Khalfaoui Rabeh, Solarin Sakiru Adebola, Al-Qadasi Adel, Ben Jabeur Sami
Laboratoire de recherche en Économie et Gestion (LR18ES27), FSEG, Sfax, Tunisia.
School of Economics, University of Notthingham Malaysia, Jalan Broga, 43500 Semenyih, Selangor Malaysia.
Ann Oper Res. 2022;313(1):105-143. doi: 10.1007/s10479-021-04446-w. Epub 2022 Jan 5.
In this study we examine the time-varying causal effect of the novel COVID-19 pandemic in the major oil-importing and oil-exporting countries on the oil price changes, stock market volatilities and the economic uncertainty using the wavelet coherence and network analysis. During the period of the pandemic, we explore such relationship by resorting to the wavelet coherence and gaussian graphical model (GGM) frameworks. Wavelet analysis enables us to measure the dynamics of the causal effect of the novel covid-19 pandemic in the time-frequency space. Regarding the findings displayed herein, we first found that the COVID-19 pandemic has a severe influence on oil prices, stock market indices, and the economic uncertainty. Second the intensity of the causality effect is stronger in the longer horizon than in the short ones, suggesting that the causality exercise continues. Our findings also provide evidence that the COVID-19 pandemic and oil price changes in oil-importing countries mirror those in oil-exporting countries and vice versa. Further, the COVID-19 pandemic has a profound immediate time-frequency effect on the US, Japanese, South Korean, Indian, and Canadian economic uncertainties. A better understanding of oil and stock market prices in the oil-importing and oil-exporting countries is vital for investors and policymakers, specially since the novel unprecedented COVID-19 crisis has been recognized among the most serious ever happened. Thus, the findings suggest that the authorities should strongly take efficient actions to minimize risk.
在本研究中，我们使用小波相干分析和网络分析，考察了新型冠状病毒肺炎疫情在主要石油进口国和出口国对油价变化、股市波动和经济不确定性的时变因果效应。在疫情期间，我们借助小波相干分析和高斯图形模型（GGM）框架来探究这种关系。小波分析使我们能够在时频空间中衡量新型冠状病毒肺炎疫情因果效应的动态变化。关于本文展示的研究结果，我们首先发现，新型冠状病毒肺炎疫情对油价、股市指数和经济不确定性有严重影响。其次，因果效应的强度在较长时间范围内比在短时间范围内更强，这表明因果关系持续存在。我们的研究结果还表明，石油进口国的新型冠状病毒肺炎疫情和油价变化与石油出口国的情况相互反映，反之亦然。此外，新型冠状病毒肺炎疫情对美国、日本、韩国、印度和加拿大的经济不确定性具有深远的即时性时频效应。对于投资者和政策制定者而言，更好地理解石油进口国和出口国的石油及股票市场价格至关重要，特别是因为新型冠状病毒肺炎这场前所未有的危机被认为是有史以来最严重的危机之一。因此，研究结果表明，当局应大力采取有效行动以降低风险。
