This study investigates the effect of oil price volatility on country risk index of Organization of Petroleum Exporting Countries (OPEC) members for the period 2002 to 2015. We calculate oil price volatility by using an exponential autoregressive conditional heteroskedasticity (EGARCH) approach. The impact of oil price volatility on country risk index in OPEC is estimated using a Markov switching model. The result indicate that oil price volatility has different effects on the risk index in different OPEC countries. Oil price volatility has positive effect on country risk index for the United Arabic Emirates and Kuwait; negative effects for Qatar, Nigeria, Libya and; asymmetric effects for Angola, Iraq, Saudi Arabia and Venezuela. Moreover, the study results indicate that oil price volatility has the most positive effects for the United Arabic Emirates, Iraq, Saudi Arabia, Angola and the least positive impact for Kuwait and Venezuela. Furthermore, the lowest negative impact of oil price volatility on country risk index is seen for Iran and Iraq and the greatest negative impact for Qatar. It is therefore recommended that planners, investors and others institutions pay attention to the country risk index and the likely impact of oil price volatility on it before investing in OPEC member countries.
Heidari H, Refah Kahriz A, Talebi F. The Impact of Oil Price Volatility on Country Risk Index in Different OPEC Countries. QEER 2018; 14 (57) :87-123 URL: http://iiesj.ir/article-1-930-en.html