COVID-19 and Daily Oil Price Pass-Through

Energy Research Letters, Forthcoming

18 Pages Posted: 2 Apr 2020 Last revised: 27 Apr 2021

See all articles by Hakan Yilmazkuday

Hakan Yilmazkuday

Florida International University (FIU) - Department of Economics

Date Written: April 27, 2021

Abstract

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

Yilmazkuday, Hakan, COVID-19 and Daily Oil Price Pass-Through (April 27, 2021). Energy Research Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3566568 or http://dx.doi.org/10.2139/ssrn.3566568

Hakan Yilmazkuday (Contact Author)

Florida International University (FIU) - Department of Economics ( email )

11200 SW 8th Street
Miami, FL 33199
United States

HOME PAGE: http://faculty.fiu.edu/~hyilmazk/

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