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

Author

Listed:
  • Donia Aloui
  • Stéphane Goutte

    (Cemotev - Centre d'études sur la mondialisation, les conflits, les territoires et les vulnérabilités - UVSQ - Université de Versailles Saint-Quentin-en-Yvelines)

  • Khaled Guesmi

    (PSB - Paris School of Business - HESAM - HESAM Université - Communauté d'universités et d'établissements Hautes écoles Sorbonne Arts et métiers université)

  • Rafla Hchaichi

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.

Suggested Citation

  • Donia Aloui & Stéphane Goutte & Khaled Guesmi & Rafla Hchaichi, 2020. "COVID 19's impact on crude oil and natural gas S&P GS Indexes," Working Papers halshs-02613280, HAL.
    • Handle: RePEc:hal:wpaper:halshs-02613280
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-02613280
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    References listed on IDEAS

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    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:;
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