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DTSTART:20261025T030000
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UID:calendar.142803.field_date.0@www.tse-fr.eu
DTSTAMP:20260603T021416Z
CREATED:20260602T101001Z
DESCRIPTION:Marcelle Chauvet (University of California\, Riverside\, CA\, U
 SA)\, “Revisiting the Relationship between Geopolitical Risk and Oil Price
  Realized Volatility: A Markov-Switching Analysis”\, Séminaire Banque de F
 rance\, June 16\, 2026\, 11:30–12:30\, Banque de France\, room Online and 
 in Room 4.\n\nThis paper examines the impact of geopolitical risks (GPR) o
 n oil price volatility over the past three decades\, using specifications 
 that capture both long-term patterns and short-term disruptions during per
 iods of stability and crisis. In particular\, we analyze oil price volatil
 ity’s response to geopolitical risks\, considering various geopolitical te
 nsions including oil price shocks\, political revolutions\, wars\, trade c
 onflicts\, economic sanctions\, as well as measures of geopolitical risk a
 cts and threats. We compare a linear benchmark model with proposed nonline
 ar econometric frameworks that account for structural breaks\, regime swit
 ching\, and asymmetries. The results show that geopolitical risks exert st
 rong and immediate effects on oil volatility\, while threats also have sig
 nificant lagged impacts through expectations and speculative behavior. Fur
 thermore\, when accounting for structural breaks and nonlinearities\, the 
 proposed nonlinear models – Markov Switching Model with Breaks (MSMB) and 
 Dynamic Factor Markov Switching model with Breaks (DFMSB) – confirm the si
 gnificant effect of GPR on oil volatility. In sample and out-of-sample for
 ecasting tests indicate that incorporating geopolitical risks within nonli
 near models reduces prediction errors by roughly 50% and improves variance
  tracking measures two to five -fold. Overall\, GPR – especially threats –
  exerts a regime-dependent\, asymmetric influence on oil volatility\, with
  the DFMSB (built only on GPR measures and realized oil volatility) delive
 ring the most accurate predictions and highlighting the predictive value o
 f geopolitical information in nonlinear settings.
DTSTART;TZID=Europe/Paris:20260616T123000
DTEND;TZID=Europe/Paris:20260616T133000
LAST-MODIFIED:20260603T001001Z
LOCATION:June 16\, 2026\, 11:30–12:30\, Banque de France\, room Online and 
 in Room 4
SUMMARY:Séminaire Banque de France
URL;TYPE=URI:https://www.tse-fr.eu/seminars/2026-revisiting-relationship-be
 tween-geopolitical-risk-and-oil-price-realized-volatility-markov-switching
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