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| 1 |
ID:
162248
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| Summary/Abstract |
We use the k-th-order nonparametric causality test at monthly frequency over the period of 1985:1 to 2016:06 to analyze whether geopolitical risks can predict movements in stock returns and volatility of 24 global defense firms. The nonparametric approach controls for the existing misspecification of a linear framework of causality, and hence, the mild evidence of causality obtained under the standard Granger tests cannot be relied upon. When we apply the nonparametric test, we find that there is no evidence of predictability of stock returns of these defense companies emanating from the geopolitical risk measure. However, the geopolitical risk index does predict realized volatility in 50% of the companies. Our results indicate that while global geopolitical events over a period of time is less likely to predict returns, such global risks are more inclined in affecting future risk profile of defense firms.
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| 2 |
ID:
186422
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| Summary/Abstract |
Currently, the high incidence of environmental degradation is widely quoted as one of the key global concerns. Previous literature has examined various determinants of environmental degradation, yet, there is an inadequacy of studies on geopolitical risks (GPR) and environmental degradation nexus. Additionally, an issue of concern on aggregate estimations is aggregation bias which may cause the wrong estimation of the aggregate relationships, and mislead policymakers. This paper, therefore, investigates the impact of GPR on the environment of BRICS to assess the existence or otherwise of aggregation bias. The findings which emanate from a robust empirical estimation indicate that the relationship is positive at aggregate level while negative at disaggregated level, hence, the existence of aggregation bias in the estimation of GPR-environmental degradation relationship at the aggregate level. The results further show that the disaggregated level result does not support the aggregated level environment-GPR findings. Consequently, policy implications of aggregation bias in estimations may be drawn as follows: Since the aggregation bias may lead to a wrong environment-GPR postulation, policymakers could be misinformed by the incorrect evidence to give wrong policies about environmental concerns. Also, policymakers should consider the environment-GPR nexus at both aggregate and country-specific levels when making environmental policies.
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| 3 |
ID:
172782
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| Summary/Abstract |
The paper examines the effects of geopolitical risks, measured by a new index for geopolitical risk, on general government investment (gross fixed capital formation). It uses panel data for 18 countries for the period from 1985 to 2015. Using panel fixed-effects and the corrected least squares dummy variable estimators, results indicate that geopolitical risks seem to exert a positive effect on government investment.
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| 4 |
ID:
102994
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| 5 |
ID:
174615
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| Summary/Abstract |
This paper analyses the dynamic impact of geopolitical risks (GPRs) on real oil returns for the period February 1974 to August 2017, using a time-varying parameter structural vector autoregressive (TVP-SVAR) model. Besides the two variables of concern, the model also includes growth in world oil production, global economic activity (to capture oil-demand), and world stock returns. We show that GPRs (based on a tally of newspaper articles covering geopolitical tensions), in general, has a significant negative impact on oil returns, primarily due to the decline in oil demand captured by the global economic activity. Our results, thus, highlight the risk of associating all GPRs with oil supply shocks driven by geopolitical tensions in the Middle East, and hence, ending up suggesting that higher GPRs drive up oil prices.
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