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COVID 19's impact on crude oil and natural gas S&P GS Indexes

Donia Aloui, Stéphane Goutte, Khaled Guesmi and Rafla Hchaichi

Working Papers from HAL

Abstract: On 12 March 2020, the sharp fell of U.S. crude oil price to 30 dollars was explained by the outspreads of coronavirus pandemic and the OPEC's inability to reach a production quota agreement. We employ the structural VAR model with time-varying coefficients and stochastic volatility (TVP-SVAR model) developed by Primiceri (2005) to asses the impact of COVID-19 shocks on the energy futures markets, particularly on crude oil and natural gas S&P GS Indexes. The findings confirm that energy commodities S&P GS Indexes respond to COVID-19 shock that varying over time due to fundamentals factors as well as behavioral and psychological factors.

Keywords: COVID-19; oil price war; health crisis; drop oil price; S&P GS commodities Indexes; TVP-SVAR model; crude oil; natural gas JEL Classification: (search for similar items in EconPapers)
Date: 2020-05-20
New Economics Papers: this item is included in nep-ene and nep-ore
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