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

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.
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Dates and versions

halshs-02613280 , version 1 (20-05-2020)

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  • HAL Id : halshs-02613280 , version 1

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Donia Aloui, Stéphane Goutte, Khaled Guesmi, Rafla Hchaichi. COVID 19's impact on crude oil and natural gas S&P GS Indexes. 2020. ⟨halshs-02613280⟩
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