A threshold effect of COVID-19 risk on oil price returns.

Yiguo Sun, Delong Li, Chenyi Suo, Yu Wang

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In one paragraph

Article in Energy economics, 2023. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Not yet cited in PubMed.

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1 · What the graph read from it

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5 · Who and what money

Authors and funding

4 authors.

Yiguo SunDepartment of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph, Guelph, Ontario N1G2W1, Canada.

Delong LiDepartment of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph, Guelph, Ontario N1G2W1, Canada.

Chenyi SuoDepartment of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph, Guelph, Ontario N1G2W1, Canada.

Yu WangDepartment of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph, Guelph, Ontario N1G2W1, Canada.

Funding

No grant is acknowledged in the PubMed record.

6 · The paper itself

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.

Indexed as

COVID-19Linear asset pricing modelOil returnsThreshold model

Identifiers

PMID36915626

DOI10.1016/j.eneco.2023.106618

PMCPMC9995300

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Read under generation 80e0d062 · epoch 390. Bibliography from PubMed, PubMed Central and OpenAlex; grants from NIH RePORTER; trial links from ClinicalTrials.gov; estimates, votes and beliefs from the OpenQuestion graph.