Crude Oil Prices and COVID-19 - Persistence of the Shock

Luis Gil-Alana and Manuel Monge ()
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Manuel Monge: Asia Pacific Applied Economics Association

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

Abstract: The effect of the COVID-19 crisis on crude oil prices is investigated by using long memory techniques. The oil price series is highly persistent with an order of integration of 0.84, displaying mean reversion. When we examine data before the onset of COVID-19, the first order integration hypothesis cannot be rejected. The results are consistent with evidence of market efficiency prior to the crisis, with the oil market becoming inefficient when incorporating the data covering the crisis. The evidence that oil price series is mean reverting implies that the shock will be transitory albeit with very long-lasting effects.

Keywords: crude oil prices; covid19; persistence; long memory (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 (4)

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