COVID-19 and Daily Oil Price Pass-Through
Energy Research Letters, Forthcoming
18 Pages Posted: 2 Apr 2020 Last revised: 27 Apr 2021
Date Written: April 27, 2021
This paper investigates the (crude) oil price pass-through into gasoline spot and gasoline retail prices in the U.S. due to the effects of coronavirus disease 2019 (COVID-19). The investigation is achieved by using daily data in a structural vector autoregression framework. The oil price pass-through is measured as the cumulative impulse response of gasoline spot or gasoline retail prices divided by the cumulative impulse response of oil prices, both following a percentage change in total number of the U.S. COVID-19 cases. The results suggest evidence for complete pass-through of oil prices into gasoline spot prices, whereas the corresponding pass-through into gasoline retail prices is about 29 percent in the long run.
Keywords: COVID-19, Coronavirus, Pass-Through, Oil Prices, Gasoline Prices, Retail Prices, Spot Prices, Daily Data
JEL Classification: Q41, Q43
Suggested Citation: Suggested Citation