Do geopolitical risk, economic policy uncertainty, and oil implied volatility drive assets across quantiles and time-horizons?

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dc.authorid0000-0003-2628-5027en_US
dc.authorid0000-0002-9216-5210en_US
dc.authorid0000-0001-7228-0396en_US
dc.authorid0000-0001-5449-0568en_US
dc.contributor.authorBouri, Elie
dc.contributor.authorGök, Remzi
dc.contributor.authorGemi̇ci̇, Eray
dc.contributor.authorKara, Erkan
dc.date.accessioned2024-03-26T10:32:23Z
dc.date.available2024-03-26T10:32:23Z
dc.date.issued2024en_US
dc.departmentDicle Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.description.abstractThis paper examines the impact of three global risk factors (geopolitical risk (GPR), economic policy uncertainty (EPU), and crude oil volatility (OVX)) on the returns and variance of commodity, Islamic stock, and green bond markets across quantile distributions and various time horizons. To this end, Granger causality tests in quantiles and distributions along with wavelet-based correlation and causality approaches are applied to daily data from February 1, 2013 to June 30, 2023. The results of the Granger causality in quantiles tests show strong evidence that all three global risk factors Granger-cause returns across all quantiles, except the lowest and middle quantiles. The Granger causality is significant for both returns and variances, where GPR is the least predictor and OVX is the most predictor. Evidence of causation in risk spillovers is in the right tail and center of the distribution rather than the left tail, indicating no evidence of down-to-down risk spillover. The upside risk of OVX causes both the upside and downside risk of asset returns. The positive volatility of EPU and GPR drives the positive and negative volatility of the green bond and Islamic stock markets, respectively. Green bond markets are completely immune to risk spillover from geopolitical risks. The effects of risk factors are negligible at the lower and somewhat middle quantiles but strengthen with varying magnitude and significance for the remaining quantiles. The results of the wavelet analysis indicate that asset returns co-move with the global risk factors in the short term but decouple in the longer term. Risk factors exert short-lived causal impacts in the short term, but the duration of significant causal periods rises with time and the effect intensifies during crisis periods.en_US
dc.identifier.citationBouri, E., Gök, R., Gemici, E. ve Kara, E. (2024). Do geopolitical risk, economic policy uncertainty, and oil implied volatility drive assets across quantiles and time-horizons?. Quarterly Review of Economics and Finance, 93, 137-154.en_US
dc.identifier.doi10.1016/j.qref.2023.12.004
dc.identifier.endpage154en_US
dc.identifier.issn1062-9769
dc.identifier.scopus2-s2.0-85179811694
dc.identifier.scopusqualityQ1
dc.identifier.startpage137en_US
dc.identifier.urihttps://www.sciencedirect.com/science/article/pii/S1062976923001424?via%3Dihub
dc.identifier.urihttps://hdl.handle.net/11468/13723
dc.identifier.volume93en_US
dc.identifier.wosWOS:001136913300001
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorGök, Remzi
dc.language.isoenen_US
dc.publisherElsevier B.V.en_US
dc.relation.ispartofQuarterly Review of Economics and Finance
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectCausality in distributionsen_US
dc.subjectCommodityen_US
dc.subjectEconomic Policy Uncertainty (EPU)en_US
dc.subjectGreen bondsen_US
dc.subjectIslamic indexen_US
dc.subjectWaveletsen_US
dc.titleDo geopolitical risk, economic policy uncertainty, and oil implied volatility drive assets across quantiles and time-horizons?en_US
dc.titleDo geopolitical risk, economic policy uncertainty, and oil implied volatility drive assets across quantiles and time-horizons?
dc.typeArticleen_US

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