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COVID 19's impact on crude oil and natural gas S&P GS Indexes

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.
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https://halshs.archives-ouvertes.fr/halshs-02613280
Contributor : Stéphane Goutte <>
Submitted on : Wednesday, May 20, 2020 - 2:21:54 AM
Last modification on : Saturday, October 10, 2020 - 3:35:44 AM

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Donia Aloui, Stéphane Goutte, Khaled Guesmi, Rafla Hchaichi. COVID 19's impact on crude oil and natural gas S&P GS Indexes. 2020. ⟨halshs-02613280⟩

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