Impact of COVID-19 pandemic on crude oil prices: Evidence from Econophysics approach

Gharib, Cheima; Mefteh‐Wali, Salma; Serret, Vanessa; Jabeur, Sami Ben

doi:10.1016/j.resourpol.2021.102392

Cited by 50 publications

(27 citation statements)

References 74 publications

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“…also shows the results of the Jarque-Bera test, which indicate that the distribution of the variables is not distributed normally, in line with Villarreal-Samaniego[2], Bildirici et al[8], Ali et al[25], Si et al[28], Wang et al[36], Mensi et al[38], Akhtaruzzaman et al[69], Gharib et al[71],Khan et al …”

supporting

confidence: 63%

How Energy Sector Reacted to COVID‐19 Pandemic? Empirical Evidence from an Emerging Market Economy

Armeanu

Joldeș

Gherghina

2022

Discrete Dynamics in Nature and Society

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The European Union is facing the highest natural gas prices in 15 years, owing largely to an upward trend in electricity prices, which is also on an uphill curve. However, the rise in electricity and natural gas prices is a widespread phenomenon that is being felt not only in Europe but also globally, as economic activity resumes and energy consumption returns to prepandemic levels. Consequently, this paper investigates how COVID-19 influenced the Romanian energy market. To accomplish our goal, we used daily data for variables and market indices that characterize COVID-19 and the energy market from July 1 to December 21, 2021. The results of the GARCH (1, 1) model estimation show that the major performer in Romania’s energy allocation and supply market had the highest conditional variance. In addition, the ARDL model was chosen because of the variable integration mix (order 0 and 1), as well as the VAR and the Granger causality framework. The empirical results of ARDL models provide the first conclusion of the analysis, indicating that the number of short-term connections was greater than long-term connections, which is also explained by the presence of short episodes of high volatility recorded in the investigated time interval. Another conclusion drawn from this study is that COVID-19 cases registered in Europe and around the world have made a significant contribution to explaining the evolution of the energy market, owing to the large number of cases registered in these regions and the level of contagion transmitted from these markets to the energy market. Furthermore, based on the Granger causality test results, only one-way causal relationships were identified from the variables that capture the evolution of the COVID-9 pandemic to the yields of Romanian energy companies. The novelty of this article is the examination of the impact of COVID-19 on the energy market throughout the fourth wave of coronavirus using the GARCH framework, the ARDL model, which allows for the capture of both short- and long-term reactions, the variance decomposition, and the Granger causality test. Because of the ongoing changes in the pandemic’s evolution, additional research on this topic is undoubtedly on the horizon in the near future.

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supporting

confidence: 63%

How Energy Sector Reacted to COVID‐19 Pandemic? Empirical Evidence from an Emerging Market Economy

Armeanu

Joldeș

Gherghina

2022

Discrete Dynamics in Nature and Society

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“…The findings are also hugely similar: the augmented equation is yet meaningful forecast content in the sample. However, the Meese-Rogoff conundrum is available from the sample ( Gharib et al, 2021 ); ( Mensi et al, 2021 ).…”

Section: Methodsmentioning

confidence: 99%

Testing oil price volatility during Covid-19: Global economic impact

Baloch²,

Saydaliev³

et al. 2022

Resources Policy

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“…Hence, the long-term impact of the number of new deaths in France related to SARS-CoV-2 on Fuel Oil Futures is asymmetric. According to Gharib, Mefteh-Wali, 64 the pandemic engendered a decline in worldwide manufacturing, thus triggering smaller oil consumption which diminished the barrel price. As well, Bourghelle, Jawadi 65 argued that the oil sector was affected by decreased worldwide demand for crude oil due to heightened insecurity, as well as by oil deal conflict among the main oil-producing countries.…”

Section: Resultsmentioning

confidence: 99%

Evidence from the nonlinear autoregressive distributed lag model on the asymmetric influence of the first wave of the COVID-19 pandemic on energy markets

Armeanu

Gherghina

Vasile

et al. 2022

Energy & Environment

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The COVID-19 pandemic remained a global risk factor and integrated into various means in the functioning of companies, economies and financial markets. Therefore, this paper investigates how COVID-19 influences the energy market in the main financial markets (China, France, Germany, Italy, Spain and the United States), using time series from February 28, 2020, to November 3, 2020. The goal of this research is to investigate the asymmetric impact of COVID-19 from leading financial markets on energy commodities. In this regard, the non-linear auto-regressive distributed lag (NARDL) framework is employed to capture the long-run asymmetric reactions. The econometric design allows to explore the long-term asymmetric reactions of dependent variables through positive and negative partial sum decompositions of changes in the explanatory variables. The quantitative results show a significant long-run asymmetric interdependence between the number of new SARS-CoV-2 incidence and mortality and the daily percent change in close price of future contracts pertaining to Brent oil, crude oil WTI, carbon emissions, gasoline RBOB, heating oil, Chukyo kerosene, and natural gas. Furthermore, no asymmetry is found in the case of ethanol and fuel oil futures. The novelty of this article is the study of the impact of COVID-19 on the energy sector during the first two waves of COVID-19 by applying the NARDL model that allows to capture long-term asymmetric reactions. Certainly, further research on this topic is necessary due to the permanent shifts in the pandemic, as well as the availability of longer data periods on COVID-19.

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Impact of COVID-19 pandemic on crude oil prices: Evidence from Econophysics approach

Cited by 50 publications

References 74 publications

How Energy Sector Reacted to COVID‐19 Pandemic? Empirical Evidence from an Emerging Market Economy

How Energy Sector Reacted to COVID‐19 Pandemic? Empirical Evidence from an Emerging Market Economy

Testing oil price volatility during Covid-19: Global economic impact

Evidence from the nonlinear autoregressive distributed lag model on the asymmetric influence of the first wave of the COVID-19 pandemic on energy markets

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