Oil price volatility in the context of Covid-19

Bourghelle, David; Jawadi, Fredj; Rozin, Philippe

Type de document :

Compte-rendu et recension critique d'ouvrage

DOI :

10.1016/j.inteco.2021.05.001

Titre :

Oil price volatility in the context of Covid-19

Auteur(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]

Titre de la revue :

International Economics

Pagination :

39-49

Éditeur :

Elsevier

Date de publication :

2021-10

ISSN :

2110-7017

Mot(s)-clé(s) en anglais :

Coronavirus
Oil price volatility
Uncertainty
VAR modelling
Impulse-response functions

Discipline(s) HAL :

Sciences de l'Homme et Société/Gestion et management

Résumé en anglais : [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, ...
Lire la suite >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.Lire moins >

Langue :

Anglais

Vulgarisation :

Non

Collections :

Lille University Management Lab (LUMEN) - ULR 4999

Source :

Harvested from HAL

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