Using U.S. data, we investigate how the COVID-19 pandemic influences oil price returns in an asset pricing framework. Unlike earlier studies, we consider a threshold model to allow for the possibility that COVID-19 risk may not play a role until it reaches a certain level. Based on WTI crude oil spot price data from January 2020 to December 2021, our findings show that oil returns significantly decline with the daily number of COVID-19 deaths but only if the daily death toll exceeds approximately 2100. In addition, a more severe COVID-19 pandemic can substantially increase the exposure of oil returns to various systematic risk factors, which has not been documented in previous literature.

我们使用美国数据调查 COVID-19 大流行如何影响资产定价框架中的油价回报。与早期的研究不同，我们考虑了一个阈值模型，以考虑到 COVID-19 风险在达到一定水平之前可能不会发挥作用的可能性。基于 2020 年 1 月至 2021 年 12 月的 WTI 原油现货价格数据，我们的研究结果表明，石油回报率随着 COVID-19 每日死亡人数的增加而显着下降，但前提是每日死亡人数超过约 2100 人。此外，更严重的 COVID -19 大流行可以大大增加石油收益对各种系统性风险因素的暴露，这在以前的文献中没有记载。