Causal Nexus Between COVID-19 Risk and Global Oil Price Shocks: Evidence From a Time and Frequency Causality Approach-Reference-Cited by-同舟云学术

Causal Nexus Between COVID-19 Risk and Global Oil Price Shocks: Evidence From a Time and Frequency Causality Approach

Published:2024-02-18 Issue:Early View Volume:5 Page:
ISSN:2652-6433
Container-title:Energy RESEARCH LETTERS
language:en
Short-container-title:

Author:

Sahoo Pradipta Kumar¹^ORCID,Pahi Debasis²,Guru Biplab Kumar³,Mohanty Nirupama²

Affiliation:

1. Narasingh Choudhury Autonomous College (Utkal University), India

2. KIIT University, India

3. Rama Devi Women's University, India

Abstract

This paper examines the causal relationship between global oil price returns and aggregate COVID-19 index and COVID-19 uncertainty index by using daily data from 31st December 2020 to 28th April 2021. The results from the causality test show unidirectional causality from aggregate COVID-19 index to oil price returns and from uncertainty index to oil price returns. Furthermore, the frequency domain causality reveals the same results for both short and long periods. From a policy perspective, investors and industry people should pay attention to the uncertainty caused by COVID-19.

Publisher

Asia-Pacific Applied Economics Association

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