You can manage bookmarks using lists, please log in to your user account for this.
Media type:
E-Book
Title:
Do Crude Oil Volatility, Geopolitical Risk and World Uncertainty Affect Economic Growth and Financial Development in Saudi Arabia
:
New Evidence from Granger Causality Test in Frequency Domain
Description:
This study examines the spillover dynamics over different frequencies between the positive and negative shocks of uncertainty indexes and economic growth and financial development for the Kingdom of Saudi Arabia (KSA) over 1993-2020 period. The drawback of traditional granger causality regarding their inability to examine the relationship between variables in dynamic manner motivate us to apply a newly proposed approach of spectral tools called Granger causality test in the frequency domain to examine the effects of crude oil volatility (VTOIL), the Geopolitical Risk Index (GPR), and the world uncertainty index (WUI) on the financial development and economic growth and vice versa. Various empirical evidence can be provided: First, a negative shock of crude oil volatility can negatively affect the Saudi financial development. In addition, uncertainty shock caused by the regional and global geopolitical developments and policies has a significant effect on the Saudi financial development, especially in the long-term horizon. Second, findings reported that when we decompose the uncertainty in both negative and positive crude oil volatility shocks, the economic growth is more susceptible to a positive shock. However, empirical analysis showed that the positive or negative shocks of geopolitical risk do not have any impact on the economic growth of the KSA