EconPapers    
Economics at your fingertips  
 

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
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-02613280
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://halshs.archives-ouvertes.fr/halshs-02613280/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:halshs-02613280

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2021-01-16
Handle: RePEc:hal:wpaper:halshs-02613280