The Effect of Covid-19 Crisis on Oil Prices

Öz

The pandemic, which emerged in Wuhan, China in December 2019, has deeply affected the economies of countries at the global level. This study aims to investigate the impact of the Covid-19 pandemic on oil prices. The model is built on two separate periods as the shock period (23 January 2020- 31 December 2020) and the vaccination period (4 January 2021- 31 August 2021). The study was developed on the basis of Salisu, Ebuh and Usman’s (2020) study examining the causality relationship between oil prices and stock returns in the pre- and post-pandemic period of Covid-19. In the study, Johansen Cointegration test was applied using oil prices (LOIL), global daily confirmed Covid-19 case numbers (LCOV) and US dollar index (LDXY) variables. It has been seen that the series have unit roots and are cointegrated in the long run. FMOLS and CCR tests were applied to determine the degree and direction of the long-term effect among the variables. In conclusion, the effect of the pandemic on oil prices seems to have a more moderate negative effect in the vaccination period compared to the shock period. Countries should accelerate their vaccination efforts to reduce the effects of the pandemic.

Anahtar Kelimeler

• Covid-19
• Oil Price
• Dollar Index

Covıd-19 Krizinin Petrol Fiyatları Üzerine Etkisi

Öz

Çin’in Wuhan şehrinde Aralık 2019’da ortaya çıkan pandemi küresel düzeyde ülkelerin ekonomilerini derinden etkilemiştir. Bu çalışma, Covid-19 pandemisinin petrol fiyatları üzerine etkisini araştırmayı amaçlamaktadır. Model, şok dönemi (23 Ocak 2020- 31 Aralık 2020) ve aşılama dönemi (4 Ocak 2021- 31 Ağustos 2021) olarak iki ayrı dönem üzerinde kurgulanmıştır. Çalışma, Salisu, Ebuh ve Usman’nın (2020) Covid-19’un pandemi ilanı öncesi ve sonrası dönemde petrol fiyatları ile hisse senedi getirileri arasındaki nedensellik ilişkisini inceleyen çalışması temel alınarak geliştirilmiştir. Çalışmada petrol fiyatları (LOIL), küresel günlük teyit edilmiş Covid-19 vaka sayıları (LCOV) ve ABD dolar endeksi (LDXY) değişenleri kullanılarak Johansen Eşbütünleşme testi uygulanmıştır. Serilerin birim köke sahip olduğu ve uzun dönemde eşbütünleşik olduğu görülmüştür. Değişkenler arasında uzun dönem etkinin derecesi ve yönünü belirlemek için FMOLS ve CCR testleri uygulanmıştır. Sonuç olarak, pandeminin petrol fiyatlarına etkisi aşılama döneminde şok dönemine kıyasla daha ılımlı negatif etkiye sahip olduğu görülmektedir. Ülkeler pandeminin etkilerini azaltmak için aşılama çalışmalarına hız vermelidirler.

Anahtar Kelimeler

• Covid-19
• Petrol Fiyatları
• Dolar Endeksi

Kaynakça

1. Ahmet, Ş. İ. T. ve Telek, C. (2020). Covid-19 pandemisinin altın ons fiyatı ve ABD Dolar Endeksi üzerine etkileri [Özel Sayı]. Gaziantep University Journal of Social Sciences, 19(COVID-19 Special Issue), 1-13. Erişim adresi: https://dergipark.org.tr/tr/pub/jss
2. Ajami, R. (2020). Globalization, the challenge of COVID-19 and oil price uncertainty. Journal of Asia-Pacific Business, 21(2), 77-79. https://doi.org/10.1080/10599231.2020.1745046
3. Albu, L. L., Preda, C. I., Lupu, R., Dobrotă, C. E., Călin, G. M. and Boghicevici, C. M. (2020). Estimates of dynamics of the Covid-19 pandemic and of its impact on the economy. Romanian Journal of Economic Forecasting, 23(2), 5-17. Retrieved from https://ipe.ro/
4. Albulescu, C. (2020). Coronavirus and oil price crash (SSRN Paper No. 3553452). http://dx.doi.org/10.2139/ssrn.3553452
5. Albulescu, C. T. (2021). COVID-19 and the United States financial markets’ volatility. Finance Research Letters, 38, 101699. https://doi.org/10.1016/j.frl.2020.101699
6. Almeida, V., Barrios, S., Christl, M., De Poli, S., Tumino, A. and van der Wielen, W. (2021). The impact of COVID-19 on households´ income in the EU. The Journal of Economic Inequality, 19, 413-431. https://doi.org/10.1007/s10888-021-09485-8
7. Archick, K., Belkin, P., Garding, S. E. and Mix, D. E. (2021). Europe, COVID-19, and US relations. Current Politics and Economics of Europe, 32(1), 151-157. Retrieved from https://pesquisa.bvsalud.org/
8. Atkeson, A. (2020). On using SIR models to model disease scenarios for COVID-19. Quarterly Review, 41(1), 1-35. Retrieved from https://fedinprint.org/

9. Aydın, Y. ve Araman, S. (2018). Konjonktür ve kriz teorileri: Marx, Keynes ve Schumpeter. Nişantaşı Üniversitesi Sosyal Bilimler Dergisi, 6(1), 45-67. Erişim adresi: https://dergipark.org.tr/tr/pub/nisantasisbd
10. Bakar, N. A. and Rosbi, S. (2020). Effect of coronavirus disease (COVID-19) to tourism industry. International Journal of Advanced Engineering Research and Science, 7(4), 189-193. doi:10.22161/ijaers.74.23
11. Bakas, D. and Triantafyllou, A. (2020). Commodity price volatility and the economic uncertainty of pandemics. Economics Letters, 193, 109283. https://doi.org/10.1016/j.econlet.2020.109283
12. Baker, S. R., Bloom, N., Davis, S. J., Kost, K. J., Sammon, M. C. and Viratyosin, T. (2020). The unprecedented stock market impact of COVID-19 (NBER Working Paper No. w26945). doi:10.3386/w26945
13. Barro, R., Ursua, J. and Weng, J. (2020). Coronavirus meets the great influenza pandemic (NBER Working Paper No. 26866). doi:10.3386/w26866
14. Battistini, N. and Stoevsky, G. (2020). Alternative scenarios for the impact of the COVID-19 pandemic on economic activity in the Euro Area. Economic Bulletin Boxes, 3. Retrieved from https://www.ecb.europa.eu/
15. Benatar, S. R., Gill, S. and Bakker, I. (2011). Global health and the global economic crisis. American Journal of Public Health, 101(4), 646-653. https://doi.org/10.2105/AJPH.2009.188458
16. Bingül, B. A., Türk, A. ve Ak, R. (2020). Covid-19 bağlamında tarihteki büyük salgınlar ve ekonomik sonuçları. Electronic Turkish Studies, 15(4), 189-200. Erişim adresi: https://turkishstudies.net/turkishstudies
17. Birleşmiş Milletler Kalkınma Programı. (2021). Kalkınma programı. Erişim adresi: https://www.tr.undp.org/content/turkey/tr/home/coronavirus.html.
18. Boettke, P. and Powell, B. (2021). The political economy of the COVID‐19 pandemic. Southern Economic Journal, 87(4), 1090-1106. https://doi.org/10.1002/soej.12488
19. Chen, X. and Chiang, T. C. (2020). Empirical investigation of changes in policy uncertainty on stock returns -Evidence from China’s market. Research in International Business and Finance, 53, 101183. https://doi.org/10.1016/j.ribaf.2020.101183
20. Correia, S., Luck, S. and Verner, E. (1918). Pandemics depress the economy, public health interventions do not: Evidence from the 1918 flu (SSRN Paper). http://dx.doi.org/10.2139/ssrn.3561560
21. Coudert, V. and Mignon, V. (2016). Reassessing the empirical relationship between the oil price and the Dollar. Energy Policy, 95, 147-157. https://doi.org/10.1016/j.enpol.2016.05.002
22. De la Fuente-Mella, H., Rubilar, R., Chahuán-Jiménez, K. and Leiva, V. (2021). Modeling COVID-19 cases statistically and evaluating their effect on the economy of countries. Mathematics, 9(13), 1558. https://doi.org/10.3390/math9131558
23. Devpura, N. and Narayan, P. K. (2020). Hourly oil price volatility: The role of COVID-19. Energy Research Letters, 1(2), 13683. https://doi.org/10.46557/001c.13683
24. Diniz-Maganini, N., Diniz, E. H. and Rasheed, A. A. (2021). Bitcoin’s price efficiency and safe haven properties during the COVID-19 pandemic: A comparison. Research in International Business and Finance, 58, 101472. https://doi.org/10.1016/j.ribaf.2021.101472
25. Economides, G., Philippopoulos, A. and Vassilatos, V. (2021). The impact of the lockdown on the Greek economy and the role of the recovery fund. The BE Journal of Macroeconomics, Advance online publication. https://doi.org/10.1515/bejm-2020-0267
26. Erdem, O. (2020). Freedom and stock market performance during Covid-19 outbreak. Finance Research Letters, 36, 101671. doi:10.1016/j.frl.2020.101671
27. Feldkircher, M., Huber, F. and Pfarrhofer, M. (2021). Measuring the effectiveness of US monetary policy during the COVID‐19 recession. Scottish Journal of Political Economy, 68(3), 287-297. https://doi.org/10.1111/sjpe.12275
28. Fernandes, N. (2020). Economic effects of coronavirus outbreak (COVID-19) on the world economy (IESE Business School Working Paper No. WP-1240-E). http://dx.doi.org/10.2139/ssrn.3557504
29. Fornaro, L. and Wolf, M. (2020). Covid-19 coronavirus and macroeconomic policy (Centre for Economic Policy Research). Retrieved from https://cepr.org/active/publications/discussion_papers /dp.php?dpno=14529
30. Gamage, G. G. K. N. (2021). Analysis the impact of COVID-19 on Sri Lanka economy (SSRN Paper No. 3908051). http://dx.doi.org/10.2139/ssrn.3908051
31. Harjoto, M. A., Rossi, F., Lee, R. and Sergi, B. S. (2021). How do equity markets react to COVID-19? Evidence from emerging and developed countries. Journal of Economics and Business, 115, 105966. https://doi.org/10.1016/j.jeconbus.2020.105966
32. International Energy Agency. (2020). Global energy review 2020. Retrieved from https://www.iea.org/countries/ukraine
33. International Monetary Fund. (2020). IMF makes available 50 billion to help address coronavirus. Retrieved from https://www.imf.org/en/News/Articles/2020/03/04/sp030420-imf-makes-available-50-billion-to-help-address-coronavirus
34. Investing Data. (2021a). Investing data crude oil [Dataset]. Retrieved from https://www.investing.com/commodities/crude-oil
35. Investing Data. (2021b). Investing data dolar index [Dataset]. Retrieved from https://www.investing.com/commodities/crude-oil
36. Ivanov, D. (2021). Exiting the COVID-19 pandemic: After-shock risks and avoidance of disruption tails in supply chains. Annals of Operations Research, 1-18. https://doi.org/10.1007/s10479-021-04047-7
37. Jena, P. R., Majhi, R., Kalli, R., Managi, S. and Majhi, B. (2021). Impact of COVID-19 on GDP of major economies: Application of the artificial neural network forecaster. Economic Analysis and Policy, 69, 324-339. https://doi.org/10.1016/j.eap.2020.12.013
38. Jeris, S. S. and Nath, R. D. (2020). Covid-19, oil price and UK economic policy uncertainty: Evidence from the ARDL approach. Quantitative Finance and Economics, 4(3), 503-514. doi:10.3934/QFE.2020023
39. Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. https://doi.org/10.1016/0165-1889(88)90041-3
40. Johansen, S. (1995). Likelihood-based inference in cointegrated vector autoregressive models. Oxford: Oxford University Press. doi:10.1093/0198774508.001.0001
41. Kilian, L. and Park, C. (2009). The impact of oil price shocks on the US stock market. International Economic Review, 50(4), 1267-1287. https://doi.org/10.1111/j.1468-2354.2009.00568.x
42. Kubota, S. (2021). The macroeconomics of Covid-19 exit strategy: The case of Japan. The Japanese Economic Review, 72(3), 1-32. https://doi.org/10.1007/s42973-021-00091-x
43. Kumar, J. J. A. and Robiyanto, R. (2021). The impact of gold price and US dollar index: The volatile case of Shanghai stock exchange and Bombay stock exchange during the crisis of Covid-19. Jurnal Keuangan dan Perbankan, 25(3), 508-531. doi:10.26905/jkdp.v25i3.5142
44. Kumar, V. (2020). Indian tourism industry and COVID-19: Present scenario. Journal of Tourism and Hospitality Education, 10, 179-185. https://doi.org/10.3126/jthe.v10i0.28768
45. Loayza, N. and Pennings, S. M. (2020). Macroeconomic policy in the time of COVID-19: A primer for developing countries (World Bank Research and Policy Briefs). Retrieved from https://openknowledge.worldbank.org/bitstream/handle/10986/33540/Macroeconomic-Policy-in-the-Time-of-COVID-19-A-Primer-for-Developing-Countries.pdf?sequence=1
46. Luo, C. M. (2021). The COVID-19 crisis: The EU recovery fund and its implications for European integration -A paradigm shift. European Review, Advance online publication. https://doi.org/10.1017/S106279872100003X
47. Malliet, P., Reynès, F., Landa, G., Hamdi-Cherif, M. and Saussay, A. (2020). Assessing short-term and long-term economic and environmental effects of the COVID-19 crisis in France. Environmental and Resource Economics, 76(4), 867-883. https://doi.org/10.1007/s10640-020-00488-z
48. McKibbin, W. and Fernando, R. (2021). The global macroeconomic impacts of COVID-19: Seven scenarios. Asian Economic Papers, 20(2), 1-30. https://doi.org/10.1162/asep_a_00796
49. Merlin, M. L. and Chen, Y. (2021). Analysis of the factors affecting electricity consumption in DR Congo using fully modified ordinary least square (FMOLS), dynamic ordinary least square (DOLS) and canonical cointegrating regression (CCR) estimation approach. Energy, 232(4), 121025. https://doi.org/10.1016/j.energy.2021.121025
50. Narayan, P. K. (2020). Oil price news and COVID-19 -Is there any connection? Energy Research Letters, 1(1), 13176. https://doi.org/10.46557/001c.13176
51. Nuruzade, J. (2019). Ekonomik kriz dönemlerinde aile bireylerinde kararların optimize edilmesi ve krizi atlatmada doğru dengenin oyun teorisi açısından sağlanması: 2015 Azerbaycan kriz dönemi örneği (Yayımlanmamış yüksek lisans tezi). Sakarya Üniversitesi Sosyal Bilimler Enstitüsü.
52. Oktar, S. ve Dalyanci, L. (2010). Finansal kriz teorileri ve Türkiye ekonomisinde 1990 sonrası finansal krizler. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 29(2), 1-22. Erişim adresi: https://dergipark.org.tr/en/pub/muiibd
53. Osterwald-Lenum, M. (1992). A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics. Oxford Bulletin of Economics and Statistics, 54(3), 461-472. Retrieved from http://ecsocman.hse.ru/
54. Ouliaris, S. and Rochon, C. (2021). Pre-and post-global financial crisis policy multipliers. Journal of Macroeconomics,70, 103370. https://doi.org/10.1016/j.jmacro.2021.103370
55. Ozili, P. (2020). COVID-19 in Africa: Socio-economic impact, policy response and opportunities. International Journal of Sociology and Social Policy, Advance online publication. https://doi.org/10.1108/IJSSP-05-2020-0171
56. Ozili, P. K. and Arun, T. (2020). Spillover of COVID-19: Impact on the global economy (SSRN Paper No. 3562570). http://dx.doi.org/10.2139/ssrn.3562570
57. Özçelik, Ö. ve Sunay, E. B. (2018). Schumpeter ve Ülgener’in iktisadi krizlere bakış açıları. FSM İlmî Araştırmalar İnsan ve Toplum Bilimleri Dergisi, (12), 29-61. Erişim adresi: https://dergipark.org.tr/tr/pub/fsmia
58. Park, J. Y. (1992). Canonical cointegrating regressions. Econometrica: Journal of the Econometric Society,60(1), 119-143. https://doi.org/10.2307/2951679
59. Phillips, P. C and Hansen, B. E. (1990). Statistical inference in instrumental variables regression with I(1) processes. The Review of Economic Studies, 57(1), 99-125. https://doi.org/10.2307/2297545
60. Prabheesh, K. P., Padhan, R. and Garg, B. (2020). COVID-19 and the oil price–stock market nexus: Evidence from net oil-importing countries. Energy Research Letters, 1(2), 13745. https://doi.org/10.46557/001c.13745
61. Rogerson, C. M. and Rogerson, J. M. (2020). COVID-19 tourism impacts in South Africa: Government and industry responses. GeoJournal of Tourism and Geosites, 31(3), 1083-1091. https://doi.org/10.30892/gtg.31321-544
62. Saboori, B., Sapri, M. and bin Baba, M. (2014). Economic growth, energy consumption and CO2 emissions in OECD (Organization for Economic Co-operation and Development)'s transport sector: A fully modified bi-directional relationship approach. Energy, 66, 150-161. https://doi.org/10.1016/j.energy.2013.12.048
63. Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Economics, 21(5), 449-469. https://doi.org/10.1016/S0140-9883(99)00020-1
64. Salisu, A. A., Ebuh, G. U. and Usman, N. (2020). Revisiting oil-stock nexus during COVID-19 pandemic: Some preliminary results. International Review of Economics & Finance, 69, 280-294. doi:10.1016/j.iref.2020.06.023
65. Sansa, N. A. (2020). The impact of the COVID-19 on the financial markets: Evidence from China and USA. Electronic Research Journal of Social Sciences and Humanities, 2(2), 29-39. http://dx.doi.org/10.2139/ssrn.3567901
66. Sarı, S. S. and Kartal, T. (2020). The relationship of COVID-19 pandemic with gold prices, oil prices and VIX index. Erzincan University Journal of Social Sciences Institute, 13(1), 93-109. doi:10.46790/erzisosbil.748181
67. Sciencedaily. (2009). 1918 flu. Retrieved from https://www.sciencedaily.com/releases/2009/04/090430111640.htm.
68. Shankar, U. (2021). Impact of quantitative easing on economic crisis during pandemic. International Journal of Modern Agriculture, 10(2), 3342-3350. Retrieved from http://modern-journals.com/
69. Topcu, M. and Gulal, O. S. (2020). The impact of COVID-19 on emerging stock markets. Finance Research Letters, 36, 101691. https://doi.org/10.1016/j.frl.2020.101691
70. Topcu, M., Yagli, I. and Emirmahmutoglu, F. (2021). COVID-19 and stock market volatility: A time-varying perspective. Economics Bulletin, 41(3), 1681-1689. Retrieved from http://www.economicsbulletin.com/
71. Uğur, N. G. and Akbıyık, A. (2020). Impacts of COVID-19 on global tourism industry: A cross-regional comparison. Tourism Management Perspectives, 36, 100744. https://doi.org/10.1016/j.tmp.2020.100744
72. Uslu, H. (2020). İstihdam yaratmayan ekonomik büyüme: Türkiye için Okun Yasası çerçevesinde ekonometrik bir analiz. Optimum Ekonomi ve Yönetim Bilimleri Dergisi, 7(1), 101-126. Erişim adresi: https://dergipark.org.tr/tr/pub/optimum
73. Wang, J. and Wang, X. (2021). Covid-19 and financial market efficiency: Evidence from an entropy-based analysis. Finance Research Letters, 42, 101888. https://doi.org/10.1016/j.frl.2020.101888
74. Wang, W. and Enilov, M. (2020). The global impact of COVID-19 on financial markets (SSRN Paper No. 3588021). http://dx.doi.org/10.2139/ssrn.3588021
75. World Health Organization. (2021). Covid-19 istatistikleri. Erişim adresi: https://covid19.who.int/
76. Worldometers. (2021). Worldometers Covid-19 istatistikleri [Dataset]. Erişim adresi: https://www.worldometers.info/coronavirus
77. Zaremba, A., Kizys, R., Aharon, D. Y. and Demir, E. (2020). Infected markets: Novel coronavirus, government interventions, and stock return volatility around the globe. Finance Research Letters, 35, 101597. https://doi.org/10.1016/j.frl.2020.101597
78. Zhang, D., Hu, M. and Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, 101528. doi:10.1016/j.frl.2020.101528
79. Zhang, Y. (2021). The COVID-19 outbreak and oil stock price fluctuations: Evidence from China. Energy Research Letters, 2(3), 27019. https://doi.org/10.46557/001c.27019