Title: Oil market crashes: from the subprime crisis to the COVID-19 pandemic

Authors: Donia Aloui; Rafla Hchaichi; Khaled Guesmi

Addresses: Carthage Business School, University of Tunis Carthage, Tunis, Tunisia; Communauté Université Grenoble Alpes, Grenoble, France ' Carthage Business School, University of Tunis Carthage, Tunis, Tunisia ' Paris School of Business-PSB, Paris, Rennes, France

Abstract: This paper aims to examine whether and how the COVID-19 crisis is similar to previous economic crises. Using a TVP-BVAR-SV model, we compare the responses of WTI-oil and natural gas prices in the face of the COVID-19 crisis to that of the 2008 global economic crisis and the 2014 Asian crisis. The findings confirm a remarkable similarity of WTI-oil prices behaviour between 2008 and 2020 in terms of volatility and responses to the petroleum consumption shocks. However, the natural gas market remains relatively stable during COVID-19 with modest responses to the shocks. The predictive probability density shows a high predictive variance indicating extreme uncertainty surrounding the COVID-19 period.

Keywords: COVID-19; subprime crisis; oil price war; negative WTI oil price; natural gas; TVP-BVAR-SV model; stochastic volatility; forecasting.

DOI: 10.1504/IJGEI.2024.140746

International Journal of Global Energy Issues, 2024 Vol.46 No.5, pp.419 - 435

Received: 01 Jul 2021
Accepted: 25 Oct 2022
Published online: 02 Sep 2024 *

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