Unit Root Volatility Due to Covid-19 Epidemic in the Crude Oil Market

Rostami, Mojtaba; Najjarpour, Alireza

doi:10.22054/jiee.2022.67057.1900

Document Type : Research Paper

Authors

¹ Postdoctoral Researcher, Iran National Science Foundation, Tehran, Iran

² Ph.D. Student of Finance, Faculty of Administrative Science and Economics, University of Isfahan, Isfahan, Iran

https://doi.org/10.22054/jiee.2022.67057.1900

Abstract

The price of crude oil is one of the most important indicators of the global economy, which is monitored by policymakers, producers, consumers, and participants in financial markets. Oil prices are changing course depending on economic conditions, which is why it is so volatile. The knowledge of researchers, policymakers, and stakeholders about the impact of crises on the oil market provides better control over its negative consequences. Studies show that as a result of various crises, the Volatility Persistence of the oil market is very high. Therefore, it makes sense to consider the hypothesis of a unit root in the Volatility shocks of this market. In the present study, the long-term Volatility Persistence shocks due to the Covid-19 epidemic crisis in the Brent and WTI oil markets, which are the two criteria for determining global oil prices, are investigated using a test proposed by Lee and Yu (2010). The results of this study indicate the existence of a unit root in oil market turbulence. Therefore, the oil market and the economic climate are long-term affected by the effects of this crisis. This can have a significant impact on the revenues of exporting countries and investors in the crude oil sector. Thus, market players and governments need to assess the consequences of this crisis more carefully

Keywords

20.1001.1.24235954.1400.11.41.5.3

Main Subjects

• سیاستگذاری‌های اقتصادی و مالی در حوزه‌های فوق‌الذکر در سطوح ملی، منطقه‌ای و جهانی

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Unit Root Volatility Due to Covid-19 Epidemic in the Crude Oil Market

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Volume 11, Issue 41 - Serial Number 4January 2023Pages 133-162

Volume 11, Issue 41 - Serial Number 4
January 2023
Pages 133-162