analysis focuses on three energy markets: natural gas, oil, and coal, while it employs two measures: the negative coefficient of skewness and the down-to-up volatility, to construct proxies for crash risks. The period of examination is January 2000 to December 2023, whereas that for coal is January 2010 to December 2023. The study employs a modified version of the smooth transition autoregressive model. The results show that, within the modelling framework, coal and oil crash risks are driven by the cyclical behavior of geopolitical acts, whereas natural gas crash risks by geopolitical threats. Causality tests confirm the prediction that geopolitical tensions cause crash risks in energy markets. The results also confirm that the “Economic Activity Channel” is only valid for energy markets driven by geopolitical threats. Energy market regulators should be concerned about crash risks, given that the energy supply shows cyclical boom and bust cycles in prices and production. Crash risks could also potentially cause a fall in investments required to enhance energy efficiency.

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地缘政治风险和能源价格暴跌风险

本文探讨了地缘政治风险与能源价格暴跌风险之间的联系。鉴于 2008 年和 2014 年石油价格暴跌，研究能源价格暴跌具有重要意义。分析主要针对三个能源市场：天然气、石油和煤炭，并采用两个指标：负偏度系数和从下到上的波动率来构建崩盘风险的代理变量。考察期为 2000 年 1 月至 2023 年 12 月，而煤炭的考察期为 2010 年 1 月至 2023 年 12 月。研究采用了改进版的平稳过渡自回归模型。结果表明，在模型框架内，煤炭和石油崩盘风险受地缘政治行为周期性行为的驱动，而天然气崩盘风险受地缘政治威胁的驱动。因果检验证实了地缘政治紧张局势导致能源市场崩盘风险的预测。结果还证实，"经济活动渠道 "只适用于由地缘政治威胁驱动的能源市场。鉴于能源供应在价格和产量上呈现周期性繁荣和萧条循环，能源市场监管者应关注崩盘风险。崩溃风险还可能导致提高能源效率所需的投资下降。

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.