COVID 19's impact on crude oil and natural gas S&P GS Indexes - HAL-SHS - Sciences de l'Homme et de la Société Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2020

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

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.
Fichier principal
Vignette du fichier
SSRN-id3605828.pdf (554.54 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

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

Identifiants

  • HAL Id : halshs-02613280 , version 1

Citer

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⟩
1466 Consultations
4641 Téléchargements

Partager

Gmail Mastodon Facebook X LinkedIn More