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We evaluate the relative importance of COVID-19 infections and oil price news in influencing oil prices. We show that when the number of new COVID-19 infections surpasses 84,479, COVID-19 exerts a bigger effect on oil prices. Oil price news when conditioned on COVID-19 cases have limited effects on price. When oil price volatility is used as a threshold, at higher levels of volatility, both COVID-19 cases and negative oil price news influence oil prices.
Paresh Kumar Narayan (Thu,) studied this question.