Oil Price Shocks During the COVID-19 Pandemic - Evidence From United Kingdom Energy Stocks

Erhan Mugaloglu, Ali Yavuz Polat, Abdullah Dogan and Hasan Tekin ()
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Hasan Tekin: Karabuk University, Turkey

Energy RESEARCH LETTERS, 2021, vol. 2, issue 1, 1-5

Abstract: We investigate the dynamic relationship between global oil prices, the stock market, and oil and gas stock (FTSE-OG) returns in the UK through a structural vector autoregressive (VAR) framework during the COVID-19 pandemic. The structural VAR results suggest that the impact of structural shocks related to the global oil price on FTSE-OG index returns becomes less important and loses its explanatory power during the pandemic. However, stock market shocks increase their explanatory power in the variations of FTSE-OG index returns

Keywords: covid-19 pandemic; oil & gas sector; svar; forecast error variance decomposition (search for similar items in EconPapers)
JEL-codes: G1 I00 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (8)

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