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Environ Sci Pollut Res Int ; 29(8): 11418-11431, 2022 Feb.
Article in English | MEDLINE | ID: covidwho-1427396


We examine the oil-stock nexus in 24 countries amidst the COVID-19 pandemic and test for threshold effects on oil prices using Hansen (1999) panel dynamic threshold model and recent extensions of Kremer et al. (2013) and Seo and Shin (2016). We find evidence of nonlinearities and threshold effects in oil prices. As an addition to literature, our estimated model shows that stock market prices react in a regime-style manner, when the joint effects of oil prices, exchange rate changes, number of reported cases, and the number of death due to COVID-19 pandemic are analyzed. This is in support of the theoretical model of investor sentiment by Barberis et al. (1998). Therefore, we are of the opinion that policymakers, governments, and investors in their business decision-making process should put into consideration and also observe changes in the global reported cases alongside the number of deaths and how oil prices are evolving, as the global economy is further affected by the COVID-19 pandemic shock.

COVID-19 , Commerce , Pandemics/economics , Petroleum/economics , Government , Humans
Environ Sci Pollut Res Int ; 29(3): 3648-3658, 2022 Jan.
Article in English | MEDLINE | ID: covidwho-1356040


In this paper, the behavior of precious metals and oil is examined using a fractionally integrated and cointegrated modeling approach. Using daily data from January 2015 to December 2020 and using both endogenous and exogenous structural breaks, we examine the behavior of the related series before and during the COVID-19 pandemic with the aim of investigating whether the degree of persistence has changed since the onset of COVID-19. We found that precious metals and oil exhibit long memory and are mean reverting regardless of the sample considered as the fractional parameter d < 0.5. However, when structural breaks are taken into consideration, an increase in persistence is found during the COVID-19 as compared to the period before it. In addition, the fractionally cointegrated vector autoregressive (FCVAR) model of Johansen and Nielsen (2010, 2012) is used to examine the existence of long-run relationship among precious metals and oil price. We find the integrated parameters at d < 0.5 for all samples except for the pre-COVID-19 sample. This highlights that the FCVAR is a better fit for the full sample and the COVID-19 and the COVID-19 pandemic period sub-samples, as the fractional parameter is d < 0.5 while the CVAR model is better fit for the pre-COVID-19 period where d> 0.5. Both cointegration techniques alongside the parameter stability tests lend support to the existence of a persistence and stable long-run relationships among the series irrespective of the sample period considered. Attendant policy recommendations for investors and policymakers are recommended.

COVID-19 , Metals/economics , Oil and Gas Industry/economics , COVID-19/economics , Humans , Pandemics
Int. Rev. Econ. Financ. ; (69): 280-294, 20200901.
Article in English | WHO COVID, ELSEVIER | ID: covidwho-627724


We provide some preliminary estimates about the behaviour of oil-stock nexus during COVID-19 pandemic. Consequently, we conduct distinct analyses for periods before and after the announcement of the pandemic. A panel Vector Autoregressive (pVAR) model is constructed to analyse the response of oil and stocks to shocks. A panel Logit model is also formulated to evaluate the probability of having negative oil price and stock returns between the two data samples. The pVAR analyses suggest that both oil and stock markets may experience greater initial and prolonged impacts of own and cross shocks during the pandemic than the period before it. This outcome is further corroborated by the panel Logit estimates suggesting that the probability of having negative oil and stock returns during the pandemic may be due uncertainty associated with the relevant markets.