Time-varying geopolitical risk and oil prices

Kris Ivanovski, Abebe Hailemariam

Research output: Contribution to journalArticleResearchpeer-review

46 Citations (Scopus)


This paper examines the time-varying effect of oil price on geopolitical risk. Using monthly panel data of 16 countries for the period 1997:M01 – 2020:M02 and employing a varying-coefficient nonparametric panel data model, we find that oil price as well as its volatility have a time-varying effect on geopolitical risk. Our results reveal that oil price is negatively associated with geopolitical risk for much of our sample period, albeit the weakening of the effect in recent periods. In contrast, oil price volatility is positively related with geopolitical risk for most of the sample period under the study. Further, we find a significant degree of heterogeneity in the time-varying country-specific trend functions of geopolitical uncertainty. Our findings have important implications for policymakers and market participants in managing geopolitical risk.

Original languageEnglish
Pages (from-to)206-221
Number of pages16
JournalInternational Review of Economics and Finance
Publication statusPublished - Jan 2022


  • Geopolitical risk
  • Non-parametric panel data
  • Oil price
  • Oil price volatility

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