The recent coronavirus pandemic (COVID-19) has negatively impacted the whole economy, especially the oil industry, in at least two ways. First, it created a demand shock as COVID-19 reduced global demand for crude oil, increased uncertainty, and triggered a serious economic recession in most developed and emerging countries. Second, it led to a supply shock as the pandemic resulted in an oil trade war between the major oil-producing nations (Saudi Arabia and Russia). Both shocks led to very high levels of oil price volatility. Our paper explores the dynamics of this volatility and explains the effects of these two shocks (induced by an adjustment of oil demand and supply) on West Texas Intermediate (WTI) crude oil price volatility. Accordingly, we show that oil price volatility reacted substantially to the pandemic-induced oil shocks. In particular, we document the impact of uncertainty caused by these shocks and investor anxiety on oil price volatility. We show that greater uncertainty leads to more oil price volatility. Our findings remained unchanged even after controlling for modeling robustness.

最近的冠状病毒大流行 (COVID-19) 至少在两个方面对整个经济，尤其是石油行业产生了负面影响。首先，它造成了需求冲击，因为 COVID-19 减少了全球对原油的需求，增加了不确定性，并在大多数发达国家和新兴国家引发了严重的经济衰退。其次，由于大流行导致主要石油生产国（沙特阿拉伯和俄罗斯）之间的石油贸易战，它导致了供应冲击。两次冲击都导致油价大幅波动。我们的论文探讨了这种波动的动态，并解释了这两种冲击（由石油需求和供应的调整引起）对西德克萨斯中质原油 (WTI) 原油价格波动的影响。因此，我们表明油价波动对大流行引起的石油冲击有很大反应。我们特别记录了这些冲击引起的不确定性和投资者焦虑对油价波动的影响。我们表明，更大的不确定性会导致更大的油价波动。即使在控制建模稳健性之后，我们的发现仍然保持不变。