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

Donia Aloui , Stéphane Goutte (1) , Khaled Guesmi (2) , Rafla Hchaichi

1 Cemotev - Centre d'études sur la mondialisation, les conflits, les territoires et les vulnérabilités
2 PSB - Paris School of Business

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.

Mots clés: COVID-19; oil price war; health crisis; drop oil price; S&P GS commodities Indexes; TVP-SVAR model; crude oil; natural gas JEL Classification:

Domaines: Economies et finances

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⟩