The impacts of oil price volatility on financial stress: Is the COVID-19 period different?

This study analyses the effects of oil price volatility on financial stress with various measures for a large panel of countries. The study places a special focus on comparing the pattern of these effects during the Great Recession period and the COVID-19 recession period. Using the local projection approach, the paper finds that oil price volatility has a positive and persistent effect on financial stress. However, the magnitude and the degree of persistency of oil price volatility impacts on financial stress are much greater for the Great Recession period than for the COVID-19 recession period. A possible explanation for this result would be that COVID-19 is better thought of as a "natural disaster” in which companies under stress were not being mismanaged. Another explanation would be that active intervention by the government through monetary and fiscal channels reduces the sensitivity of financial instability to oil price volatility during the COVID-19 period.

Intra-day co-movements of crude oil futures: China and the international benchmarks.

Investigating the co-movements between crude oil futures helps to understand the integration of the global markets. This paper focuses on Shanghai crude oil futures (INE) and study its co-movements with the international benchmarks of WTI and Brent crude oil futures in intra-day day and night trading sessions. A complex network model framework is proposed to analyse the intra-day co-movement patterns labelled by a functional data clustering approach on intra-day return curves. Our findings indicate INE is more integrated with the global market during the night session, but it shows a regional fractional effect during the day session. Based on the revealed dynamics of co-movement patterns, we further design a pairs trading strategy between INE crude oil futures and the international benchmarks. The simulation results show that the pairs trading strategy can be promisingly profitable, even during market turmoil phases.

Time-varying impact of pandemics on global output growth.

This paper analyses the dynamic impact of uncertainty due to global pandemics (SARS, H5N1, H1N1, MERS, Ebola, and COVID-19) on global output growth, using a TVP-SVAR model. We find that the negative effect of the coronavirus on the growth rate of output is unprecedented, with the emerging markets being the worst hit. We also find that since 2016, the comovement among the growth rates has increased significantly. Our results imply that policymakers would need to undertake massive expansionary policies, but it is also important to pursue well-coordinated policy decisions across the economic blocs.

Therapeutic mechanism of Toujie Quwen granules in COVID-19 based on network pharmacology.

BACKGROUND: Chinese medicine Toujie Quwen granule (TJQW) has proven to be effective in the treatment of mild coronavirus disease 2019 (COVID-19) cases by relieving symptoms, slowing the progression of the disease, and boosting the recovery of patients. But the bioactive compounds and potential mechanisms of TJQW for COVID-19 prevention and treatment are unclear. This study aimed to explore the potential therapeutic mechanism of TJQW in coronavirus disease 2019 (COVID-19) based on an integrated network pharmacology approach. METHODS: TCMSP were used to search and screen the active ingredients in TJQW. The Swiss TargetPrediction was used to predict the potential targets of active ingredients. Genes co-expressed with ACE2 were considered potential therapeutic targets on COVID-19. Venn diagram was created to show correlative targets of TJQW against COVID-19. Cytoscape was used to construct a "drug-active ingredient-potential target" network, STRING were used to construct protein-protein interaction network, and cytoHubba performed network topology analysis. Enrichment of biological functions and signaling pathways of core targets was performed by using the clusterProfiler package in R software and ClueGO with CluePedia plugins in Cytoscape. RESULTS: A total of 156 active ingredients were obtained through oral bioavailability and drug-likeness screenings. Two hundred twenty-seven potential targets of TJQW were related to COVID-19. The top ten core targets are EGFR, CASP3, STAT3, ESR1, FPR2, F2, BCL2L1, BDKRB2, MPO, and ACE. Based on that, we obtained 19 key active ingredients: umbelliprenin, quercetin, kaempferol, luteolin, praeruptorin E, stigmasterol, and oroxylin A. And the enrichment analysis obtained multiple related gene ontology functions and signaling pathways. Lastly, we constructed a key network of "drug-component-target-biological process-signaling pathway". Our findings suggested that TJQW treatment for COVID-19 was associated with elevation of immunity and suppression of inflammatory stress, including regulation of inflammatory response, viral process, neutrophil mediated immunity, PI3K-Akt signaling pathway, MAPK signaling pathway, Jak-STAT signaling pathway, Complement and coagulation cascades, and HIF-1 signaling pathway. CONCLUSIONS: Our study uncovered the pharmacological mechanism underlying TJQW treatment for COVID-19. These results should benefit efforts for people around the world to gain more knowledge about Chinese medicine TJQW in the treatment of this vicious epidemic COVID-19, and help to address this pressing problem currently facing the world.

Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities

This paper analyses the impact of a newspaper-based uncertainty associated with infectious diseases (EMVID) on the level, slope and curvature factors derived from the term structure of interest rates of the US covering maturities from 1 year to 30 years. Results from nonlinearity and structural break tests indicate the misspecification of the linear causality model and point to the suitability of applying a time-varying model. A DCC-MGARCH framework is thus applied and the results indicate significant predictability of the three latent factors from the EMVID index at each point of the entire sample, and also provide evidence of instantaneous spillover. Finally, the results of measuring safe-haven characteristic of the US Treasury market show that US treasuries with long-term maturities as captured by the level factor are consistently negatively correlated with the EMVID index, i.e., they act as a safe-haven, with the slope factor (medium-term maturities) following this trend since 2007, and the slope factor (short-term maturities) also showing signs of a safe-haven since May of 2020. Overall, the findings provide reasonable evidence that US Treasury securities can hedge the risks associated with the financial market in the wake of the current COVID-19 pandemic.

Extreme risk spillover between chinese and global crude oil futures.

This paper investigates the risk spillover between China's crude oil futures and international crude oil futures by constructing upside and downside VaR connectedness networks. The findings show that China's crude oil futures behave as a net risk receiver in the global crude oil system, in which Brent and WTI play the leading roles in risk transmission in the system. The dynamic results indicate that the risk spillover between Chinese and international crude oil futures presents obvious time-varying characteristics and has risen sharply since the beginning of 2020, induced by the COVID-19 pandemic.

Financial markets under the global pandemic of COVID-19.

The rapid spread of coronavirus (COVID-19) has dramatic impacts on financial markets all over the world. It has created an unprecedented level of risk, causing investors to suffer significant loses in a very short period of time. This paper aims to map the general patterns of country-specific risks and systemic risks in the global financial markets. It also analyses the potential consequence of policy interventions, such as the US' decision to implement a zero-percent interest rate and unlimited quantitative easing (QE), and to what extent these policies may introduce further uncertainties into global financial markets.

Searching for safe-haven assets during the COVID-19 pandemic

The ongoing COVID-19 pandemic has shaken the global financial system and caused great turmoil. Facing unprecedented risks in the markets, people have increasing needs to find a safe haven for their investments. Given that the nature of this crisis is a combination of multiple problems, it is substantially different from all other financial crises known to us. It is therefore urgent to re-evaluate the safe-haven role of some traditional asset types, namely, gold, cryptocurrency, foreign exchange and commodities. This paper introduces a sequential monitoring procedure to detect changes in the left-quantiles of asset returns, and to assess whether a tail change in the equity index can be offset by introducing a safe-haven asset into a simple mean-variance portfolio. The sample studied covers a training period between August–December 2019 and a testing period of December 2019–March 2020. Furthermore, we calculate the cross-quantilogram between pair-wise asset returns and compare their directional predictability on left-quantiles in both normal market conditions and the COVID-19 period. The main results show that the role of safe haven becomes less effective for most of the assets considered in this paper, while gold and soybean commodity futures remain robust as safe-haven assets during this pandemic.