The shale revolution, geopolitical risk, and oil price volatility

The U.S. shale revolution, using new technologies to extract crude oil, has led dynamics in the supply side of global oil market. We ask whether revolution dampened role geopolitical risk price volatility. extend a reduced form Structural Break Threshold Vector Autoregressive (SBT-VAR) model structural SBT-VAR and identify innovations by allowing conditional heteroskedasticity. Compared with conventional VAR TVAR models, an constant threshold break April 2014 are supported data. then analyse (co)variance impulse response concerning two distinct shock scenarios, one only shock, other simultaneous production shock. volatility responses due identified contemporaneous relationships amongst risk, prices, on volatilities at points time. With extra unit we find that prices is higher, but less correlated factor.