Oil price volatility in the context of Covid-19
Document type :
Compte-rendu et recension critique d'ouvrage
Title :
Oil price volatility in the context of Covid-19
Author(s) :
Bourghelle, David [Auteur]
Lille University Management Lab - ULR 4999 [LUMEN]
IAE Lille University School of Management - Lille [IAE Lille]
Jawadi, Fredj [Auteur]
Lille University Management Lab - ULR 4999 [LUMEN]
IAE Lille University School of Management - Lille [IAE Lille]
Rozin, Philippe [Auteur]
Lille University Management Lab - ULR 4999 [LUMEN]
IAE Lille University School of Management - Lille [IAE Lille]
Lille University Management Lab - ULR 4999 [LUMEN]
IAE Lille University School of Management - Lille [IAE Lille]
Jawadi, Fredj [Auteur]
Lille University Management Lab - ULR 4999 [LUMEN]
IAE Lille University School of Management - Lille [IAE Lille]
Rozin, Philippe [Auteur]
Lille University Management Lab - ULR 4999 [LUMEN]
IAE Lille University School of Management - Lille [IAE Lille]
Journal title :
International Economics
Pages :
39-49
Publisher :
Elsevier
Publication date :
2021-10
ISSN :
2110-7017
English keyword(s) :
Coronavirus
Oil price volatility
Uncertainty
VAR modelling
Impulse-response functions
Oil price volatility
Uncertainty
VAR modelling
Impulse-response functions
HAL domain(s) :
Sciences de l'Homme et Société/Gestion et management
English abstract : [en]
The recent coronavirus pandemic (COVID-19) has negatively impacted the whole economy,especially the oil industry, in at least two ways. First, it created a demand shock as COVID-19reduced global demand for crude oil, ...
Show more >The recent coronavirus pandemic (COVID-19) has negatively impacted the whole economy,especially the oil industry, in at least two ways. First, it created a demand shock as COVID-19reduced global demand for crude oil, increased uncertainty, and triggered a serious economicrecession in most developed and emerging countries. Second, it led to a supply shock as thepandemic resulted in an oil trade war between the major oil-producing nations (Saudi Arabia andRussia). Both shocks led to very high levels of oil price volatility. Our paper explores the dynamicsof this volatility and explains the effects of these two shocks (induced by an adjustment of oildemand and supply) on West Texas Intermediate (WTI) crude oil price volatility. Accordingly, weshow that oil price volatility reacted substantially to the pandemic-induced oil shocks. In particular,we document the impact of uncertainty caused by these shocks and investor anxiety on oilprice volatility. We show that greater uncertainty leads to more oil price volatility. Our findingsremained unchanged even after controlling for modeling robustness.Show less >
Show more >The recent coronavirus pandemic (COVID-19) has negatively impacted the whole economy,especially the oil industry, in at least two ways. First, it created a demand shock as COVID-19reduced global demand for crude oil, increased uncertainty, and triggered a serious economicrecession in most developed and emerging countries. Second, it led to a supply shock as thepandemic resulted in an oil trade war between the major oil-producing nations (Saudi Arabia andRussia). Both shocks led to very high levels of oil price volatility. Our paper explores the dynamicsof this volatility and explains the effects of these two shocks (induced by an adjustment of oildemand and supply) on West Texas Intermediate (WTI) crude oil price volatility. Accordingly, weshow that oil price volatility reacted substantially to the pandemic-induced oil shocks. In particular,we document the impact of uncertainty caused by these shocks and investor anxiety on oilprice volatility. We show that greater uncertainty leads to more oil price volatility. Our findingsremained unchanged even after controlling for modeling robustness.Show less >
Language :
Anglais
Popular science :
Non
Collections :
Source :
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