Abstract:This paper investigates the cointegration between possible determinants of crude oil futures prices during the COVID-19 pandemic period. We perform comparative analysis of WTI and newlylaunched Shanghai crude oil futures (SC) via the Autoregressive Distributed Lag (ARDL) model and Quantile Autoregressive Distributed Lag (QARDL) model. The empirical results confirm that economic policy uncertainty, stock markets, interest rates and coronavirus panic are important drivers of WTI futures prices. Our findings also… Show more
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