新冠疫情风险对油价回报的阈值效应。
A threshold effect of COVID-19 risk on oil price returns.
作者信息
Sun Yiguo, Li Delong, Suo Chenyi, Wang Yu
机构信息
Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph, Guelph, Ontario N1G2W1, Canada.
出版信息
Energy Econ. 2023 Apr;120:106618. doi: 10.1016/j.eneco.2023.106618. Epub 2023 Mar 9.
Using U.S. data, we investigate how the COVID-19 pandemic influences oil price returns in an asset pricing framework. Unlike earlier studies, we consider a threshold model to allow for the possibility that COVID-19 risk may not play a role until it reaches a certain level. Based on WTI crude oil spot price data from January 2020 to December 2021, our findings show that oil returns significantly decline with the daily number of COVID-19 deaths but only if the daily death toll exceeds approximately 2100. In addition, a more severe COVID-19 pandemic can substantially increase the exposure of oil returns to various systematic risk factors, which has not been documented in previous literature.
利用美国的数据，我们在资产定价框架下研究了新冠疫情如何影响油价回报。与早期研究不同，我们考虑了一个阈值模型，以考虑新冠疫情风险可能在达到一定水平之前不发挥作用的可能性。基于2020年1月至2021年12月的西德克萨斯中质原油现货价格数据，我们的研究结果表明，油价回报会随着新冠疫情每日死亡人数的增加而显著下降，但前提是每日死亡人数超过约2100人。此外，更严重的新冠疫情会大幅增加油价回报对各种系统性风险因素的敞口，这在以往文献中尚未有记载。
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