Hourly Oil Price Volatility - The Role of COVID-19

Neluka Devpura and Paresh Kumar Narayan ()
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Paresh Kumar Narayan: Asia Pacific Applied Economics Association

Energy RESEARCH LETTERS, 2021, vol. 1, issue 1, 1-4

Abstract: In this paper, we study the evolution of hourly oil price volatility. Using multiple measures of oil price volatility, we conclude that volatility increased following the onset of COVID-19. After controlling for conventional predictors of oil price volatility, we show that COVID-19 cases and deaths led to an increase in daily oil price volatility by between 8% and 22%. Our results pass a battery of robustness tests.

Keywords: covid-19; oil price; volatility (search for similar items in EconPapers)
JEL-codes: O (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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