COVID 19’s Impact on Crude Oil and Natural Gas S&P GS Indexes
Posted: 28 Apr 2020 Last revised: 9 Oct 2020
Date Written: April 28, 2020
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.
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: C32; F31; G15; G01
Suggested Citation: Suggested Citation