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The Oil Price and the Impact of Geopolitical Events and the VIX-index

Kabiri, Poya LU (2011) NEKK01 20111
Department of Economics
Abstract
Abstract

The spring of 2011 unrest grew in the Middle East and North Africa, and as a result
we saw a surge in in oil prices. This essay conducts an evaluation on if these kinds of
geopolitical events within the OPEC have affected the oil price in the past in the same
way. As a contrary variable we have also assessed if the VIX-index is a good
indicator of decreasing oil prices. We have used an approach where we compare
Average Absolute Returns between periods of geopolitical events and the entire time
period, and a linear regression study when looking at the affects of the VIX-index.
We have selected a time period stretching from 1990:01.02 to 2009:12:31 and the
data used is daily spot prices and quotes. Our results... (More)
Abstract

The spring of 2011 unrest grew in the Middle East and North Africa, and as a result
we saw a surge in in oil prices. This essay conducts an evaluation on if these kinds of
geopolitical events within the OPEC have affected the oil price in the past in the same
way. As a contrary variable we have also assessed if the VIX-index is a good
indicator of decreasing oil prices. We have used an approach where we compare
Average Absolute Returns between periods of geopolitical events and the entire time
period, and a linear regression study when looking at the affects of the VIX-index.
We have selected a time period stretching from 1990:01.02 to 2009:12:31 and the
data used is daily spot prices and quotes. Our results suggested that the geopolitical
events do have a positive impact on the oil price, however this cannot be confirmed
because of weak significance. The impact of the VIX-index cannot either be
confirmed because of low significance and nor could sign of influence or correlation
be found. (Less)
Please use this url to cite or link to this publication:
author
Kabiri, Poya LU
supervisor
organization
course
NEKK01 20111
year
type
M2 - Bachelor Degree
subject
keywords
Oil price, OPEC, VIX-index, Geopolitical events, Regression
language
English
id
2154738
date added to LUP
2011-09-27 09:21:38
date last changed
2011-09-27 09:21:38
@misc{2154738,
  abstract     = {Abstract 

The spring of 2011 unrest grew in the Middle East and North Africa, and as a result 
we saw a surge in in oil prices. This essay conducts an evaluation on if these kinds of 
geopolitical events within the OPEC have affected the oil price in the past in the same 
way. As a contrary variable we have also assessed if the VIX-index is a good 
indicator of decreasing oil prices. We have used an approach where we compare 
Average Absolute Returns between periods of geopolitical events and the entire time 
period, and a linear regression study when looking at the affects of the VIX-index. 
We have selected a time period stretching from 1990:01.02 to 2009:12:31 and the 
data used is daily spot prices and quotes. Our results suggested that the geopolitical 
events do have a positive impact on the oil price, however this cannot be confirmed 
because of weak significance. The impact of the VIX-index cannot either be 
confirmed because of low significance and nor could sign of influence or correlation 
be found.},
  author       = {Kabiri, Poya},
  keyword      = {Oil price,OPEC,VIX-index,Geopolitical events,Regression},
  language     = {eng},
  note         = {Student Paper},
  title        = {The Oil Price and the Impact of Geopolitical Events and the VIX-index},
  year         = {2011},
}