COVID-19 and oil market risks: Evidence from new datasets

We evaluate the predictive value of the newly constructed six COVID-19 indices for oil market risks from 31st December, 2019 (when COVID-19 started) to 28th December, 2021. We show that, on average, higher values of the COVID-19 indices appear to have heightened oil market risks albeit with the conv...

Full description

Saved in:
Bibliographic Details
Published inMethodsX Vol. 10; p. 102008
Main Authors Salisu, Afees A., Hammed, Yinka S.
Format Journal Article
LanguageEnglish
Published Netherlands Elsevier B.V 01.01.2023
Published by Elsevier B.V
Elsevier
Subjects
C22
C53
COVID-19
Economics/Business
G11
G15
Oil market risk
Oil prices
Predictability
Oil prices
COVID-19
C53
Feasible Quasi-GLS Estimator, Clark and West
C22
Predictability
Oil market risk
G11
G15
Online AccessGet full text

Cover

More Information
Summary:We evaluate the predictive value of the newly constructed six COVID-19 indices for oil market risks from 31st December, 2019 (when COVID-19 started) to 28th December, 2021. We show that, on average, higher values of the COVID-19 indices appear to have heightened oil market risks albeit with the converse for Vaccine index regardless of the choice of oil price proxy. The predictive value of the indices is sustained over multiple out-of-sample forecasts and we attribute the outcome to the increased uncertainties associated with the pandemic. Therefore, measures aimed at mitigating these uncertainties can help moderate the oil market risks.•Testing the predictive value of the newly constructed COVID-19 measures for the out-of-sample forecasting of oil market risks.•Increased uncertainties associated with the pandemic tend to raise the level of oil market risks.•Measures aimed at mitigating these uncertainties can help moderate the oil market risks. [Display omitted]
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 23
ISSN:2215-0161
2215-0161
DOI:10.1016/j.mex.2023.102008