تقلبات عوائد أسعار النفط في ظل الأزمات الإقتصادية الراهنة -دراسة قياسية :2019-2023

Abstract

This research contributes to the existing literature by providing empirical evidence of the specific impact of the COVID-19 pandemic and the Ukraine war on oil prices across multiple markets The aim of this thesis is to investigates the impact of the COVID-19 pandemic and the Ukraine war on oil prices, specifically focusing on WTI (West Texas Intermediate), Shanghai crude oil, European crude oil, and Abu Dhabi oil prices. The study covers the period from 1st January 2019 to 28th March 2023 and utilizes the EGARCH (Threshold Generalized Autoregressive Conditional Heteroskedasticity) model to analyze the relationship between these events and oil price volatility. The research findings reveal that both the COVID-19 pandemic and the Ukraine war have significantly influenced oil prices across the selected benchmarks. The study demonstrates that negative shocks resulting from these events exert a larger effect on oil prices compared to positive shocks. By employing the EGARCH model, the study accounts for the asymmetric reactions to shocks, providing a comprehensive understanding of the volatility dynamics in oil markets