How do mobility restrictions and social distancing during COVID-19 affect oil price?
Airline complex network
Apple mobility trends
COVID-19
Extreme value theory
Granger causality
Oil price
Quantile regression
Journal
Journal of statistical theory and practice
ISSN: 1559-8608
Titre abrégé: J Stat Theory Pract
Pays: United States
ID NLM: 101513487
Informations de publication
Date de publication:
2022
2022
Historique:
accepted:
08
02
2022
entrez:
5
4
2022
pubmed:
6
4
2022
medline:
6
4
2022
Statut:
ppublish
Résumé
This paper provides an analysis of the effect of the COVID-19 outbreak on the crude oil price. Using a newly developed air mobility index and Apple's driving trends index, we assess the effect of human mobility restrictions and social distancing during the COVID-19 pandemic on the crude oil price. We apply a quantile regression model, which evaluates different quantiles of the crude oil price. We also conduct an extreme value modeling, which examines the lower tail of the crude oil price distribution. We find that both the air mobility index and driving trends index significantly influence lower and upper quantiles of the WTI crude oil price. The extreme value models suggest that there is a potential risk of a negative crude oil price for a sudden extreme fall of air mobility.
Identifiants
pubmed: 35378970
doi: 10.1007/s42519-022-00247-x
pii: 247
pmc: PMC8967091
doi:
Types de publication
Journal Article
Langues
eng
Pagination
22Informations de copyright
© Grace Scientific Publishing 2022.
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