Oil market crashes: from the subprime crisis to the COVID-19 pandemic

Donia Aloui, Rafla Hchaichi and Khaled Guesmi

International Journal of Global Energy Issues, 2024, vol. 46, issue 5, 419-435

Abstract: This paper aims to examine whether and how the COVID-19 crisis is similar to previous economic crises. Using a TVP-BVAR-SV model, we compare the responses of WTI-oil and natural gas prices in the face of the COVID-19 crisis to that of the 2008 global economic crisis and the 2014 Asian crisis. The findings confirm a remarkable similarity of WTI-oil prices behaviour between 2008 and 2020 in terms of volatility and responses to the petroleum consumption shocks. However, the natural gas market remains relatively stable during COVID-19 with modest responses to the shocks. The predictive probability density shows a high predictive variance indicating extreme uncertainty surrounding the COVID-19 period.

Keywords: COVID-19; subprime crisis; oil price war; negative WTI oil price; natural gas; TVP-BVAR-SV model; stochastic volatility; forecasting. (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijgeni:v:46:y:2024:i:5:p:419-435

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