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20 mai 2020
- handle: 10670/1.9qkddj
- halshs: halshs-02613280
info:eu-repo/semantics/OpenAccess
Mots-clés
COVID-19 oil price war health crisis drop oil price S&P GS commodities Indexes TVP-SVAR model crude oil natural gas JEL Classification:Citer ce document
Donia Aloui et al., « COVID 19's impact on crude oil and natural gas S&P GS Indexes », HAL-SHS : économie et finance, ID : 10670/1.9qkddj
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Résumé
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.