Oil Price Shocks and the Hedging Benefit of Airline Investments

Jochen Güntnher and Peter Öhlinger
Authors registered in the RePEc Author Service: Jochen Güntner

No 2021-14, Economics working papers from Department of Economics, Johannes Kepler University Linz, Austria

Abstract: In the light of finite oil reserves, Persian Gulf oil-exporting economies have recently undertaken major investments in their domestic travel and tourism industries. Building on the Bayesian SVAR model of the global oil market in Baumeister and Hamilton (2019), we investigate the conditional comovement of airline stock returns with real oil prices in response to structural oil supply and demand shocks. We find that investing in the Datastream World Airline Index offers a hedging benefit conditional on oil supply, consumption demand, and inventory demand shocks, whereas there is no evidence of systematic positive or negative comovement following shocks to world economic activity and airline stock returns.

Keywords: Airline excess returns; Bayesian SVAR model; Hedging; Oil price shocks (search for similar items in EconPapers)
JEL-codes: C32 L71 L93 Q41 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2021-07
New Economics Papers: this item is included in nep-cwa and nep-ene
Note: English
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Oil price shocks and the hedging benefit of airline investments (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:jku:econwp:2021-14

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