Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/274762 
Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 6 [Article No.:] 240 [Year:] 2022 [Pages:] 1-11
Verlag: 
MDPI, Basel
Zusammenfassung: 
Crude oil draws attention in recent research as its demand may indicate world economic growth trend in the post-COVID-19 era. In this paper, we study the dynamic lead-lag relationship between the COVID-19 pandemic and crude oil future prices. We perform rolling-sample tests to evidence whether two pandemic risk scores derived from network analysis, including a preparedness risk score and a severity risk score, Granger-cause changes in oil future prices. In our empirical analysis, we observe 49% to 60% of days in 2020 to 2021 during which the pandemic scores significantly affected oil futures. We also find an asymmetric lead-lag relationship, indicating that there is a tendency for oil futures to move significantly when the pandemic is less severe but not when it is more severe. This study adopts preparedness risk score and severity risk score as proxy variables to measure the impact of the COVID-19 pandemic risk on oil market. The asymmetric lead-lag behavior between pandemic risk and oil future prices provides insights on oil demand and consumption during the COVID-19 pandemic.
Schlagwörter: 
coronavirus
financial contagion
financial risk management
Granger causality test
network analysis
pandemic risk
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.