Anglia Ruskin Research Online (ARRO)
Browse

The impacts of oil price volatility on financial stress: Is the COVID-19 period different?

Download (3.5 MB)
journal contribution
posted on 2024-02-05, 14:55 authored by Xin Sheng, Won Joong Kim, Rangan Gupta, Qiang Ji
This study analyses the effects of oil price volatility on financial stress with various measures for a large panel of countries. The study places a special focus on comparing the pattern of these effects during the Great Recession period and the COVID-19 recession period. Using the local projection approach, the paper finds that oil price volatility has a positive and persistent effect on financial stress. However, the magnitude and the degree of persistency of oil price volatility impacts on financial stress are much greater for the Great Recession period than for the COVID-19 recession period. A possible explanation for this result would be that COVID-19 is better thought of as a “natural disaster” in which companies under stress were not being mismanaged. Another explanation would be that active intervention by the government through monetary and fiscal channels reduces the sensitivity of financial instability to oil price volatility during the COVID-19 period.

History

Refereed

  • Yes

Volume

85

Page range

520-532

Publication title

International Review of Economics & Finance

ISSN

1059-0560

Publisher

Elsevier BV

File version

  • Published version

Language

  • eng

Item sub-type

Journal Article

Affiliated with

  • School of Economics, Finance and Law Outputs