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The Impacts of Oil Price Volatility on Financial Stress: Is the COVID-19 Period Different?

Author

Listed:
  • Xin Sheng

    (Lord Ashcroft International Business School, Anglia Ruskin University, Chelmsford, United Kingdom)

  • Won Joong Kim

    (Department of Economics, Konkuk University, Seoul, Republic of Korea)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa)

Abstract

Utilising both high frequency (daily) and monthly data this study analyses the effects of oil price volatility on financial stress with various measures. The study places a special focus on comparing the pattern of these effects during the Great Recession period and the COVID-19 recession period. Using the local projection approach, the paper finds that oil price volatility has a positive and persistent effect on financial stress. However, the magnitude and the degree of persistency of oil price volatility impacts on financial stress are much greater for the Great Recession period than for the COVID-19 recession period. A possible explanation for this result would be that the COVID-19 is better thought of as a “natural disaster†in which companies in stress were not being mismanaged. Another explanation would be that active intervention by the government through monetary and fiscal channels reduces the sensitivity of financial instability to oil price volatility during the COVID-19 period.

Suggested Citation

  • Xin Sheng & Won Joong Kim & Rangan Gupta, 2021. "The Impacts of Oil Price Volatility on Financial Stress: Is the COVID-19 Period Different?," Working Papers 202184, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:202184
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    Keywords

    Oil price volatility; financial stress index (FSI); local projection; impulse response; global financial crisis (GFC); COVID-19 recession;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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