The Oil Price and the Impact of Geopolitical Events and the VIX-index
(2011) NEKK01 20111Department 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:
http://lup.lub.lu.se/student-papers/record/2154738
- author
- Kabiri, Poya LU
- supervisor
-
- Klas Fregert LU
- organization
- course
- NEKK01 20111
- year
- 2011
- 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}}, language = {{eng}}, note = {{Student Paper}}, title = {{The Oil Price and the Impact of Geopolitical Events and the VIX-index}}, year = {{2011}}, }