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:: Volume 14, Issue 57 (Summer 2018 2018) ::
QEER 2018, 14(57): 87-123 Back to browse issues page
The Impact of Oil Price Volatility on Country Risk Index in Different OPEC Countries
Hassan Heidari 1, Arash Refah Kahriz , Farzaneh Talebi
1- , h.heidari@urmia.ac.ir
Abstract:   (367 Views)
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.
Keywords: Country Risk Index, Markov Switching Models, Oil Price Volatility, OPEC
Full-Text [PDF 1690 kb]   (267 Downloads)    
Type of Study: Research | Subject: Energy Economic
Received: 2017/11/10 | Accepted: 2018/09/26
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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


Volume 14, Issue 57 (Summer 2018 2018) Back to browse issues page
فصلنامه مطالعات اقتصاد انرژی Quarterly Energy Economics Review
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