scholarly journals Pandemics and Oil Shocks

2020 ◽  
Author(s):  
Mikidadu Mohammed ◽  
Jose A. Barrales-Ruiz
Keyword(s):  
Crude Oil ◽  
Financial Market ◽  
Oil Prices ◽  
Oil Price ◽  
Strong Impact ◽  
Financial Investment ◽  
Oil Markets ◽  
Price Movements ◽  
Market Shocks ◽  
The Impact

Abstract At the onset of coronavirus in January 2020, crude oil price was around $51.63 per barrel. But the subsequent spread of the virus across countries all over the world adversely impacted the day-to-day functioning of major industries, corporations, and economies. This adverse impact was amplified by the lockdown measures by governments who were justifiably concerned about the potential devastating effect of the pandemic. As the outbreak intensified, so did oil prices plunge into historic lows (at some point, negative). Is the precipitous drop in oil prices due to the COVID-19 pandemic or are there potentially other factors at play? In this paper, we investigate this question using a pentavariate structural vector autoregression (SVAR) model. Specifically, we identify an exogenous oil price shock arising from the pandemic together with the traditional underlying supply, demand, and financial market shocks to global crude oil markets. We find that a pandemic shock causes a delayed adverse effect on oil prices. In addition, our findings lend support to the view that changes in financial market conditions that affect financial investment decisions also play a significant role in oil price movements. There is however no evidence of a strong impact emanating from the brief Russia-Saudi price war. We also compute the forecast error variance decomposition and find that the impact of a pandemic shock together with aggregate demand and financial market shocks are not trivial in the short run. Taken together, the findings underscore the fruitfulness of research aimed at better understanding the effects of a pandemic shock on oil price movements and highlight the need for policymakers and market stakeholders to explicitly consider global health conditions when analyzing the causes and consequences of oil price shocks.

scholarly journals Relationship between Chinese and International Crude Oil Prices: A VEC-TARCH Approach

2015 ◽  
Vol 2015 ◽  
pp. 1-10 ◽  
Author(s):  
Changming Song ◽  
Chongguang Li
Keyword(s):  
Crude Oil ◽  
Oil Prices ◽  
Oil Price ◽  
External Shocks ◽  
Crude Oil Price ◽  
Economic Variables ◽  
Oil Market ◽  
Crude Oil Prices ◽  
Oil Markets ◽  
The Impact

Many studies focus on the impact of international crude oil price volatility on various economic variables in China with a hypothesis that international crude oil price affected Chinese crude oil price first and then other economic variables. However, there has been little research to explore whether or not international and Chinese oil market are integrated. This study aims to investigate the relationship between Chinese and international crude oil prices by VAR and VEC-TARCH models. It was found that the two crude oil markets have been integrated gradually. But the impact of external shocks on the Chinese crude oil market was stronger and the Chinese crude oil price was sensitive to changes in international crude oil price, implying that the centrally controlled oil market in China is less capable of coping with external risk. In addition, the volatility of both Chinese and international crude oil prices was mainly transmitted by prior fluctuation forecast and the impact of external shocks was limited, demonstrating that in both cases volatility would disappear rather slowly. Furthermore, Chinese and international crude oil markets have established a stable relationship. When the direction of external shocks on the two variables’ respective stochastic term was consistent, the impact on the two variables’ joint volatility was aggravated and vice versa.

scholarly journals Crude oil price variability and its impact on ethanol prices

2011 ◽  
Vol 57 (No. 8) ◽  
pp. 394-403 ◽  
Author(s):  
J. Pokrivčák ◽  
M. Rajčaniová
Keyword(s):  
Crude Oil ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Oil Prices ◽  
Oil Price ◽  
Biofuel Production ◽  
Oil Price Shock ◽  
Price Shock ◽  
The Impact

The world annual biofuel production has exceeded 100 billion litres in 2009. The development of the biofuel production is partly influenced by the government support programs and partly by the development of oil prices. The main purpose of this paper is to analyze the statistical relationship between ethanol, gasoline and crude oil prices. We aim to check the correlation among these variables and to analyze the strength and direction of a possible linear relationship among the variables. We are interested in analyzing how each variable is related to another, so we evaluate the inter-relationship among the variables in the Vector Autoregression (VAR) and the Impulse Response Function (IRF). In order to achieve our goal, we first collected weekly data for each variable from January, 2000 to October, 2009. The results provide evidence of the cointegration relationship between oil and gasoline prices, but no cointegration between ethanol, gasoline and ethanol, oil prices. As a result, we used a VAR model on first differences. After running the Impulse Response Function, we found out that the impact of the oil price shock on the other variables is considerable larger than vice versa. The largest impact of oil price shock was observed on the price of gasoline.  

The impact of crude oil prices on financial market indicators: copula approach

2017 ◽  
Vol 61 ◽  
pp. 162-173 ◽  
Author(s):  
Derya Ezgi Kayalar ◽  
C. Coşkun Küçüközmen ◽  
A. Sevtap Selcuk-Kestel
Keyword(s):  
Crude Oil ◽  
Financial Market ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Copula Approach ◽  
The Impact

Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Abderrazak Dhaoui ◽  
Julien Chevallier ◽  
Feng Ma
Keyword(s):  
Interest Rate ◽  
Financial Market ◽  
Oil Prices ◽  
Oil Price ◽  
Policy Implications ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Asymmetric Responses ◽  
The Impact ◽  
Nardl Model

AbstractThis study examines the asymmetric responses of sector stock indices returns to positive and negative fluctuations in oil prices using the NARDL model. Our empirical findings support indirect transmissions of oil price fluctuation to the financial market through industrial production and short-term interest rate. Furthermore, both direct and indirect impacts of oil price shocks on stock returns are sector dependent. These results are with substantial policy implications either for investors or for policymakers. They mainly help government authorities to reduce the instability in financial markets caused by the major oil price shocks. The analysis of the impact of oil price shocks on stock markets also helps the financial market participants to adjust their decisions and revise their coverage of energy policy that is substantially affected by the turbulence and uncertainty in the crude oil market. Finally, based on the forecast of the oil price shocks effects, the central bank should adjust the interest rate in order to face up to the inflation rate induced by oil prices since oil prices act as an inflationary factor.

scholarly journals Measuring the impact of COVID-19 surveillance variables over the international oil market

2022 ◽  
Vol 9 (1) ◽  
pp. 27-33
Author(s):  
Alshdadi et al. ◽  
Keyword(s):  
Saudi Arabia ◽  
Crude Oil ◽  
Global Economy ◽  
Oil Prices ◽  
Oil Reserves ◽  
Oil Market ◽  
Crude Oil Prices ◽  
Oil Markets ◽  
Long Term Impact ◽  
The Impact

Coronavirus (COVID-19) has turned to be an alarm for the whole world both in terms of health and economics. It is striking the global economy and increasing the unpredictability of the financial market in several ways. Significantly, the pandemic spread stimulated the social distancing which led to the lockdown of the countries’ businesses, financial markets, and daily life events. International oil markets have accommodated the crude oil prices during the early COVID-19 period. However, after the first 50 days, Saudi Arabia has surged the market with oil, which caused a certain decrease in crude oil prices, internationally. Saudi Arabia is one of the biggest oil reserves in the world. International trade is based on oil reservoirs which in turn, have been significantly dislodged by the pandemic. Therefore, it is crucial to study the impact of COVID-19 on the international oil market. The purpose of this study is to investigate the short-term and long-term impact of COVID-19 on the international oil market. The daily crude oil price data is used to analyze the impact of daily price fluctuation over COVID-19 surveillance variables. The correlation between surveillance variables and international crude oil prices is calculated and analyzed. Consequently, the project will help in stabilizing the expected world economic crises and particularly will provide the implications for the policymakers in the oil market.

scholarly journals Oil Price Shocks and Fiscal Spending in Oil Producing Economy: The Role of Asymmetry

2018 ◽  
pp. 1-10
Author(s):  
Bernard Olagboyega Muse
Keyword(s):  
Crude Oil ◽  
Empirical Finding ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Asymmetric Impact ◽  
The Impact ◽  
Fiscal Spending

Given their over reliance on proceeds from the sale of crude oil, fiscal spending in the oil-producing economy are often characterised with some specific challenges mainly due to the uncertainty in the nature of oil price movements in the international crude oil market. Motivated by the historical up – down trends in the international oil prices and their potential implications particularly for oil-producing countries, this paper explores linear and non-linear ARDL frameworks to examine the symmetric and asymmetric impact of oil price shocks on fiscal spending. Using the case of the Nigerian economy, this empirical finding suggests that shocks to international oil prices did matter for fiscal spending in the oil-producing economy. On the direction of the impact of the shocks, the finding of the non-rejection of the null hypothesis of no asymmetry thus implies that fiscal spending in Nigeria reacts indifferently to either a positive or negative oil price shocks.

scholarly journals The Impact of Oil Price Shocks on Oil-Dependent Countries’ Currencies: The Case of Azerbaijan and Kazakhstan

2021 ◽  
Vol 14 (9) ◽  
pp. 431
Author(s):  
Katarzyna Czech ◽  
Ibrahim Niftiyev
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Crude Oil ◽  
Oil Prices ◽  
Oil Price ◽  
Impulse Response Functions ◽  
The Caspian Sea ◽  
Crude Oil Prices ◽  
The Impact ◽  
The Relationship

The paper aims to assess the relationship between Azerbaijani and Kazakhstani exchange rates and crude oil prices volatility. The study applies the structural vector autoregressive (SVAR) model. The paper concentrates on Azerbaijan and Kazakhstan, the post-Soviet countries considered as some of the most oil-dependent countries in the Caspian Sea region. The impulse response functions suggest that the rise of crude oil prices is associated with the exchange rates decrease and thus with an Azerbaijani manat and Kazakhstani tenge appreciation against the U.S. dollar. Moreover, the results suggest that an oil price increase leads to the rise of Azerbaijani international reserves. However, the results are insignificant for the Kazakhstani foreign exchange reserves. Additionally, the study reveals a negative and significant relationship between crude oil prices and USD/KZT in both pre-crisis and the COVID-19 crisis periods. We reveal that the correlation has been stronger during the COVID-19 pandemic. However, the relationship is not significant in the case of the Azerbaijani manat. The USD/AZN exchange rate has been stable since 2017, and the first phase of the COVID-19 pandemic has not caused a change in the exchange rate and a weakening of the Azerbaijani currency, despite significant drops in crude oil prices.

scholarly journals The impact of oil prices on the banking system in the Gulf Cooperation Council

2017 ◽  
Vol 6 (2) ◽  
pp. 32-47
Author(s):  
Padamja Khandelwal ◽  
Ken Miyajima ◽  
Andre Santos
Keyword(s):  
Empirical Evidence ◽  
Oil And Gas ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Gulf Cooperation Council ◽  
Oil Price ◽  
Bank Capital ◽  
Price Movements ◽  
The Impact ◽  
Panel Vector Autoregression

This paper examines the links between global oil price movements and macroeconomic and financial developments in the Gulf Cooperation Council (GCC). The GCC economies can be adversely affected by low oil prices due to their high dependence on oil and gas exports and macro-financial linkages which can amplify the effects of oil price movements over the financial cycle. Historically, systemic financial sector risks rose in the GCC countries with the oil price upswing in the years before the global financial crisis. Against this background, a range of multivariate panel approaches, including a panel vector autoregression approach, were applied to macroeconomic and bank-level data covering the six GCC economies and span 1999–2014. The paper finds strong empirical evidence of feedback loops between oil price movements, bank balance sheets, and asset prices. Empirical evidence also suggests that bank capital and provisioning have behaved countercyclically through the cycle. That is, these ratios increase during good times. This has helped strengthen the resilience of the financial system to the oil price decline since mid-2014.

scholarly journals Oil price Fluctuation, Gold Returns and Inflationary Pressure: An Empirical Analysis Using Cointegration Approach

2019 ◽  
Vol 6 (2) ◽  
pp. 71 ◽  
Author(s):  
Hanan Naser
Keyword(s):  
Crude Oil ◽  
Oil Prices ◽  
Oil Price ◽  
Price Fluctuation ◽  
Inflationary Pressure ◽  
Crude Oil Prices ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Oil Price Fluctuation

Given that oil and gold prices are the major representative for commodity market, they both play a crucial role in determining the level of consumption, industrial production and investment due to the direct effect by the changes in their prices. In addition, both oil and gold prices have inflationary pressure which has a direct impact on countries economic growth. Therefore, it is of crucial practical significance to analyze their cointrgration relationships to understand the co-movement of both prices. To do so, this paper aims to examine the impact of oil price fluctuation on gold prices taking into account the inflationary pressure in the United States (US). Using monthly data from April, 1986 to September, 2018, Johansen multivariate cointegration test procedure and vector error correction model (VECM) have been employed to examine the long-run relationship between the variables in the US. The key findings suggest that there is a significant positive long run relationship between crude oil prices, gold prices and inflation. In the short run, the impact of any changes in crude oil prices will have a delayed effect on the prices of gold, while the impact of inflation in not different from zero. In addition, both gold prices and inflation are found to have no impact on gold prices in the short run. The findings of this research are important for investors, portfolio managers, corporate houses, crude oil traders, the government and policy makers.

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