COVID 19’s Impact on Crude Oil and Natural Gas S&P GS Indexes

Posted: 28 Apr 2020 Last revised: 9 Oct 2020

See all articles by Donia Aloui

Donia Aloui

University of Tunis Carthage-Carthage Business School; University Grenoble Alpes - Autonomie, gérontologie, e-santé, imagerie & société (AGEIS)

Stephane Goutte

University Paris-Saclay, UVSQ, CEMOTEV, UVSQ.

Khaled Guesmi

PSB Paris School of Business - Center of Research for Energy and Climate Change

Rafla Hchaichi

University of Tunis Carthage-Carthage Business School

Date Written: April 28, 2020

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.

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

Aloui, Donia and Goutte, Stephane and Guesmi, Khaled and Hchaichi, Rafla, COVID 19’s Impact on Crude Oil and Natural Gas S&P GS Indexes (April 28, 2020). Available at SSRN: https://ssrn.com/abstract=3587740 or http://dx.doi.org/10.2139/ssrn.3587740

Donia Aloui

University of Tunis Carthage-Carthage Business School ( email )

Avenu Fattouma Bourguiba la soukra
La Soukra, 2036
Tunisia

University Grenoble Alpes - Autonomie, gérontologie, e-santé, imagerie & société (AGEIS) ( email )

Grenoble
France

Stephane Goutte

University Paris-Saclay, UVSQ, CEMOTEV, UVSQ. ( email )

47 Boulevard Vauban
Guyancourt, 78280
France

HOME PAGE: http://https://sites.google.com/site/mathgoutte/

Khaled Guesmi (Contact Author)

PSB Paris School of Business - Center of Research for Energy and Climate Change ( email )

France

Rafla Hchaichi

University of Tunis Carthage-Carthage Business School ( email )

Avenu Fattouma Bourguiba la soukra
La Soukra, Ariana 2036
Tunisia

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