Impact of the COVID-19 Pandemic on the Crude Oil and Stock Markets in the US: A Time-Varying Analysis

Abstract

This research explores the interaction among the COVID-19 pandemic, crude oil market and stock market in the U.S. by utilizing a time-varying parameter vector autoregression (TVP-VAR) model. Our results indicate that there is a negative connection between crude oil returns and stock returns. Interestingly, contrary to our intuition, we find that the COVID-19 pandemic cannot exert a negative effect but has a statistically significantly positive effect on crude oil returns and stock returns.