The Volatility Spillover of Global Oil Price Uncertainty

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60076658%3A12510%2F24%3A43907954" target="_blank" >RIV/60076658:12510/24:43907954 - isvavai.cz</a>

Výsledek na webu

<a href="https://econjournals.com/index.php/ijeep/article/view/15803" target="_blank" >https://econjournals.com/index.php/ijeep/article/view/15803</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.32479/ijeep.15803" target="_blank" >10.32479/ijeep.15803</a>

Jazyk výsledku

angličtina

Název v původním jazyce

The Volatility Spillover of Global Oil Price Uncertainty

Popis výsledku v původním jazyce

This manuscript, for the 1st time, analyses the volatility spillover of oil price uncertainty in the world using data from oil price uncertainty recently developed by Abiad and Qureshi (2023), spanning the time 1996-2019 on a monthly frequency. ARCH/GARCH (Autoregressive Conditional Heteroskedasticity and Generalized Autoregressive Conditional Heteroskedasticity) models are employed as an econometric tool. The findings suggest that ARCH model is more consistent than GARCH model in assessing the volatility of oil price uncertainty in the world. The results show that the volatility of oil price uncertainty is high in the world. The transition to renewable energy sources is proposed as a way to resist unexpected oil shocks since the production of renewables does not depend on the fluctuations of oil prices. Consequently, uncertainties in the oil price do not hinder economic activities.

Název v anglickém jazyce

The Volatility Spillover of Global Oil Price Uncertainty

Popis výsledku anglicky

This manuscript, for the 1st time, analyses the volatility spillover of oil price uncertainty in the world using data from oil price uncertainty recently developed by Abiad and Qureshi (2023), spanning the time 1996-2019 on a monthly frequency. ARCH/GARCH (Autoregressive Conditional Heteroskedasticity and Generalized Autoregressive Conditional Heteroskedasticity) models are employed as an econometric tool. The findings suggest that ARCH model is more consistent than GARCH model in assessing the volatility of oil price uncertainty in the world. The results show that the volatility of oil price uncertainty is high in the world. The transition to renewable energy sources is proposed as a way to resist unexpected oil shocks since the production of renewables does not depend on the fluctuations of oil prices. Consequently, uncertainties in the oil price do not hinder economic activities.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2024

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

International Journal of Energy Economics and Policy

ISSN

2146-4553

e-ISSN

2146-4553

Svazek periodika

14

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

TR - Turecká republika

Počet stran výsledku

6

Strana od-do

"619 "- 624

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85193753097