How do mobility restrictions and social distancing during COVID-19 affect oil price?

被引：3
作者：
Dey, Asim K. [1 ,2 ]
Das, Kumer P. [3 ]
机构：
[1] Univ Texas El Paso, Dept Math Sci, El Paso, TX 79968 USA
[2] Princeton Univ, Dept Elect & Comp Engn, Princeton, NJ 08544 USA
[3] Univ Louisiana Lafayette, Off Vice President Res Innovat & Econ Dev, Lafayette, LA 70504 USA
来源：
JOURNAL OF STATISTICAL THEORY AND PRACTICE | 2022年 / 16卷 / 02期
基金：
美国国家科学基金会;
关键词：
COVID-19; Oil price; Apple mobility trends; Airline complex network; Granger causality; Quantile regression; Extreme value theory; GRANGER-CAUSALITY; CRUDE-OIL; DEPENDENCE; EXTREMES; MODELS;
D O I：
10.1007/s42519-022-00247-x
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
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页数：17
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