Unit Root Volatility Due to Covid-19 Epidemic in the Crude Oil Market
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 res...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2021-12-01
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| Series: | Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān |
| Subjects: | |
| Online Access: | https://jiee.atu.ac.ir/article_14680_182835d4b53d677d74ebf432943c7a84.pdf |
| _version_ | 1797369220479057920 |
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| author | mojtaba rostami Alireza Najjarpour |
| author_facet | mojtaba rostami Alireza Najjarpour |
| author_sort | mojtaba rostami |
| collection | DOAJ |
| description | 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 |
| first_indexed | 2024-03-08T17:43:28Z |
| format | Article |
| id | doaj.art-117e9f45be4a44aaa8daf13b780c5ca3 |
| institution | Directory Open Access Journal |
| issn | 2423-5954 2476-6437 |
| language | fas |
| last_indexed | 2024-03-08T17:43:28Z |
| publishDate | 2021-12-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān |
| spelling | doaj.art-117e9f45be4a44aaa8daf13b780c5ca32024-01-02T10:49:37ZfasAllameh Tabataba'i University PressPizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān2423-59542476-64372021-12-01114113316210.22054/jiee.2022.67057.190014680Unit Root Volatility Due to Covid-19 Epidemic in the Crude Oil Marketmojtaba rostami0Alireza Najjarpour1Postdoctoral Researcher, Iran National Science Foundation, Tehran, IranPh.D. Student of Finance, Faculty of Administrative Science and Economics, University of Isfahan, Isfahan, IranThe 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 carefullyhttps://jiee.atu.ac.ir/article_14680_182835d4b53d677d74ebf432943c7a84.pdfunit rootvolatile persistencecrude oil pricebrent oilwti oil |
| spellingShingle | mojtaba rostami Alireza Najjarpour Unit Root Volatility Due to Covid-19 Epidemic in the Crude Oil Market Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān unit root volatile persistence crude oil price brent oil wti oil |
| title | Unit Root Volatility Due to Covid-19 Epidemic in the Crude Oil Market |
| title_full | Unit Root Volatility Due to Covid-19 Epidemic in the Crude Oil Market |
| title_fullStr | Unit Root Volatility Due to Covid-19 Epidemic in the Crude Oil Market |
| title_full_unstemmed | Unit Root Volatility Due to Covid-19 Epidemic in the Crude Oil Market |
| title_short | Unit Root Volatility Due to Covid-19 Epidemic in the Crude Oil Market |
| title_sort | unit root volatility due to covid 19 epidemic in the crude oil market |
| topic | unit root volatile persistence crude oil price brent oil wti oil |
| url | https://jiee.atu.ac.ir/article_14680_182835d4b53d677d74ebf432943c7a84.pdf |
| work_keys_str_mv | AT mojtabarostami unitrootvolatilityduetocovid19epidemicinthecrudeoilmarket AT alirezanajjarpour unitrootvolatilityduetocovid19epidemicinthecrudeoilmarket |