A threshold effect of COVID-19 risk on oil price returns.
Energy Econ
; 120: 106618, 2023 Apr.
Article
in English
| MEDLINE | ID: covidwho-2282998
ABSTRACT
Using U.S. data, we investigate how the COVID-19 pandemic influences oil price returns in an asset pricing framework. Unlike earlier studies, we consider a threshold model to allow for the possibility that COVID-19 risk may not play a role until it reaches a certain level. Based on WTI crude oil spot price data from January 2020 to December 2021, our findings show that oil returns significantly decline with the daily number of COVID-19 deaths but only if the daily death toll exceeds approximately 2100. In addition, a more severe COVID-19 pandemic can substantially increase the exposure of oil returns to various systematic risk factors, which has not been documented in previous literature.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Experimental Studies
/
Prognostic study
/
Systematic review/Meta Analysis
Language:
English
Journal:
Energy Econ
Year:
2023
Document Type:
Article
Affiliation country:
J.eneco.2023.106618
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